public int CompareTo(object obj)
{
EquityAttibution eax = (EquityAttibution)obj;
EquityAttibution eay = this;
if (eax.PortfolioWeight > eay.PortfolioWeight)
{
return(1);
}
else if (eax.PortfolioWeight == eay.PortfolioWeight)
{
if (eax.BenchmarkWeight >= eay.BenchmarkWeight)
{
return(1);
}
else
{
return(-1);
}
}
else
{
return(-1);
}
}
public List <EquityAttibution> Attribute()
{
if (this.Benchmark == null || this.Benchmark.Components == null || this.Benchmark.Components.Count == 0)
{
MessageManager.GetInstance().AddMessage(MessageType.Information, "未设置比较基准", "");
return(null);
}
ASecurityGroup benchmarkcomponents = this.Benchmark.GetLatestComponents();
if (benchmarkcomponents.SecurityList == null || benchmarkcomponents.SecurityList.Count == 0 || benchmarkcomponents.SecurityList[0].Type != SecurityType.Equity)
{
throw new Exception("比较基准设置错误，仅股票型可用");
}
List <EquityGroup> bmindustrylist = ((EquityGroup)benchmarkcomponents).IndustryList;
EquityGroup portfolio = (EquityGroup)this.PortfGroup.GetLatestPortfolio().EquityHoldings;
List <EquityGroup> pindustrylist = portfolio.IndustryList;
//基准总回报：
// 1) benchmarkcomponents.Position.AccumulatedYieldIndex - 1; //指数成份的区间加权平均收益率，这个不准确，因为一个月内成分权重会随着涨跌变化
// 2) this.Benchmark.Position.CurrentYield; //指数的区间收益率，这个准确
double totalbmreturn = this.Benchmark.Position.CurrentYield;
this.EquityAttributions.Clear();
foreach (EquityGroup bmindustry in bmindustrylist)
{
EquityGroup pindustry = pindustrylist.Find(delegate(EquityGroup eg) { return(eg.Name == bmindustry.Name); });
if (pindustry == null)
{
pindustry = new EquityGroup();
pindustry.Name = bmindustry.Name;
}
//•行业配置回报 = (组合权重 - 基准权重) * (基准回报 - 基准总回报)，反应投资组合的行业配置效应；
//•行业内选股回报 = 基准权重 * (组合回报 - 基准回报)，反应投资组合行业内的选股效应；
//•交叉回报 = (组合权重 - 基准权重) * (组合回报 - 基准回报)，反应行业配置和行业内选股的联合效应；
//•增加值 = 组合权重 * 组合回报 - 基准权重 * 基准回报，反应主动性管理给投资组合带来的超额收益效应；
EquityAttibution ea = new EquityAttibution();
ea.IndustryName = bmindustry.Name;
ea.MarketValue = pindustry.Position.MarketValue;
ea.PortfolioWeight = pindustry.Position.MarketValuePct;
ea.BenchmarkWeight = bmindustry.Position.MarketValuePct;
ea.PortfolioReturn = pindustry.Position.AccumulatedYieldIndex - 1;
ea.BenchmarkReturn = bmindustry.Position.AccumulatedYieldIndex - 1;
ea.IndustryAttribution = (ea.PortfolioWeight - ea.BenchmarkWeight) * (ea.BenchmarkReturn - totalbmreturn);
ea.SecurityAttribution = ea.BenchmarkWeight * (ea.PortfolioReturn - ea.BenchmarkReturn);
ea.CrossAttribution = (ea.PortfolioWeight - ea.BenchmarkWeight) * (ea.PortfolioReturn - ea.BenchmarkReturn);
ea.ValueAdded = ea.PortfolioWeight * ea.PortfolioReturn - ea.BenchmarkWeight * ea.BenchmarkReturn;
this.EquityAttributions.Add(ea);
}
//按市值排序
this.EquityAttributions.Sort();
//整个股票组合
EquityAttibution equityattr = new EquityAttibution();
equityattr.IndustryName = "股票组合";
equityattr.MarketValue = portfolio.Position.MarketValue;
equityattr.PortfolioWeight = portfolio.Position.MarketValuePct;
equityattr.PortfolioReturn = portfolio.Position.AccumulatedYieldIndex - 1;
equityattr.BenchmarkReturn = totalbmreturn;
equityattr.ValueAdded = equityattr.PortfolioReturn - equityattr.BenchmarkReturn;
this.EquityAttributions.Add(equityattr);
return(this.EquityAttributions);
}
