jwangkun china-portfolio-rebalance
Purpose
Perform A股投资组合再平衡 — analyze allocation drift, generate rebalancing recommendations, and optimize trade execution.
Data Sources
Primary: iFind MCP (Tier-1 付费) / AkShare MCP (Tier-2 免费备选)
get_quote(ticker) → Current prices for holdings
get_historical_data(ticker) → Tax lot / cost basis context
Secondary Sources
- Portfolio management system
- Wind / Choice — market data
- Tax rules — A-share tax treatment
Workflow
Step 1: Current Allocation
Portfolio snapshot:
| Asset Class | Target % | Current % | Drift | Market Value | Action |
|---|---|---|---|---|---|
Within A-share equity:
| Sector | Target | Current | Drift | Action |
|---|---|---|---|---|
| 消费 | XX% | XX% | ±X% | Buy/Sell/Hold |
| 科技 | XX% | XX% | ±X% | Buy/Sell/Hold |
| 医药 | XX% | XX% | ±X% | Buy/Sell/Hold |
| 金融 | XX% | XX% | ±X% | Buy/Sell/Hold |
| 新能源 | XX% | XX% | ±X% | Buy/Sell/Hold |
| 其他 | XX% | XX% | ±X% | Buy/Sell/Hold |
Step 2: Identify Drift
Drift thresholds:
| Drift Level | Action |
|---|---|
| ±2% | Monitor, no action |
| ±3-5% | Consider rebalancing |
| ±5%+ | Rebalance recommended |
Drift causes:
- Market price movements
- Dividend reinvestment
- Previous trades
- Cash flows (contributions/withdrawals)
Step 3: Generate Rebalancing Trades
Rebalancing logic:
| Situation | Action |
|---|---|
| Sector overweight + price up | Trim position |
| Sector underweight + price down | Add to position |
| Overweight + price down | Monitor (may converge) |
| Underweight + price up | Monitor (may converge) |
Trade list:
| Action | Ticker | Security | Current % | Target % | Trade Amount | Est. Shares |
|---|---|---|---|---|---|---|
| Buy | ||||||
| Sell | ||||||
| Hold |
Step 4: Tax Considerations
A-share tax treatment:
| Item | Tax Rate | Notes |
|---|---|---|
| 股票买卖价差 | 暂免 (temporarily exempt) | Capital gains on stocks |
| 股息红利 | 20% (持股>1年减半/免征) | Dividend tax |
| 基金分红 | 暂免 (some funds) | Fund distributions |
| 买卖印花税 | 0.05% (seller only) | Stamp duty |
Tax-loss harvesting opportunities:
| Position | Cost Basis | Current Value | Unrealized Loss | Tax Benefit |
|---|---|---|---|---|
Tax-efficient selling:
- Prioritize selling positions with losses
- Consider holding period for dividend tax
- Batch sales to minimize stamp duty impact
Step 5: Execution Plan
Trade sequencing:
| Priority | Trade | Rationale |
|---|---|---|
| 1 | Tax loss harvesting | |
| 2 | Largest drift correction | |
| 3 | Smaller adjustments |
Execution considerations:
- Market impact (liquidity)
- Trading costs (commissions, stamp duty)
- Market timing (volatility)
- Block trading for large positions
Step 6: Rebalancing Report
Standard rebalancing report:
【组合再平衡报告】[Client] [Date]
一、当前配置 vs 目标配置
[Allocation table with drift]
二、再平衡建议
[Trade list]
三、税务影响
[Tax implications]
四、执行计划
[Sequencing and timing]
五、预期效果
[Projected post-rebalance allocation]
China-Specific Rebalancing Considerations
A-share Market Characteristics
| Factor | Rebalancing Implication |
|---|---|
| 涨跌停限制 | May prevent immediate rebalancing |
| T+1 settlement | Trade settlement timeline |
| 印花税 | 0.05% on sell side |
| 佣金 | Varies by broker (typically 0.02-0.03%) |
| 最低手续费 | Minimum commission threshold |
Tax-Loss Harvesting (A-share)
China-specific TLH:
- Capital gains on stocks: currently tax-exempt (暂免)
- Losses: can offset gains within the same asset class
- 股息红利 tax: 20%, reduced to 10% for >1 year holding, 0% for >1 year (recent changes)
- Fund distributions: tax treatment varies by fund type
Common Rebalancing Triggers
| Trigger | Frequency | Action |
|---|---|---|
| Calendar rebalancing | Quarterly/Semi-annual | Systematic rebalance |
| Drift threshold | When ±5% | Opportunistic rebalance |
| Cash inflow | As received | Deploy to underweights |
| Client request | Ad-hoc | Targeted rebalance |
| Tax planning | Year-end | Harvest losses, reset cost basis |
Quality Checks
Before executing:
- Allocations calculated correctly
- Trades aligned with policy
- Tax implications assessed
- Trading costs estimated
- Client approval obtained
- Execution plan sequenced
After rebalancing:
- Trades confirmed
- Allocation updated
- Tax lots recorded
- Client notified
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 only