摘要 QFI制度于2002年12月正式实施,15年来政策面对于QF限制逐步放 宽,QFI总规模不断扩张,截至目前已超过950亿美元。本文以QFI基金为 研究主体,通过分析2010年至2016年28个季度的重仓股数据,讨论QFI的 投资组合和仓位变化。本文从持股偏好和持股期限结构两个角度进行研究,发 现QFI基金选股依然遵循价值投资原则,但是在仓位配置以及持仓风格方面体 现趋势投资的风格特点。 关键字:QFI:;价值投资;趋势投资 Abstract The QFll scheme was formally implemented in December 2002. The policy has been gradually relaxed in the past 15 years. The total size of QFll has exceeded 95 billion us dollars so far. This paper takes QFll fund as the research subject, and discusses the portfolio and position change of QFll by analyzing the data of overweight stocks in the 28 quarters from 2010 to 2016. In this paper, from two angles of equity preferences and term structure, found that QFII funds to pick stocks still follow the principle of value investment, but in the position allocation aspect reflects the trend investment style characteristic Keywords: QFII; Value Investment; Trend Investment JEL: G02 G14I 摘要 QFII 制度于 2002 年 12 月正式实施，15 年来政策面对于 QFII 限制逐步放 宽，QFII 总规模不断扩张，截至目前已超过 950 亿美元。本文以 QFII 基金为 研究主体，通过分析 2010 年至 2016 年 28 个季度的重仓股数据，讨论 QFII 的 投资组合和仓位变化。本文从持股偏好和持股期限结构两个角度进行研究，发 现 QFII 基金选股依然遵循价值投资原则，但是在仓位配置以及持仓风格方面体 现趋势投资的风格特点。 关键字：QFII；价值投资；趋势投资 Abstract The QFII scheme was formally implemented in December 2002. The policy has been gradually relaxed in the past 15 years. The total size of QFII has exceeded 95 billion us dollars so far. This paper takes QFII fund as the research subject, and discusses the portfolio and position change of QFII by analyzing the data of overweight stocks in the 28 quarters from 2010 to 2016. In this paper, from two angles of equity preferences and term structure, found that QFII funds to pick stocks still follow the principle of value investment, but in the position allocation aspect reflects the trend investment style characteristic. Keywords: QFII; Value Investment; Trend Investment JEL: G02 G11 G14