【作者】 张旭；

【导师】 李红卫；

【作者基本信息】 中北大学 ， 技术经济及管理， 2015， 硕士

【摘要】 资本市场的不完全开放导致我国资本市场与国际资本市场存在一定的分割，这也导致我国投资者无法分享国际化经济发展的成果。近年来随着国际贸易的快速发展，我国国际收支出现很大的不平衡状态，外汇储备的快速增加以及经常账户连年的顺差导致我国面临着很大的外汇储备处置问题，如何通过一定的方式实现我国外汇储备的增值就成为我国目前最为关注的焦点。QDII是Qualified Domestic Institutional Investors（合格的境内机构投资者）的英文首个字母缩写。是指在人民币在资本项下不可兑换、资本市场未开放条件下，在某国境内设立，经该国有关部门批准，有控制的允许境内机构投资者投资境外资本市场的股票、债券等有价证券投资业务的一项制度安排。QDII制度的出现为我国解决国际收支平衡提供了新的途径和方法。国外资本可以通过QFII的形式流入到我国，而我国证券投资资本则可以通过QDII的形式流出。基金系QDII产品的出现在很大程度上能够调解我国国际收支不平衡的状态，进而缓解人民币升值的压力，进一步推动人民币的国际化发展；同时为我国投资者提供了新的投资途径和方法，使得我国投资者可以参与到国际资本市场的发展中来。本文以基金系QDII为主要的研究对象，选取2009年到2014年的数据作为主要的研究样本，分别对其2012年到2014年间绩效水平进行了全方位的分析和研究，进而探讨针对不同评价指标对QDII基金的适用性，在此基础上利用因子分析法构建我国基金系QDII绩效综合评价体系，提出合理建议。在分析和研究的过程中，主要以资产定价模型以及有效市场理论等相关的理论为依据，构建评价体系对我国基金系QDII从收益水平，选股、择时能力等方面对其进行探讨。首先，本文介绍了QDII制度以及基金系QDII和绩效评价的内容和相关的理论，为本文的研究奠定了理论基础；其次，根据QDII基金的特点逐一选择评价指标并构建评价体系；再次，选取2012年到2014年的相关数据，采用因子分析法对我国基金系QDII绩效进行了全方位的分析和实证性的研究；最后对本文的研究结果进行了总结，并且提出了相关的建议。期望通过本文的实证性研究和建议，对我国投资者及基金管理人的投资决策起到一定的借鉴意义。更多还原

【Abstract】 The capital market is not fully open cause our country capital market and international capitalmarkets has certain segmentation, leading to investors to share the achievements ofinternational economic development in our country. With the rapid development ofinternational trade in recent years, China’s international balance of payments appear greatimbalance, the fast rise of foreign exchange reserves and current account years of surplus inour country is faced with a lot of foreign exchange reserves disposal problems, how to use acertain way to realize rising in China’s foreign exchange reserves has become the topic of ourcountry at present the most concern and problems.QDII is Qualified Domestic Institutional Investors (Qualified Domestic Institutional Investors)English first letter abbreviation. Refers to under the renminbi capital item cannot be redeemedfor, under the condition of capital market is not open, established within the territory of acountry and approved by the relevant departments of the country, with control, allowingdomestic institutional investment in overseas capital markets of stocks, bonds and othersecurities investment business of an institutional arrangement. The emergence of QDII systemfor our country to solve the balance of payments provides a new way and method. Foreigncapital can flow through the QFII products to our country, while China’s securities investmentcapital can flow in the form of the QDII. Fund is the emergence of QDII products to a greatextent, able to bear the pressure on the appreciation of the RMB, mediation state of China’sinternational balance of payments imbalance, and relieve the pressure on the appreciation ofthe renminbi. To further promote the development of internationalization of the yuan, at thesame time for Chinese investors provide a new way and method, make the development of Chinese investors can participate in the international capital markets.This paper is a QDII fund as the main object of study and the research sample, select datafrom2009to2012as the main data source, respectively for2012to2012performance hascarried on the comprehensive analysis and research. In the process of analysis and research,mainly to asset pricing model and related on the basis of the theory of efficient market theory,on the basis of the current in the international community is most commonly used evaluationindex and the associated model system of QDII fund of our country from the risk adjustment,stock selection, timing ability and three aspects of the QDII fund performance in Chinasustainable system of QDII fund of our country has carried on the comprehensive analysis andresearch. First, this paper introduces the QDII system and system of QDII fund and thecontent of the performance evaluation and related theory, laid a theoretical foundation to theresearch of this article; Second, the method of securities investment fund performanceevaluation system has carried on the comprehensive analysis and research, carrying on theempirical research for this paper to provide the theoretical basis and research methods; Again,before the study, on the basis of selecting the data from2009to2012, is a QDII fundperformance in China has carried on the comprehensive analysis and empirical research;Finally the research results of this paper is summarized, and Suggestions are put forward.Expectations through the empirical research of this paper and the suggestion, QDII funds ofour country departments as well as the development of the QDII system have certainreference significance.更多还原