{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"import sys\n",
"sys.path.insert(0, \"../../\")\n",
"from pyecharts import online\n",
"online()\n",
"# 演示必要的准备代码，使用该库时不需重复此单元格命令"
]
},
{
"cell_type": "code",
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
"import xalpha as xa\n",
"import pandas as pd"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# 同一基金的A类C类份额研究"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"一般来讲A和C份额的区别，就是A收申购费赎回费，C不收，不过每日净值中收取销售服务费，两者的持有平衡点在一年左右"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"广发中证500ETF联接A"
]
},
"execution_count": 3,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gf500a = xa.fundinfo('162711')\n",
"gf500a"
]
},
{
"cell_type": "code",
"execution_count": 4,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"广发中证500ETF联接C"
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gf500c = xa.fundinfo('002903')\n",
"gf500c"
]
},
{
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"fund name: 广发中证500ETF联接A\n",
"fund code: 162711\n",
"fund purchase fee: 0.12%\n",
"fund redemption fee info: ['小于7天', '1.50%', '大于等于7天，小于1年', '0.50%', '大于等于1年，小于2年', '0.30%', '大于等于2年', '0.00%']\n"
]
}
],
"source": [
"gf500a.info()"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"fund name: 广发中证500ETF联接C\n",
"fund code: 002903\n",
"fund purchase fee: 0.0%\n",
"fund redemption fee info: ['小于等于7天', '1.50%', '大于7天', '0.00%']\n"
]
}
],
"source": [
"gf500c.info() # 即使C类，由于国家新规，所有场外基金七天内报复性收取1.5%的赎回费是不可避免的"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"至于销售服务费的部分，直接反应在了净值的走势里，下面直接比较两者净值区别"
]
},
{
"cell_type": "code",
"execution_count": 7,
"metadata": {},
"outputs": [],
"source": [
"gf500c.bcmkset(gf500a)"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"\n",
" \n",
"\n",
"\n",
"\n"
],
"text/plain": [
""
]
},
"execution_count": 8,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gf500c.v_netvalue()\n",
"# 由此可见，两者净值高度吻合，但C类对应的红线，随着时间变化，渐渐靠下"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"-0.0018000000000000099"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gf500c.total_annualized_returns()-gf500c.benchmark_annualized_returns()\n",
"# C类的年化收益相交基准A类少了0.18%，和0.2%每年的销售服务费基本吻合"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"下面我们将讨论这两种基金真实持有的时间平衡点，考虑到 xirr 年化计算时，\n",
"自带扣除赎回费的虚拟卖出功能，可以直接比较两者 xirr 收益率何时交叉"
]
},
{
"cell_type": "code",
"execution_count": 14,
"metadata": {},
"outputs": [],
"source": [
"# 首先制作一个买入并持有的交易单\n",
"sta = xa.policy.buyandhold(gf500a, start='2017-01-01')\n",
"stc = xa.policy.buyandhold(gf500c, start='2017-01-01')"
]
},
{
"cell_type": "code",
"execution_count": 15,
"metadata": {},
"outputs": [],
"source": [
"# 分别实际交易\n",
"gf500a_t = xa.trade(gf500a, sta.status)\n",
"gf500c_t = xa.trade(gf500c, stc.status)"
]
},
{
"cell_type": "code",
"execution_count": 18,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"-0.00948902317486472"
]
},
"execution_count": 18,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 持有半年对比，C类更划算，接近跑赢1%！\n",
"gf500a_t.xirrrate('2017-06-30')-gf500c_t.xirrrate('2017-06-30')"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"-8.546973222126053e-06"
]
},
"execution_count": 22,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gf500a_t.xirrrate('2018-04-30')-gf500c_t.xirrrate('2018-04-30')"
]
},
{
"cell_type": "code",
"execution_count": 26,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"1.6879065194576326e-05"
]
},
"execution_count": 26,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 由此可知对于广发中证500，持有不同份额的平衡点是17个月左右，超过17个月，A份额更具吸引力\n",
"gf500a_t.xirrrate('2018-05-03')-gf500c_t.xirrrate('2018-05-03')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"下面我们看下进行网格交易时，两者对收益率的影响"
]
},
{
"cell_type": "code",
"execution_count": 28,
"metadata": {},
"outputs": [],
"source": [
"gra = xa.policy.grid(gf500a,[3,3,3,3,3,3],[5,5,5,5,5,5],'2017-01-01', '2018-08-03')\n",
"grc = xa.policy.grid(gf500c,[3,3,3,3,3,3],[5,5,5,5,5,5],'2017-01-01', '2018-08-03')\n",
"# 每一仓位都是跌3%入，涨5％卖，总金额都是采用函数默认的100,000"
]
},
{
"cell_type": "code",
"execution_count": 29,
"metadata": {},
"outputs": [],
"source": [
"## 实际交易\n",
"gfa_grid_t = xa.trade(gf500a, gra.status) \n",
"gfc_grid_t = xa.trade(gf500c, grc.status) "
]
},
{
"cell_type": "code",
"execution_count": 30,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"(0.507412374501354, 0.6003244855718297)"
]
},
"execution_count": 30,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"gfa_grid_t.xirrrate('2018-04-01'),gfc_grid_t.xirrrate('2018-04-01')\n",
"# 截止18年愚人节，采用C份额进行的网格年化收益率比A份额高出了10个百分点！网格当之无愧要选择C类基金"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
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