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BrinsonOfPR    

简述
Brinson-组合比例及涨幅,指定日组合中各个行业的比例、涨幅、贡献度。函数已废弃
定义
BrinsonOfPR (EndT:TdateTIME;tCY:array;tMM:array;vZXJSZ:real;ReturnType:Integer;MMType:integer):array
参数
名称类型说明
EndtTdateTIME日期，截止日
tCYarray数据表类型，昨持有样本
tMMarray数据表类型，今买卖样本
vZXJSZreal整数,昨除股票以外的市值
ReturnTypeInteger用户自定义，返回类型
显示名 取值
详细数据 0
组合-行业比例及涨幅 1
MMTypeinteger买卖记录数据类型
  • 算法

    1、股票维
    (1)每个股票占组合的比例 Wi,t-1=(股票昨市值Mi,t-1+股票今买入Bi,t)/组合昨总市值Mp,t-1
    (2)每个股票涨幅 Ri,t=(股票今市值Mi,t+股票今卖出Si,t)/(股票昨市值Mi,t-1+股票今买入Bi,t)-1
    (3)每个股票对组合的贡献度  Ri,t'=Wi,t-1*Ri,t

    2、行业维
    (1)每个行业占基准的比例 Wj,t-1=Sum(本行业各个股票的Wi,t-1)
    (2)每个行业对基准的贡献度  Rj,t'=Sum(本行业各个股票的Ri,t')
    (3)每个行业的涨幅 Rj,t=Rj,t'/Wj,t-1
    范例

    t1:=array(
    ("代码":"600108","证券名称":"亚盛集团","行业名称":"综合类","持有数量":15000000.0,"市值":52050000.0,"日期":39785.0),
    ("代码":"000069","证券名称":"华侨城","行业名称":"房地产业","持有数量":8000000.0,"市值":78400000.0,"日期":39785.0),
    ("代码":"600177","证券名称":"雅戈尔","行业名称":"纺织、服装、皮毛","持有数量":10000000.0,"市值":81900000.0,"日期":39785.0),
    ("代码":"600875","证券名称":"东方电气","行业名称":"机械、设备、仪表","持有数量":3000000.0,"市值":80760000.0,"日期":39785.0),
    ("代码":"600312","证券名称":"平高电气","行业名称":"机械、设备、仪表","持有数量":5200000.0,"市值":67028000.0,"日期":39785.0),
    ("代码":"600089","证券名称":"特变电工","行业名称":"机械、设备、仪表","持有数量":3500000.0,"市值":79205000.0,"日期":39785.0),
    ("代码":"600978","证券名称":"宜华木业","行业名称":"木材、家具","持有数量":10000000.0,"市值":32000000.0,"日期":39785.0),
    ("代码":"600096","证券名称":"云天化","行业名称":"石油、化学、塑胶、塑料","持有数量":3800000.0,"市值":83068000.0,"日期":39785.0),
    ("代码":"600836","证券名称":"界龙实业","行业名称":"造纸、印刷","持有数量":6000000.0,"市值":70920000.0,"日期":39785.0),
    ("代码":"600832","证券名称":"东方明珠","行业名称":"综合类","持有数量":10000000.0,"市值":73200000.0,"日期":39785.0),
    ("代码":"600881","证券名称":"亚泰集团","行业名称":"金属、非金属","持有数量":10000000.0,"市值":69600000.0,"日期":39785.0));
    t2:=array(
    ("代码":"600108","证券名称":"亚盛集团","买卖性质":"卖出","成交量":15000000.0,"成交价":3.53,"行业名称":"综合类","日期":39786.0),
    ("代码":"600177","证券名称":"雅戈尔","买卖性质":"卖出","成交量":10000000.0,"成交价":8.48,"行业名称":"纺织、服装、皮毛","日期":39786.0),
    ("代码":"600836","证券名称":"界龙实业","买卖性质":"卖出","成交量":6000000.0,"成交价":12.53,"行业名称":"造纸、印刷","日期":39786.0),
    ("代码":"600096","证券名称":"云天化","买卖性质":"卖出","成交量":3800000.0,"成交价":22.31,"行业名称":"石油、化学、塑胶、塑料","日期":39786.0),
    ("代码":"600832","证券名称":"东方明珠","买卖性质":"卖出","成交量":10000000.0,"成交价":7.59,"行业名称":"综合类","日期":39786.0),
    ("代码":"002039","证券名称":"黔源电力","买卖性质":"买入","成交量":4250000.0,"成交价":12.23,"行业名称":"电力、煤气及水的生产和供应业","日期":39786.0),
    ("代码":"601699","证券名称":"潞安环能","买卖性质":"买入","成交量":6500000.0,"成交价":12.82,"行业名称":"采掘业","日期":39786.0),
    ("代码":"000983","证券名称":"西山煤电","买卖性质":"买入","成交量":7028572.0,"成交价":10.22,"行业名称":"采掘业","日期":39786.0),
    ("代码":"600569","证券名称":"安阳钢铁","买卖性质":"买入","成交量":24141180.0,"成交价":3.41,"行业名称":"金属、非金属","日期":39786.0),
    ("代码":"000012","证券名称":"南玻A","买卖性质":"买入","成交量":8705882.0,"成交价":8.710000000000001,"行业名称":"金属、非金属","日期":39786.0),
    ("代码":"600881","证券名称":"亚泰集团","买卖性质":"买入","成交量":10000000.0,"成交价":6.96,"行业名称":"金属、非金属","日期":39786.0));
    return BrinsonOfPR(20181204T,t1,t2,238385000,0,0);
    返回:
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