jwangkun china-nav-tieout
Purpose
Perform A股投资组合净值核算 — comprehensive NAV reconciliation and valuation for Chinese investment portfolios.
Data Sources
Tier 0 — 万得 Wind（最全面付费数据）
- 覆盖：A股/港美股/基金/指数/债券/宏观/研报/分析（44个工具）
- MCP 服务：
wind-mcp（需WIND_API_KEY密钥，以ak_开头） - 优势：全市场覆盖面最广、数据最全面、包含研报和量化分析
- 密钥申请：https://aifinmarket.wind.com.cn/#/home
Tier 1 — 同花顺 iFind（付费精确数据）/ AkShare MCP（Tier-2 免费备选）
get_quote(ticker) → Latest prices for holdings
get_fund_data(fund_code) → Fund NAV data
get_index_data("000001") → Benchmark data
Secondary Sources
- 基金公司 — fund NAV calculations
- 托管行 — custody valuations
- Wind / Choice — portfolio analytics
- 交易所 — closing prices
Workflow
Step 1: Gather Portfolio Holdings
Holdings snapshot:
| Security | Ticker | Type | Quantity | Market Value | Cost | Unrealized P/L |
|---|---|---|---|---|---|---|
| Cash | ||||||
| Receivables | ||||||
| Payables | ||||||
| Total NAV |
Step 2: Value Each Holding
Valuation methodology:
| Security Type | Valuation Method | Source |
|---|---|---|
| A股上市股票 | Closing price (收盘价) | 交易所 |
| A股停牌股票 | Last closing / 估值 | 中基协 guidelines |
| 基金 (ETF/LOF) | NAV / market price | 基金公司 |
| 债券 | 中债估值 / 收盘价 | 中债/交易所 |
| 逆回购 | Principal + interest | Calculated |
| 存款 | Principal + interest | Bank |
| 衍生品 | Mark-to-market | Exchange/Counterparty |
A-share valuation rules:
- 上市股票: 收盘价 (closing price)
- 停牌股票:
- <1 month: last closing
- 1-3 months: 中基协 AMAC guidelines
3 months: independent valuation
- 涨跌停股票: Ceiling/floor price
Step 3: Calculate NAV
NAV calculation:
| Component | Amount | Notes |
|---|---|---|
| Market value of securities | ¥XX | |
| Cash and cash equivalents | ¥XX | |
| Accrued income | ¥XX | Dividends, interest |
| Receivables | ¥XX | |
| Other assets | ¥XX | |
| Gross Assets | ¥XX | |
| Payables | ¥XX | |
| Accrued expenses | ¥XX | Management fees, etc. |
| Other liabilities | ¥XX | |
| Total Liabilities | ¥XX | |
| Net Assets | ¥XX | |
| Shares outstanding | XX 份 | |
| NAV per share/unit | ¥X.XXXX |
Step 4: Income Accruals
Accrued income:
| Type | Security | Amount | Ex-date | Pay-date |
|---|---|---|---|---|
| 现金股息 | ||||
| 股票股息 | ||||
| 债券利息 | ||||
| 基金分红 | ||||
| 逆回购利息 | ||||
| Total accrued income |
Step 5: Expense Accruals
Accrued expenses:
| Type | Amount | Calculation Basis |
|---|---|---|
| 管理费 (Management fee) | ¥XX | AUM × annual rate × days/365 |
| 托管费 (Custodian fee) | ¥XX | AUM × annual rate × days/365 |
| 交易佣金 (Trading commission) | ¥XX | Actual trades |
| 税费 (Taxes) | ¥XX | |
| 其他费用 | ¥XX | |
| Total accrued expenses |
Step 6: Reconciliation
Reconciliation checklist:
| Item | Portfolio System | Custodian | Difference | Resolved |
|---|---|---|---|---|
| Securities holdings | ||||
| Cash balance | ||||
| Accrued income | ||||
| Accrued expenses | ||||
| Total NAV |
Common reconciling items:
- Trade date vs settlement date differences
- 在途交易 (Trades in transit)
- 分红在途 (Dividends pending)
- 费用计提差异 (Accrual timing)
Step 7: Performance Calculation
Performance metrics:
| Metric | Period Return | Annualized |
|---|---|---|
| Portfolio return | X.XX% | X.XX% |
| Benchmark return | X.XX% | X.XX% |
| Active return | X.XX% | X.XX% |
| Volatility | X.XX% | X.XX% |
| Sharpe ratio | X.XX | |
| Max drawdown | X.XX% | |
| Best period | X.XX% | |
| Worst period | X.XX% |
Step 8: Compliance Checks
Fund compliance (China):
| Check | Requirement | Status |
|---|---|---|
| 投资范围 | Within mandate | |
| 投资比例 | Per fund contract | |
| 集中度 | Single stock limit | |
| 流动性 | Liquid assets ratio | |
| 杠杆率 | Leverage limits | |
| 关联交易 | Within limits | |
| 估值方法 | Per regulations |
Step 9: Reporting
NAV report format:
【净值报告】[Fund Name] [Date]
报告日期: YYYY年MM月DD日
单位净值: ¥X.XXXX
累计净值: ¥X.XXXX
日涨跌幅: +/-X.XX%
资产组合:
股票投资: ¥XX亿 (XX%)
债券投资: ¥XX亿 (XX%)
现金及等价物: ¥XX亿 (XX%)
其他: ¥XX亿 (XX%)
合计: ¥XX亿
净值计算人: _________
复核人: _________
China-Specific Considerations
Fund Types
| Type | Regulation | Valuation |
|---|---|---|
| 公募基金 (Public fund) | 证监会 | Daily NAV |
| 私募基金 (Private fund) | 中基协 | Weekly/Monthly |
| 券商资管 | 证监会 | Per contract |
| 信托计划 | 银保监会 | Per contract |
| 保险资管 | 银保监会 | Per contract |
Valuation Standards
| Standard | Source |
|---|---|
| 基金会计核算 | 财政部 / 证监会 |
| 估值指引 | 中基协 AMAC |
| 证券投资基金 | 基金合同 |
| 托管协议 | 托管行 |
Common Issues
| Issue | Resolution |
|---|---|
| 停牌股票估值 | AMAC guidelines |
| 汇率折算 | PBOC rate |
| 费用计提 | Per fund contract |
| 分红处理 | Ex-dividend adjustment |
Quality Checks
Before finalizing:
- All holdings priced correctly
- Income and expenses accrued
- Reconciliation complete
- Performance calculated accurately
- Compliance verified
- Documentation complete
- Sign-offs obtained
Data Source Mode Switch: Set env var
IFIND_DATA_SOURCE_MODEto control data source preference.ifind-only(strict): Use iFind only, error if unavailableifind-fallback(default): iFind preferred, fallback to AkShareakshare-only: Skip iFind, use AkShare onlywind-only: Wind only, error if unavailablewind-fallback: Wind first, fallback to iFind → AkShare