Panel Data Analysis of Performance of QDII Equity Funds in China

摘要

Based on a sample of 16 QDII Equity Funds in China established before 2010, this paper evaluates the performance of these funds during 2009 to 2013 by risk-adjusted measures of return and analyzes the influencing factors of performance using panel data models. Empirical study shows that most Chinese QDII funds almost get no excess return compared to risk-free rate, and exchange rate is the main factor affecting the fund performance. Industrial and regional concentration on asset allocation have positive effects to fund performance, which indicates that QDII funds’ activities do not meet the principle of risk diversification and may increase the risk in long term investment. Although the size of fund is limited by the approved QDII quota, there is only low correlation between size and performance，which implies that the current quota policy is suitable for fund companies.