china-nav-tieout

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

Primary: AkShare MCP

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