CN109190863A - Fund rebalancing judgment method, system, computer equipment and storage medium - Google Patents
Fund rebalancing judgment method, system, computer equipment and storage medium Download PDFInfo
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- 238000004364 calculation method Methods 0.000 claims abstract description 38
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- 238000012544 monitoring process Methods 0.000 abstract description 3
- 238000007405 data analysis Methods 0.000 abstract description 2
- 230000002045 lasting effect Effects 0.000 abstract description 2
- PCHJSUWPFVWCPO-UHFFFAOYSA-N gold Chemical compound [Au] PCHJSUWPFVWCPO-UHFFFAOYSA-N 0.000 description 5
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
- G06Q10/063—Operations research, analysis or management
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- G—PHYSICS
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- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q10/00—Administration; Management
- G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
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- G06Q10/0635—Risk analysis of enterprise or organisation activities
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Abstract
The present invention relates to finance data analysis technical field more particularly to a kind of fund rebalancing judgment method, system, computer equipment and storage mediums.Fund rebalancing judgment method includes: the preset configuration file in the database of fund transaction system, when fund combination occurs and buys in, record fund combination buys in the time, call weight calculation script, single initial weight of the fund when buying in fund combination is calculated, and timing daily calculates the present weight of single fund in fund combination.Single fund in fund combination is judged whether after needing rebalancing, final output TRUE signal or FALSE signal.The present invention combines lasting monitoring to fund, and the dual judgement of the time by combining to fund and weight threshold judge whether to need rebalancing strategy in conjunction with daily situation of Profit, to realize that investment return maximizes.
Description
Technical field
The present invention relates to finance data analysis technical field more particularly to a kind of fund rebalancing judgment methods, system, meter
Calculate machine equipment and storage medium.
Background technique
Quantization investment, which refers to, issues dealing instruction by quantification mode and computer programing, is to obtain steady benefits
The mode of doing business of purpose.All decisions of quantization investment are in accordance with what model was made.Its model generally comprises major class assets and matches
Set model, business models, stock model.
It in major class Asset Allocation model, needs to be monitored investment and adjust, rebalancing strategy mould is used when adjustment
Type, during executing rebalancing strategy, the ratio of investment and the frequency of rebalancing are firstly the need of considering the problems of.It is existing
Some rebalancing strategies, which lack, changes consideration violent and that the time cycle is not timed out to index height.
In addition, the risk for only investing single fund is very big for investor, need to invest simultaneously a plurality of types of
Fund, such as currency class, equity class or bond class etc..But in major class Asset Allocation model, and lacks and fund is combined
Monitoring and adjustable strategies.
Summary of the invention
In view of this, it is necessary to only consider the rebalancing time for existing rebalancing strategy, and lack to other parameters
It considers a problem, a kind of fund rebalancing judgment method, system, computer equipment and storage medium is provided.
A kind of fund rebalancing judgment method, includes the following steps:
The preset configuration file in the database of fund transaction system, the configuration file are interior containing default to single fund
Time threshold, weight threshold and judge type;
When the combination of generation fund is bought in fund transaction system, record the fund combination buys in the time, calls pre-
It is initial when buying in calculate single fund in the fund combination for the weight calculation script being located in the fund transaction system
Weight, and the present weight of single fund in the fund combination is periodically calculated daily;
Single fund in fund combination is judged whether to need rebalancing, the configuration file is read before judgement
In the single corresponding judgement type of fund, according to the judgement type, judge single fund from buy in the time to it is current when
Between time difference whether reach the time threshold, or whether the weight difference of initial weight to present weight when buying in reaches institute
Weight threshold is stated, if reaching, exports TRUE signal, otherwise exports FALSE signal.
The time threshold is set as a fixed duration value in one of the embodiments, is bought jointly in the fund group
Enter to start to needing the preset time of rebalancing poor, is arranged as unit of one day;
The weight threshold is that single fund present weight and default weight when buying in fund combination are poor;
The judgement type includes long type when being judged as the fixation of foundation with duration, the weight for being judged as with weight foundation
The composite type that long type and weight threshold type successively judge when threshold type, fixation.
After the weight calculation script is called in one of the embodiments, calculate in the following way:
Weight calculation script obtains from the fund transaction system and buys in time, total gold when the fund combination is bought in
Volume, single fund buy in the amount of money, the calculation of initial weight when single fund is bought in are as follows: when single fund is bought in just
Beginning weight buys in the amount of money divided by total amount equal to single fund;
Weight calculation script obtained from the fund transaction system single fund day income, fund combination always hold position
The amount of money, the calculation of single fund present weight are as follows: the amount of money of buying in that single fund present weight is equal to single fund adds
Day the sum of the income of single fund, divided by the amount of money of always holding position.
In one of the embodiments, according to the judgement type, when judging single fund, using following judgement side
Method:
Judge single fund judges long type when whether type is described fixed, if so, judging that current time subtracts
It buys in whether the time reaches the time threshold, exports TRUE signal if reaching, otherwise export FALSE signal, single fund
Judge long type when whether type is described fixed, if it is not, then enter the weight threshold type judgement;
Judge single fund judges whether type is the weight threshold type, if so, judging the single fund
Present weight subtract whether weight when buying in reaches the weight threshold, if reach, export TRUE signal, otherwise export
FALSE signal;Single fund judges whether type is the weight threshold type, if it is not, then into the composite type
Judgement;
Judge single fund judges whether type is the composite type, buys in if so, judging that current time subtracts
Whether the time reaches the time threshold, TRUE signal is exported if reaching, if it is not, continuing to judge working as the single fund
Preceding weight subtracts whether weight when buying in reaches the weight threshold, if reaching, exports TRUE signal, otherwise exports
FALSE signal, single fund judges whether type is the composite type, if it is not, then exporting FALSE signal.
In one of the embodiments, when exporting FALSE signal, then enter next day to the list in fund combination
A fund judges whether to need rebalancing;
Also contain to the preset rebalancing mode of each fund, when exporting TRUE signal in the configuration file, it is believed that
Fund combination needs to be implemented weight and restores rebalancing, according to rebalancing mode corresponding in the configuration file, by TRUE signal
It exports to corresponding rebalancing model.
In one of the embodiments, the rebalancing mode include need to recalculate the rebalancing mode of weight, and
Without calculating the rebalancing mode of weight;
The corresponding rebalancing model of rebalancing mode for needing to recalculate weight is mean shift mode, to be used for
Recalculate the initial weight of fund combination;
The corresponding rebalancing model of rebalancing mode without calculating weight is fund tune storehouse model, to readjust
The weight of single fund in fund combination.
A kind of fund rebalancing judges system, including such as lower unit:
Configuration unit contains in the configuration file for the preset configuration file in the database of fund transaction system
To the preset time threshold of single fund, weight threshold and judge type;
Computing unit when buying in for fund combination to occur in the fund transaction system, records the fund combination
Buy in the time, call the weight calculation script being preset in the fund transaction system, calculate single in the fund combination
Initial weight of the fund when buying in, and the present weight of single fund in the fund combination is periodically calculated daily;
Judging unit is read before judgement for judging whether to need rebalancing to the single fund in fund combination
The corresponding judgement type of single fund in the configuration file is taken, according to the judgement type, judges the single fund from buying
Whether the time difference of the angle of incidence to current time reaches the time threshold, or initial weight when buying in is to the power of present weight
Whether the method for double differences reaches the weight threshold, if reaching, exports TRUE signal, otherwise exports FALSE signal.
The judging unit includes following module in one of the embodiments:
Fixed duration type judging module judges whether type is the fixed duration class for judge single fund
Type exports TRUE signal if reaching if so, judging that current time subtracts buys in whether the time reaches the time threshold,
Otherwise FALSE signal is exported, single fund judges long type when whether type is described fixed, if it is not, then entering weight threshold
Value Types judgment module;
Weight threshold type judging module judges whether type is the weight threshold class for judge single fund
Type, if so, whether the weight for judging that the present weight of the single fund subtracts when buying in reaches the weight threshold, if arriving
It reaches, then exports TRUE signal, otherwise export FALSE signal;Single fund judges whether type is the weight threshold type,
If it is not, then entering composite type judgment module;
Composite type judgment module judges whether type is the composite type for judge single fund, if so,
Judge that current time subtracts and buy in whether the time reaches the time threshold, TRUE signal is exported if reaching, if it is not, continuing
Whether the weight for judging that the present weight of the single fund subtracts when buying in reaches the weight threshold, if reaching, exports
Otherwise TRUE signal exports FALSE signal, single fund judges whether type is the composite type, if it is not, then exporting
FALSE signal.
A kind of computer equipment, including memory and processor are stored with computer-readable instruction in the memory, institute
When stating computer-readable instruction and being executed by the processor, so that the processor executes above-mentioned fund rebalancing judgment method
Step.
A kind of storage medium being stored with computer-readable instruction, the computer-readable instruction are handled by one or more
When device executes, so that the step of one or more processors execute above-mentioned fund rebalancing judgment method.
Above-mentioned fund rebalancing judgment method, device, computer equipment and storage medium, including in fund transaction system
Preset configuration file in database, configuration file is interior to be contained to the preset time threshold of single fund, weight threshold and judges class
Type;When the combination of generation fund is bought in fund transaction system, the time is bought in record fund combination, and calling is preset in fund and hands over
Weight calculation script in easy system calculates single initial weight and daily timing ga(u)ge of the fund when buying in fund combination
Calculate the present weight of single fund in fund combination;Single fund in fund combination is judged whether to need rebalancing, is being sentenced
The corresponding judgement type of single fund in configuration file is read before disconnected, according to type is judged, judges single fund from buying in the time
To current time time difference whether arrival time threshold value, or whether the weight difference of initial weight to present weight when buying in arrive
Up to weight threshold, if reaching, TRUE signal is exported, otherwise exports FALSE signal.The technical program is combined for fund,
From buying in, lasting monitoring, and the dual judgement of the time by combining to fund and weight threshold are combined to fund, in conjunction with
Daily situation of Profit judges whether to need rebalancing strategy, to realize that investment return maximizes.
Detailed description of the invention
By reading the following detailed description of the preferred embodiment, various other advantages and benefits are common for this field
Technical staff will become clear.The drawings are only for the purpose of illustrating a preferred embodiment, and is not considered as to the present invention
Limitation.
Fig. 1 is the flow chart of the fund rebalancing judgment method in one embodiment of the invention;
Fig. 2 is that the present invention judges whether to need the flow chart of rebalancing;
Fig. 3 is the structure chart that fund rebalancing judges system in one embodiment of the invention;
Fig. 4 is the structure chart of judging unit of the present invention.
Specific embodiment
In order to make the objectives, technical solutions, and advantages of the present invention clearer, with reference to the accompanying drawings and embodiments, right
The present invention is further elaborated.It should be appreciated that the specific embodiments described herein are merely illustrative of the present invention, and
It is not used in the restriction present invention.
Those skilled in the art of the present technique are appreciated that unless expressly stated, singular " one " used herein, " one
It is a ", " described " and "the" may also comprise plural form.It is to be further understood that being arranged used in specification of the invention
Diction " comprising " refer to that there are the feature, integer, step, operation, element and/or component, but it is not excluded that in the presence of or addition
Other one or more features, integer, step, operation, element, component and/or their group.
Fig. 1 is the flow chart of the fund rebalancing judgment method in one embodiment of the invention, as shown in Figure 1, a kind of base
Golden rebalancing judgment method, comprising the following steps:
Step S1, preset configuration file: preset configuration file, configuration file include in the database of fund transaction system
Have to the preset time threshold of single fund, weight threshold and judges type.
For investor, the risk for only investing single fund is larger, therefore judgement rebalancing object of the invention is fund
Combination, rather than single fund, therefore the fund transaction system in this step can be and can carry out in any prior art
A plurality of types of funds, the system traded such as currency class, equity class, bond class fund.In fund transaction system, in advance in number
According to configuration file is arranged in library, all single funds that can be bought and sold in fund transaction system are configured, respectively preset time
Threshold value, weight threshold and judge type.
It is to buy in start to needing rebalancing in fund combination specifically, time threshold is set as a fixed duration value
Preset time is poor, is arranged as unit of one day.The weight threshold present weight that is single fund in fund combination and when buying in
Default weight is poor.Judge that type includes long type when being judged as the fixation of foundation with duration, the weight for being judged as with weight foundation
The composite type that long type and weight threshold type successively judge when threshold type, fixation.The setting of configuration file can use
It is as shown in table 1 below:
Table 1
Step S2 calculates weight: when the combination of generation fund is bought in fund transaction system, record fund combination is bought in
Time calls the weight calculation script that is preset in fund transaction system, calculates single fund in fund combination when buying in
Initial weight, and timing daily calculate the present weight of single fund in fund combination.
In fund transaction system, weight calculation script is set in the database in advance, and weight calculation script is for calculating
The present weight of single fund in initial weight of the single fund when buying in, the fund combination bought in.Weight calculation script
Calculation method when calculating weight is as follows: it is always golden that initial weight=single fund when single fund is bought in buys in amount of money ÷
Volume, the present weight of single fund=(the buying in the amount of money+single fund day income of single fund) ÷ always hold position the amount of money.
Therefore when the combination of generation fund is bought in fund transaction system, the total amount in fund transaction system is also obtained
Buy in the amount of money with single fund, it is subsequent daily, go back single fund in timing acquisition fund transaction system day income, base
The amount of money of always holding position of gold combination., can periodically sometime when calculating the present weight of single fund daily in this step, it can
To be a certain moment after 3 point in the afternoon fund day of trade, as 3 points of timings in 30 minutes every afternoon calculate in fund combination
The present weight of single fund.
Step S3 judges whether to need rebalancing: the single fund in fund combination judged whether to need rebalancing,
The single corresponding judgement type of fund judges single fund from when buying according to type is judged in the preceding reading configuration file of judgement
Between to current time time difference whether arrival time threshold value, or initial weight when buying in present weight weight difference whether
Weight threshold is reached, if reaching, exports TRUE signal, otherwise exports FALSE signal.
It, can be after periodically calculating single fund present weight daily, successively to single in fund combination in this step
Fund judged one by one, judge sequence can be according to fund combine in after single fund buys in the sequencing sequence of time
Judgement is also possible to carry out judging after how much stroke waits sequence to single fund name, can also be and mention to single fund name
Judge after taking first letter of pinyin to sort.It is first corresponding in reading configuration file to sentence before judging whether to need the judgement of rebalancing
Any class when disconnected type belongs to fixed in long type, weight threshold type or composite type, then according to judge that type selects to be
Using time threshold judgement or weight threshold judgement, judging result is finally obtained.Judgement side when judgement is fixed when long type
Method are as follows: the single fund of the current time-of single fund buy in the time whether arrival time threshold value.When judging weight threshold type
Judgment method are as follows: whether initial weight when the single fund of the present weight-of single fund is bought in reaches weight threshold.Judgement
When composite type, then successively long type and weight threshold type when fixing are judged.The TRUE signal that finally exports or
FALSE signal is for giving other models corresponding trigger signal.
The present embodiment carries out time and weight threshold to the single fund in fund combination after preset configuration file
Dual judgement, it is determined whether rebalancing.The mode of above-mentioned judgement rebalancing can combine Vehicles Collected from Market to fluctuate in real time, optimize fund
Combination carries out organic adjustment to fund combination, realizes the maximization of investment return.
In one embodiment, after weight calculation script is called, calculate in the following way: weight calculation script is from base
Obtained in golden transaction system fund combination when buying in buy in the time, total amount, single fund buy in the amount of money, single fund is bought
The calculation of fashionable initial weight are as follows: initial weight when single fund is bought in be equal to single fund buy in the amount of money divided by
Total amount;Weight calculation script obtained from fund transaction system single fund day income, fund combination the amount of money of always holding position,
The calculation of single fund present weight are as follows: the amount of money of buying in that single fund present weight is equal to single fund adds single base
Day the sum of the income of gold, divided by the amount of money of always holding position.
In fund transaction system when fund combination is bought in, will record fund combination when buying in buy in the time, total amount,
Single fund buys in the amount of money, therefore when calculating initial weight, weight calculation script is available from fund transaction system
Calculation to these information, initial weight when single fund is bought in is as follows:
Initial weight=single fund when single fund is bought in buys in amount of money ÷ total amount;
In fund transaction system, daily fund transaction after, will record the same day single fund day income, fund
The amount of money of always holding position of combination, therefore when calculating present weight, weight calculation script from fund transaction system it is available to
The calculation of these information, single fund present weight is as follows:
The present weight of single fund=(the buying in the amount of money+single fund day income of single fund) ÷ always holds position gold
Volume.
The present embodiment specifies calculation used by weight calculation script, available by above-mentioned calculation
Original number used by initial weight and present weight when single fund is bought in fund combination, especially present weight calculate
According to being daily real-time fund data, the status of current single fund can be accurately determined, provide the number of confirmation for subsequent judgement
According to foundation.
In one embodiment, as shown in Fig. 2, according to type is judged, when judging single fund, using following judgement side
Method:
Judge single fund judges long type when whether type is fixed, buys in if so, judging that current time subtracts
Time whether arrival time threshold value, if reach if export TRUE signal, otherwise export FALSE signal, the judgement class of single fund
Long type when whether type is fixed, if it is not, then entering the judgement of weight threshold type;
Judge single fund judges whether type is weight threshold type, if so, judging the current power of single fund
It subtracts whether weight when buying in reaches weight threshold again, if reaching, exports TRUE signal, otherwise export FALSE signal;It is single
A fund judges whether type is weight threshold type, if it is not, then entering the judgement of composite type;
Judge single fund judges whether type is composite type, if so, judging that current time subtracts buys in the time
Whether arrival time threshold value, TRUE signal is exported if reaching, if it is not, continuing to judge that the present weight of single fund subtracts to buy
Whether fashionable weight reaches weight threshold, if reaching, exports TRUE signal, otherwise exports FALSE signal, single fund
Judge whether type is composite type, if it is not, then exporting FALSE signal.
It is solid when entering into unused judgment method first by judging the judgement type of single fund when judging
In timing long type judgment method, then need to judge that current time-buys in whether the time reaches time threshold and then export correspondence
Signal.When entering in weight threshold type judgment method, then need to judge through the calculated present weight-of weight calculation script
Whether initial weight reaches weight threshold and then exports to induction signal.When entering in composite type judgment method, then need successively
Judge that current time-is bought in after whether the time reaches time threshold, whether present weight-initial weight reaches weight threshold, into
And it exports to induction signal.If exporting TRUE signal, then it is assumed that it needs to carry out rebalancing measure, if output FALSE signal,
Think without carrying out rebalancing measure.
The present embodiment carries out the judgement of various ways by above-mentioned the case where being directed to different single funds, can be according to base
The golden market status judges fund combination, judges whether to need rebalancing measure.
In one embodiment, when exporting FALSE signal, then the single fund in fund combination is sentenced into next day
It is disconnected whether to need rebalancing.
When all single funds determine in combining to fund, when the signal of output is FALSE signal, then recognize
For weight calculation script timing in next day without carrying out rebalancing measure, can be waited to calculate single base in fund combination at this time
Then the present weight of gold recycles and judges whether to need rebalancing to the single fund in fund combination.
In one embodiment, also contain in configuration file to the preset rebalancing mode of each fund, as output TRUE
When signal, it is believed that fund combination needs to be implemented weight and restores rebalancing, will according to rebalancing mode corresponding in configuration file
TRUE signal is exported to corresponding rebalancing model.Rebalancing mode include need to recalculate the rebalancing mode of weight, and
Without calculating the rebalancing mode of weight;The corresponding rebalancing model of rebalancing mode for needing to recalculate weight is mean value side
Differential mode type, with the initial weight for recalculating the fund combination;Rebalancing mode without calculating weight is corresponding again
Balance model is fund tune storehouse model, to readjust the weight of single fund in the fund combination.
In the database of fund transaction system when preset configuration file, in addition in such as table 1 to single fund preset time
Threshold value, weight threshold and judge to have preset rebalancing mode outside type, according to rebalancing mode, TRUE signal is exported to correspondence
Rebalancing model.At this point, the setting of configuration file can be using as shown in table 2 below:
Single fund name | Time threshold | Weight threshold | Judge type | Rebalancing mode |
A fund | 1 day | 5% | Long type when fixed | It needs to recalculate weight |
B fund | 3 days | 10% | Weight threshold type | Without calculating weight |
C fund | 5 days | 20% | Composite type | It needs to recalculate weight |
D fund | 2 days | 10% | Long type when fixed | Without calculating weight |
Table 2
Mean shift mode is a kind of model for needing to recalculate weight, mean shift mode be by
The Risk Model that H.M.Markowitz (Harry's Markovitz) is proposed in nineteen fifty-two.Markovitz is defined as risk
The method of mathematical statistics is applied in the research of Portfolio Selection Based by the stability bandwidth of expected rate, and mean shift mode makes
The target mutually restricted can reach optimal counterbalance effect.Investor invests a given fund in the regular period
Before, knack, which is ordered, buys how which fund and fund distribute on these funds, and investor needs in the beginning from all possibility
Fund combination in the optimal fund combination of selection one, there are two decision objectives: as high as possible earning rate and as far as possible
Low uncertain risk, best target should be that the target for restricting the two mutually reaches optimum balance.Thus it sets up
The investment model come is mean shift mode, and the circular of mean shift mode is as follows:
Objective function: 2 (r of min бp)=∑ ∑ xixjCov(ri-rj)
rp=∑ xiri
Restrictive condition: 1=∑ xi(permit short sale)
Or 1=∑ xi xi> >=0 (no short sale)
Wherein rpFor fund portfolio yields, riFor the income of i-th fund, xi、xjFor the ratio between investments of fund i, j, that is, weigh
Weight, 2 (r of бp) it is portfolio investment variance (combination overall risk), Cov (ri、rj) it is covariance between two funds.In limitation item
X is solved under parti, make 2 (r of fund constitution's risk бp) minimum, it can be acquired by Lagrangian objective function.
Fund tune storehouse model is a kind of model without recalculating weight, and fund tune storehouse model only carries out in fund combination
Tune storehouse between single fund, and weight is transferred to target weight, target weight=initial weight when single fund is bought in+is matched
Set corresponding weight threshold in file.
The present embodiment, after to output TRUE signal, it is believed that fund combination needs to be implemented the side that weight restores rebalancing
Formula is further judged, by the selection of two kinds of different rebalancing strategies, can not only be led to all funds in fund combination
It crosses the pool that mean shift mode carries out again and adjusts weight, fund tune storehouse can also be passed through to the single fund in fund combination
Model progress is separately adjustable, to realize final maximum revenue.
In one embodiment it is proposed that a kind of fund rebalancing judges system, as shown in figure 3, including such as lower unit:
Configuration unit contains in configuration file to list for the preset configuration file in the database of fund transaction system
The preset time threshold of a fund, weight threshold and judge type;
Computing unit, when being bought in for fund combination to occur in fund transaction system, when buying in of record fund combination
Between, the weight calculation script being preset in fund transaction system is called, it is first when buying in calculate single fund in fund combination
Beginning weight, and timing daily calculate the present weight of single fund in fund combination;
Judging unit judges whether to need rebalancing, reads and match before judgement for the single fund in combining fund
It sets the corresponding judgement type of single fund in file and judges single fund from the time is bought in current time according to type is judged
Time difference whether reach the time threshold, or whether the weight difference of initial weight to present weight when buying in reaches weight
Threshold value exports TRUE signal if reaching, and otherwise exports FALSE signal.
In one embodiment, as shown in figure 4, judging unit includes following module:
Fixed duration type judging module, for judging long type when judging whether type is fixed of single fund, if
Be then judge current time subtract buy in the time whether arrival time threshold value, if reach if export TRUE signal, otherwise export
FALSE signal, single fund judge long type when whether type is fixed, if it is not, then entering weight threshold type judges mould
Block;
Weight threshold type judging module judges whether type is weight threshold type for judge single fund, if
It is whether the weight for then judging that the present weight of single fund subtracts when buying in reaches weight threshold, if reaching, exports TRUE
Otherwise signal exports FALSE signal;Single fund judges whether type is weight threshold type, if it is not, then entering composite class
Type judgment module;
Composite type judgment module judges whether type is composite type for judge single fund, if so, judgement
Current time subtract buy in the time whether arrival time threshold value, TRUE signal is exported if reaching, if it is not, it is single to continue judgement
The present weight of fund subtracts whether weight when buying in reaches weight threshold, if reaching, exports TRUE signal, otherwise exports
FALSE signal, single fund judges whether type is composite type, if it is not, then exporting FALSE signal.
In one embodiment it is proposed that a kind of computer equipment, including memory and processor, it is stored in memory
Computer-readable instruction, when computer-readable instruction is executed by processor, so that reality when processor executes computer-readable instruction
Existing following steps: the preset configuration file in the database of fund transaction system, configuration file are interior containing default to single fund
Time threshold, weight threshold and judge type;When the combination of generation fund is bought in fund transaction system, record fund combination
Buy in the time, call the weight calculation script being preset in fund transaction system, calculate single fund in fund combination and buying
Fashionable initial weight, and timing daily calculate the present weight of single fund in fund combination;To single in fund combination
Fund judges whether to need rebalancing, the corresponding judgement type of single fund in configuration file is read before judgement, according to judgement
Type, judge single fund from buy in the time to current time time difference whether arrival time threshold value, or it is initial when buying in
Whether the weight difference of weight to present weight reaches weight threshold, if reaching, exports TRUE signal, otherwise exports FALSE letter
Number.
In one embodiment it is proposed that a kind of storage medium for being stored with computer-readable instruction, computer-readable finger
When order is executed by one or more processors, so that one or more processors execute following steps: in fund transaction system
Preset configuration file in database, configuration file is interior to be contained to the preset time threshold of single fund, weight threshold and judges class
Type;When the combination of generation fund is bought in fund transaction system, the time is bought in record fund combination, and calling is preset in fund and hands over
Weight calculation script in easy system calculates single initial weight and daily timing ga(u)ge of the fund when buying in fund combination
Calculate the present weight of single fund in fund combination;Single fund in fund combination is judged whether to need rebalancing, is being sentenced
The corresponding judgement type of single fund in configuration file is read before disconnected, according to type is judged, judges single fund from buying in the time
To current time time difference whether arrival time threshold value, or whether the weight difference of initial weight to present weight when buying in arrive
Up to weight threshold, if reaching, TRUE signal is exported, otherwise exports FALSE signal.
Those of ordinary skill in the art will appreciate that all or part of the steps in the various methods of above-described embodiment is can
It is completed with instructing relevant hardware by program, which can be stored in a computer readable storage medium, storage
Medium may include: read-only memory (ROM, Read Only Memory), random access memory (RAM, Random
Access Memory), disk or CD etc..
Each technical characteristic of embodiment described above can be combined arbitrarily, for simplicity of description, not to above-mentioned reality
It applies all possible combination of each technical characteristic in example to be all described, as long as however, the combination of these technical characteristics is not deposited
In contradiction, all should be considered as described in this specification.
Some exemplary embodiments of the invention above described embodiment only expresses, the description thereof is more specific and detailed, but
It cannot be construed as a limitation to the scope of the present invention.It should be pointed out that for the ordinary skill people of this field
For member, without departing from the inventive concept of the premise, various modifications and improvements can be made, these belong to of the invention
Protection scope.Therefore, the scope of protection of the patent of the invention shall be subject to the appended claims.
Claims (10)
1. a kind of fund rebalancing judgment method, which comprises the steps of:
The preset configuration file in the database of fund transaction system, in the configuration file containing it is preset to single fund when
Between threshold value, weight threshold and judge type;
When the combination of generation fund is bought in the fund transaction system, record the fund combination buys in the time, calls pre-
It is initial when buying in calculate single fund in the fund combination for the weight calculation script being located in the fund transaction system
Weight, and the present weight of single fund in the fund combination is periodically calculated daily;
Single fund in fund combination is judged whether to need rebalancing, is read before judgement single in the configuration file
The corresponding judgement type of a fund, according to the judgement type, judge the single fund from buy in the time to it is current when
Between time difference whether reach the time threshold, or whether the weight difference of initial weight to present weight when buying in reaches institute
Weight threshold is stated, if reaching, exports TRUE signal, otherwise exports FALSE signal.
2. fund rebalancing judgment method according to claim 1, which is characterized in that it is solid that the time threshold is set as one
Timing long value is to buy in start to needing the preset time of rebalancing poor in fund combination, is arranged as unit of one day;
The weight threshold is that single fund present weight and default weight when buying in fund combination are poor;
The judgement type includes long type when being judged as the fixation of foundation with duration, the weight threshold for being judged as with weight foundation
The composite type that long type and weight threshold type successively judge when type, fixation.
3. fund rebalancing judgment method according to claim 1, which is characterized in that the weight calculation script is described
After fund transaction system is called, calculate in the following way:
The weight calculation script obtained from the fund transaction system fund combination when buying in buy in the time, total amount,
Single fund buys in the amount of money, the calculation of initial weight when the single fund is bought in are as follows: when single fund is bought in
Initial weight buys in the amount of money divided by total amount equal to single fund;
The weight calculation script obtained from the fund transaction system single fund day income, fund combination always hold position
The amount of money, the calculation of the single fund present weight are as follows: single fund present weight buys in the amount of money equal to single fund
In addition day the sum of the income of single fund, divided by the amount of money of always holding position.
4. fund rebalancing judgment method according to claim 2, which is characterized in that according to the judgement type, judgement
When single fund, using following judgment method:
Judge single fund judges long type when whether type is described fixed, buys in if so, judging that current time subtracts
Whether the time reaches the time threshold, exports TRUE signal if reaching, and otherwise exports FALSE signal, and single fund is sentenced
Long type when whether disconnected type is described fixed, if it is not, then entering the judgement of the weight threshold type;
Judge single fund judges whether type is the weight threshold type, if so, judging working as the single fund
Preceding weight subtracts whether weight when buying in reaches the weight threshold, if reaching, exports TRUE signal, otherwise exports
FALSE signal;Single fund judges whether type is the weight threshold type, if it is not, then into the composite type
Judgement;
Judge single fund judges whether type is the composite type, if so, judging that current time subtracts buys in the time
The time threshold whether is reached, exports TRUE signal if reaching, if it is not, continuing to judge the current power of the single fund
It subtracts whether weight when buying in reaches the weight threshold again, if reaching, exports TRUE signal, otherwise export FALSE letter
Number, single fund judges whether type is the composite type, if it is not, then exporting FALSE signal.
5. fund rebalancing judgment method according to claim 1, which is characterized in that when exporting FALSE signal, then into
Enter next day the single fund in fund combination is judged whether to need rebalancing;
Also contain to the preset rebalancing mode of each fund, when exporting TRUE signal, it is believed that fund in the configuration file
Combination needs to be implemented weight recovery rebalancing and is exported TRUE signal according to rebalancing mode corresponding in the configuration file
To corresponding rebalancing model.
6. the fund rebalancing judgment method stated according to claim 5, which is characterized in that the rebalancing mode includes needing weight
The new rebalancing mode for calculating weight, and the rebalancing mode without calculating weight;
The corresponding rebalancing model of rebalancing mode for needing to recalculate weight is mean shift mode, for again
Calculate the initial weight of the fund combination;
The corresponding rebalancing model of rebalancing mode without calculating weight is fund tune storehouse model, described in readjusting
The weight of single fund in fund combination.
7. a kind of fund rebalancing judges system, which is characterized in that including such as lower unit:
Configuration unit contains in the configuration file to list for the preset configuration file in the database of fund transaction system
The preset time threshold of a fund, weight threshold and judge type;
Computing unit, when being bought in for fund combination to occur in the fund transaction system, when buying in of record fund combination
Between, the weight calculation script being preset in the fund transaction system is called, single fund in the fund combination is calculated and is buying
Fashionable initial weight, and the present weight of single fund in the fund combination is periodically calculated daily;
Judging unit reads institute for judging whether to need rebalancing to the single fund in fund combination before judgement
It states the corresponding judgement type of single fund in configuration file and judges single fund from when buying according to the judgement type
Between whether reach the time threshold to time difference of current time, or the weight of initial weight to present weight when buying in is poor
The weight threshold whether is reached, if reaching, exports TRUE signal, otherwise exports FALSE signal.
8. fund rebalancing according to claim 7 judges system, which is characterized in that the judging unit includes such as lower die
Block:
Fixed duration type judging module, for judging long type when judging whether type is described fixed of single fund, if
It is then to judge that current time subtracts to buy in whether the time reaches the time threshold, exports TRUE signal if reaching, it is otherwise defeated
FALSE signal out, single fund judge long type when whether type is described fixed, if it is not, then entering weight threshold type
Judgment module;
Weight threshold type judging module judges whether type is the weight threshold type for judge single fund, if
It is whether the weight for then judging that the present weight of the single fund subtracts when buying in reaches the weight threshold, if reaching,
TRUE signal is exported, FALSE signal is otherwise exported;Single fund judges whether type is the weight threshold type, if it is not,
Then enter composite type judgment module;
Composite type judgment module judges whether type is the composite type for judge single fund, if so, judgement
Current time, which subtracts, buys in whether the time reaches the time threshold, TRUE signal is exported if reaching, if it is not, continuing to judge
The present weight of the single fund subtracts whether weight when buying in reaches the weight threshold, if reaching, exports TRUE
Otherwise signal exports FALSE signal, single fund judges whether type is the composite type, if it is not, then exporting FALSE
Signal.
9. a kind of computer equipment, including memory and processor, it is stored with computer-readable instruction in the memory, it is described
When computer-readable instruction is executed by the processor, so that the processor executes such as any one of claims 1 to 6 right
It is required that the step of fund rebalancing judgment method.
10. a kind of storage medium for being stored with computer-readable instruction, the computer-readable instruction is handled by one or more
When device executes, so that one or more processors execute the fund rebalancing as described in any one of claims 1 to 6 claim
The step of judgment method.
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CN201810569636.6A CN109190863A (en) | 2018-06-05 | 2018-06-05 | Fund rebalancing judgment method, system, computer equipment and storage medium |
PCT/CN2018/104080 WO2019232949A1 (en) | 2018-06-05 | 2018-09-05 | Fund rebalancing determination method and system, computer device and storage medium |
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US7039608B2 (en) * | 1999-12-30 | 2006-05-02 | Ge Capital Commercial Finance, Inc. | Rapid valuation of portfolios of assets such as financial instruments |
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CN108090837A (en) * | 2018-02-08 | 2018-05-29 | 上海译会信息科技有限公司 | One kind of multiple portfolio investment tactics methods of risk assessment |
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