Analysis Of Exchange Rate Risk Management For QDII Funds

QDII fund is a securities investment fund established within the territory of a country and approved by relevant authorities to engage in securities trading such as stocks and bonds in overseas securities markets.It is an important way to achieve global asset allocation under capital control.With the continuous opening of China’s capital market,the scale of QDII funds in China has grown rapidly and has become an effective tool for many investors to allocate overseas assets.The returns of QDII funds have a significant impact on the non wage income of Chinese residents.Due to the fact that QDII funds are purchased by investors in RMB,and fund management companies invest in foreign currencies in overseas markets,QDII funds face certain exchange rate risks during the subscription and redemption processes.China’s QDII fund has the largest investment scale in the Chinese Hong Kong region.As a QDII fund investing in the Chinese Hong Kong market,the Southern Hang Seng Index ETF fund was established early and has sufficient exposure to exchange rate risk,thus possessing high research value.In recent years,with the changes in the world situation,the instability of monetary policies in the United States and other countries has increased,and the exchange rate fluctuations of the US dollar have become more frequent.Due to the implementation of the linked exchange rate system between the Hong Kong dollar and the US dollar,the fluctuation of the exchange rate between the Hong Kong dollar and the Chinese yuan has increased,and the exchange rate risk has further increased.The magnitude of exchange rate risk will have a significant impact on the income of QDII funds.Therefore,studying the exchange rate risk management of QDII funds is of great significance.This article takes the Southern Hang Seng Index ETF fund as an example and uses literature research,case analysis,and empirical analysis methods to study the exchange rate risk management of QDII funds.Firstly,this article introduces the exchange rate risk situation of the Southern Hang Seng Index ETF fund and finds that the fund’s exchange rate risk management is not effective.Then,the current situation of exchange rate risk management in the Southern Hang Seng Index ETF fund was summarized.Next,the problems in exchange rate risk management of the fund were analyzed from three aspects: identification,measurement,and control of exchange rate risk.When measuring exchange rate risk,this paper selects the central parity rate of RMB against Hong Kong dollar under the direct pricing method as the data.Through empirical analysis and comparison,it is found that GARCH(1,1)model under the generalized error distribution can better fit the return rate series.Based on the foreign exchange risk exposure of the South Hang Seng Index ETF fund,the Value at risk Va R is calculated and the exchange rate risk is measured.Finally,based on the problems in exchange rate risk management of the Southern Hang Seng Index ETF fund,several suggestions are proposed for the exchange rate risk management of QDII funds in China,including adopting effective exchange rate risk measurement methods,using diversified hedging tools,and cultivating and introducing exchange rate risk management talents.