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Commit 457cc1ee authored by Dr.李's avatar Dr.李
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added top10 in manager style

parent 77cc7cfd
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manager/020 基金经理穿透.ipynb
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...@@ -37,12 +37,13 @@ ...@@ -37,12 +37,13 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 2, "execution_count": 7,
"id": "f67845f8-7d22-4c1e-a0cb-8025487c102e", "id": "f67845f8-7d22-4c1e-a0cb-8025487c102e",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"trade_dt = adjustDateByCalendar(\"china.sse\", \"2022-03-18\").strftime(\"%Y%m%d\")" "trade_dt = adjustDateByCalendar(\"china.sse\", \"2022-03-18\").strftime(\"%Y%m%d\")\n",
"method = \"top10\""
] ]
}, },
{ {
...@@ -108,8 +109,8 @@ ...@@ -108,8 +109,8 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030011585</td>\n", " <td>1030010116</td>\n",
" <td>20180809</td>\n", " <td>20180830</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
...@@ -118,8 +119,8 @@ ...@@ -118,8 +119,8 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030010116</td>\n", " <td>2030000115</td>\n",
" <td>20180830</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
...@@ -128,7 +129,7 @@ ...@@ -128,7 +129,7 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>2030000115</td>\n", " <td>1030000867</td>\n",
" <td>20150313</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" </tr>\n", " </tr>\n",
...@@ -140,9 +141,9 @@ ...@@ -140,9 +141,9 @@
" MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n", " MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n",
"0 30322345 左金保 80000243 长信基金管理有限责任公司 1030008874 20170109 \n", "0 30322345 左金保 80000243 长信基金管理有限责任公司 1030008874 20170109 \n",
"1 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "1 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"2 30322345 左金保 80000243 长信基金管理有限责任公司 1030011585 20180809 \n", "2 30322345 左金保 80000243 长信基金管理有限责任公司 1030010116 20180830 \n",
"3 30322345 左金保 80000243 长信基金管理有限责任公司 1030010116 20180830 \n", "3 30322345 左金保 80000243 长信基金管理有限责任公司 2030000115 20150313 \n",
"4 30322345 左金保 80000243 长信基金管理有限责任公司 2030000115 20150313 \n", "4 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"\n", "\n",
" ENDDATE \n", " ENDDATE \n",
"0 19000101 \n", "0 19000101 \n",
...@@ -201,42 +202,42 @@ ...@@ -201,42 +202,42 @@
" <tr>\n", " <tr>\n",
" <th>0</th>\n", " <th>0</th>\n",
" <td>1030000867</td>\n", " <td>1030000867</td>\n",
" <td>1.9650</td>\n", " <td>1.9740</td>\n",
" <td>1.708075</td>\n", " <td>0.355872</td>\n",
" <td>4.331361e+08</td>\n", " <td>4.331361e+08</td>\n",
" <td>8.511125e+08</td>\n", " <td>8.550107e+08</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>1</th>\n", " <th>1</th>\n",
" <td>1030004356</td>\n", " <td>1030004356</td>\n",
" <td>1.5530</td>\n", " <td>1.5490</td>\n",
" <td>1.569653</td>\n", " <td>0.584416</td>\n",
" <td>3.131917e+08</td>\n", " <td>3.131917e+08</td>\n",
" <td>4.863867e+08</td>\n", " <td>4.851339e+08</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>2</th>\n", " <th>2</th>\n",
" <td>1030005207</td>\n", " <td>1030005207</td>\n",
" <td>1.8904</td>\n", " <td>1.8358</td>\n",
" <td>1.689080</td>\n", " <td>0.355327</td>\n",
" <td>8.538026e+07</td>\n", " <td>8.538026e+07</td>\n",
" <td>1.614028e+08</td>\n", " <td>1.567411e+08</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>3</th>\n", " <th>3</th>\n",
" <td>1030007006</td>\n", " <td>1030007006</td>\n",
" <td>1.1860</td>\n", " <td>1.1910</td>\n",
" <td>0.168919</td>\n", " <td>-0.750000</td>\n",
" <td>8.474709e+07</td>\n", " <td>8.474709e+07</td>\n",
" <td>1.005100e+08</td>\n", " <td>1.009338e+08</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>4</th>\n", " <th>4</th>\n",
" <td>1030008874</td>\n", " <td>1030008874</td>\n",
" <td>1.7560</td>\n", " <td>1.7630</td>\n",
" <td>1.679213</td>\n", " <td>0.398633</td>\n",
" <td>1.245329e+06</td>\n", " <td>1.245329e+06</td>\n",
" <td>2.186797e+06</td>\n", " <td>2.195515e+06</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
...@@ -244,11 +245,11 @@ ...@@ -244,11 +245,11 @@
], ],
"text/plain": [ "text/plain": [
" SECURITYID UNITNAV NAVGRTD ENDFDSHARE MKTV\n", " SECURITYID UNITNAV NAVGRTD ENDFDSHARE MKTV\n",
"0 1030000867 1.9650 1.708075 4.331361e+08 8.511125e+08\n", "0 1030000867 1.9740 0.355872 4.331361e+08 8.550107e+08\n",
"1 1030004356 1.5530 1.569653 3.131917e+08 4.863867e+08\n", "1 1030004356 1.5490 0.584416 3.131917e+08 4.851339e+08\n",
"2 1030005207 1.8904 1.689080 8.538026e+07 1.614028e+08\n", "2 1030005207 1.8358 0.355327 8.538026e+07 1.567411e+08\n",
"3 1030007006 1.1860 0.168919 8.474709e+07 1.005100e+08\n", "3 1030007006 1.1910 -0.750000 8.474709e+07 1.009338e+08\n",
"4 1030008874 1.7560 1.679213 1.245329e+06 2.186797e+06" "4 1030008874 1.7630 0.398633 1.245329e+06 2.195515e+06"
] ]
}, },
"execution_count": 4, "execution_count": 4,
...@@ -301,53 +302,53 @@ ...@@ -301,53 +302,53 @@
" <tbody>\n", " <tbody>\n",
" <tr>\n", " <tr>\n",
" <th>0</th>\n", " <th>0</th>\n",
" <td>1030010116</td>\n", " <td>1030000867</td>\n",
" <td>2010000026</td>\n", " <td>2010000042</td>\n",
" <td>中信证券</td>\n", " <td>厦门象屿</td>\n",
" <td>5514408.00</td>\n", " <td>15282000.0</td>\n",
" <td>208800.0</td>\n", " <td>1800000.0</td>\n",
" <td>2.67</td>\n", " <td>1.68</td>\n",
" <td>0.002774</td>\n", " <td>0.017899</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>1</th>\n", " <th>1</th>\n",
" <td>1030016920</td>\n", " <td>1030000867</td>\n",
" <td>2010000026</td>\n", " <td>2010000048</td>\n",
" <td>中信证券</td>\n", " <td>皖维高新</td>\n",
" <td>242972.00</td>\n", " <td>3131817.0</td>\n",
" <td>9200.0</td>\n", " <td>510900.0</td>\n",
" <td>2.36</td>\n", " <td>0.35</td>\n",
" <td>0.000122</td>\n", " <td>0.003668</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>2</th>\n", " <th>2</th>\n",
" <td>1030005207</td>\n", " <td>1030000867</td>\n",
" <td>2010000026</td>\n", " <td>2010000074</td>\n",
" <td>中信证券</td>\n", " <td>特变电工</td>\n",
" <td>5514408.00</td>\n", " <td>11829796.0</td>\n",
" <td>208800.0</td>\n", " <td>558800.0</td>\n",
" <td>2.67</td>\n", " <td>1.30</td>\n",
" <td>0.002774</td>\n", " <td>0.013856</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>3</th>\n", " <th>3</th>\n",
" <td>1030011585</td>\n", " <td>1030000867</td>\n",
" <td>2010000026</td>\n", " <td>2010000119</td>\n",
" <td>中信证券</td>\n", " <td>ST明诚</td>\n",
" <td>242972.00</td>\n", " <td>10250330.0</td>\n",
" <td>9200.0</td>\n", " <td>1529900.0</td>\n",
" <td>2.36</td>\n", " <td>1.13</td>\n",
" <td>0.000122</td>\n", " <td>0.012006</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>4</th>\n", " <th>4</th>\n",
" <td>1030011585</td>\n", " <td>1030000867</td>\n",
" <td>2010000030</td>\n", " <td>2010000152</td>\n",
" <td>招商银行</td>\n", " <td>中国巨石</td>\n",
" <td>401808.79</td>\n", " <td>15029378.0</td>\n",
" <td>8249.0</td>\n", " <td>825790.0</td>\n",
" <td>3.90</td>\n", " <td>1.66</td>\n",
" <td>0.000202</td>\n", " <td>0.017604</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
...@@ -355,11 +356,11 @@ ...@@ -355,11 +356,11 @@
], ],
"text/plain": [ "text/plain": [
" pid security_code SKNAME HOLDMKTCAP HOLDAMT NAVRTO weight\n", " pid security_code SKNAME HOLDMKTCAP HOLDAMT NAVRTO weight\n",
"0 1030010116 2010000026 中信证券 5514408.00 208800.0 2.67 0.002774\n", "0 1030000867 2010000042 厦门象屿 15282000.0 1800000.0 1.68 0.017899\n",
"1 1030016920 2010000026 中信证券 242972.00 9200.0 2.36 0.000122\n", "1 1030000867 2010000048 皖维高新 3131817.0 510900.0 0.35 0.003668\n",
"2 1030005207 2010000026 中信证券 5514408.00 208800.0 2.67 0.002774\n", "2 1030000867 2010000074 特变电工 11829796.0 558800.0 1.30 0.013856\n",
"3 1030011585 2010000026 中信证券 242972.00 9200.0 2.36 0.000122\n", "3 1030000867 2010000119 ST明诚 10250330.0 1529900.0 1.13 0.012006\n",
"4 1030011585 2010000030 招商银行 401808.79 8249.0 3.90 0.000202" "4 1030000867 2010000152 中国巨石 15029378.0 825790.0 1.66 0.017604"
] ]
}, },
"execution_count": 5, "execution_count": 5,
...@@ -369,13 +370,26 @@ ...@@ -369,13 +370,26 @@
], ],
"source": [ "source": [
"# 获取在管基金所有组合（半年报/年报）\n", "# 获取在管基金所有组合（半年报/年报）\n",
"manager_portfolio = fd_skdetail(funds.SECURITYID.unique().tolist(), nearest_report_date(trade_dt, freq=\"S\"))\n", "manager_portfolio = fd_skdetail(funds.SECURITYID.unique().tolist(), nearest_report_date(trade_dt, freq=\"Q\"))\n",
"manager_portfolio.head()" "manager_portfolio.head()"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 6, "execution_count": 17,
"id": "e7777cd2-6341-4e85-81a4-cc86fdb0f339",
"metadata": {},
"outputs": [],
"source": [
"# 如果需要计算重仓股\n",
"if method == \"top10\":\n",
" agg_port = manager_portfolio.groupby(\"security_code\")[\"HOLDMKTCAP\"].sum().sort_values(ascending=False)[:10]\n",
" manager_portfolio = manager_portfolio[manager_portfolio.security_code.isin(agg_port.index)]"
]
},
{
"cell_type": "code",
"execution_count": 19,
"id": "f3a678fe-31a3-4d95-a110-6eb40841c007", "id": "f3a678fe-31a3-4d95-a110-6eb40841c007",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -461,7 +475,7 @@ ...@@ -461,7 +475,7 @@
"4 1030010453 9901 股票型基金 990102 普通股票型基金" "4 1030010453 9901 股票型基金 990102 普通股票型基金"
] ]
}, },
"execution_count": 6, "execution_count": 19,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -474,7 +488,7 @@ ...@@ -474,7 +488,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 7, "execution_count": 20,
"id": "98fb2367-cf06-4ab5-9eb2-c9e20d3be17e", "id": "98fb2367-cf06-4ab5-9eb2-c9e20d3be17e",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -485,7 +499,7 @@ ...@@ -485,7 +499,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 8, "execution_count": 21,
"id": "71a55496-ba7b-4948-89e8-a84fe9f40a53", "id": "71a55496-ba7b-4948-89e8-a84fe9f40a53",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -496,7 +510,7 @@ ...@@ -496,7 +510,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 9, "execution_count": 22,
"id": "609292b2-4e07-4672-bf1a-103cfcb4d9f7", "id": "609292b2-4e07-4672-bf1a-103cfcb4d9f7",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -508,7 +522,7 @@ ...@@ -508,7 +522,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 10, "execution_count": 23,
"id": "07dad3d3-29fc-437b-97da-84be03e55215", "id": "07dad3d3-29fc-437b-97da-84be03e55215",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -524,7 +538,7 @@ ...@@ -524,7 +538,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 11, "execution_count": 24,
"id": "54bff949-0399-484b-a509-ebbd94060d59", "id": "54bff949-0399-484b-a509-ebbd94060d59",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -583,19 +597,19 @@ ...@@ -583,19 +597,19 @@
" <td>20171109</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030010453</td>\n",
" <td>2010003391</td>\n", " <td>2010000795</td>\n",
" <td>37983481.00</td>\n", " <td>36246897.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>-0.601</td>\n", " <td>0.703</td>\n",
" <td>-0.244</td>\n", " <td>0.209</td>\n",
" <td>-0.592</td>\n", " <td>-0.543</td>\n",
" <td>0.346</td>\n", " <td>1.041</td>\n",
" <td>0.374</td>\n", " <td>0.619</td>\n",
" <td>-1.013</td>\n", " <td>-0.761</td>\n",
" <td>-0.942</td>\n", " <td>0.709</td>\n",
" <td>0.825</td>\n", " <td>1.282</td>\n",
" <td>0.271</td>\n", " <td>-0.037</td>\n",
" <td>38.719367</td>\n", " <td>22.426232</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>1</th>\n", " <th>1</th>\n",
...@@ -603,26 +617,242 @@ ...@@ -603,26 +617,242 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030000867</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030000867</td>\n",
" <td>2010000795</td>\n",
" <td>14379476.00</td>\n",
" <td>...</td>\n",
" <td>0.703</td>\n",
" <td>0.209</td>\n",
" <td>-0.543</td>\n",
" <td>1.041</td>\n",
" <td>0.619</td>\n",
" <td>-0.761</td>\n",
" <td>0.709</td>\n",
" <td>1.282</td>\n",
" <td>-0.037</td>\n",
" <td>22.426232</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030004356</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030004356</td>\n",
" <td>2010000795</td>\n",
" <td>7825476.00</td>\n",
" <td>...</td>\n",
" <td>0.703</td>\n",
" <td>0.209</td>\n",
" <td>-0.543</td>\n",
" <td>1.041</td>\n",
" <td>0.619</td>\n",
" <td>-0.761</td>\n",
" <td>0.709</td>\n",
" <td>1.282</td>\n",
" <td>-0.037</td>\n",
" <td>22.426232</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030005207</td>\n",
" <td>20180830</td>\n",
" <td>19000101</td>\n",
" <td>1030005207</td>\n",
" <td>2010000795</td>\n",
" <td>550536.00</td>\n",
" <td>...</td>\n",
" <td>0.703</td>\n",
" <td>0.209</td>\n",
" <td>-0.543</td>\n",
" <td>1.041</td>\n",
" <td>0.619</td>\n",
" <td>-0.761</td>\n",
" <td>0.709</td>\n",
" <td>1.282</td>\n",
" <td>-0.037</td>\n",
" <td>22.426232</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n", " <td>1030010453</td>\n",
" <td>20171109</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030010453</td>\n",
" <td>2010003611</td>\n", " <td>2010001432</td>\n",
" <td>38871632.03</td>\n", " <td>27217604.12</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.138</td>\n", " <td>-0.359</td>\n",
" <td>-0.176</td>\n", " <td>-0.735</td>\n",
" <td>-0.906</td>\n", " <td>-0.402</td>\n",
" <td>0.490</td>\n", " <td>-0.742</td>\n",
" <td>0.505</td>\n", " <td>0.140</td>\n",
" <td>-1.176</td>\n", " <td>-0.466</td>\n",
" <td>-0.902</td>\n", " <td>-0.502</td>\n",
" <td>1.215</td>\n", " <td>-0.083</td>\n",
" <td>0.227</td>\n", " <td>0.548</td>\n",
" <td>49.827059</td>\n", " <td>24.365652</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>2</th>\n", " <th>5</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030000867</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030000867</td>\n",
" <td>2010001432</td>\n",
" <td>14462126.00</td>\n",
" <td>...</td>\n",
" <td>-0.359</td>\n",
" <td>-0.735</td>\n",
" <td>-0.402</td>\n",
" <td>-0.742</td>\n",
" <td>0.140</td>\n",
" <td>-0.466</td>\n",
" <td>-0.502</td>\n",
" <td>-0.083</td>\n",
" <td>0.548</td>\n",
" <td>24.365652</td>\n",
" </tr>\n",
" <tr>\n",
" <th>6</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030004356</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030004356</td>\n",
" <td>2010001432</td>\n",
" <td>8045968.00</td>\n",
" <td>...</td>\n",
" <td>-0.359</td>\n",
" <td>-0.735</td>\n",
" <td>-0.402</td>\n",
" <td>-0.742</td>\n",
" <td>0.140</td>\n",
" <td>-0.466</td>\n",
" <td>-0.502</td>\n",
" <td>-0.083</td>\n",
" <td>0.548</td>\n",
" <td>24.365652</td>\n",
" </tr>\n",
" <tr>\n",
" <th>7</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n",
" <td>20160727</td>\n",
" <td>19000101</td>\n",
" <td>1030007006</td>\n",
" <td>2010001432</td>\n",
" <td>4702768.00</td>\n",
" <td>...</td>\n",
" <td>-0.359</td>\n",
" <td>-0.735</td>\n",
" <td>-0.402</td>\n",
" <td>-0.742</td>\n",
" <td>0.140</td>\n",
" <td>-0.466</td>\n",
" <td>-0.502</td>\n",
" <td>-0.083</td>\n",
" <td>0.548</td>\n",
" <td>24.365652</td>\n",
" </tr>\n",
" <tr>\n",
" <th>8</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n",
" <td>20171109</td>\n",
" <td>19000101</td>\n",
" <td>1030010453</td>\n",
" <td>2010003391</td>\n",
" <td>37983481.00</td>\n",
" <td>...</td>\n",
" <td>-1.174</td>\n",
" <td>-0.273</td>\n",
" <td>-0.531</td>\n",
" <td>0.064</td>\n",
" <td>0.352</td>\n",
" <td>-1.017</td>\n",
" <td>-0.937</td>\n",
" <td>0.616</td>\n",
" <td>0.299</td>\n",
" <td>34.484245</td>\n",
" </tr>\n",
" <tr>\n",
" <th>9</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030000867</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030000867</td>\n",
" <td>2010003391</td>\n",
" <td>12633400.00</td>\n",
" <td>...</td>\n",
" <td>-1.174</td>\n",
" <td>-0.273</td>\n",
" <td>-0.531</td>\n",
" <td>0.064</td>\n",
" <td>0.352</td>\n",
" <td>-1.017</td>\n",
" <td>-0.937</td>\n",
" <td>0.616</td>\n",
" <td>0.299</td>\n",
" <td>34.484245</td>\n",
" </tr>\n",
" <tr>\n",
" <th>10</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030004356</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030004356</td>\n",
" <td>2010003391</td>\n",
" <td>6305400.00</td>\n",
" <td>...</td>\n",
" <td>-1.174</td>\n",
" <td>-0.273</td>\n",
" <td>-0.531</td>\n",
" <td>0.064</td>\n",
" <td>0.352</td>\n",
" <td>-1.017</td>\n",
" <td>-0.937</td>\n",
" <td>0.616</td>\n",
" <td>0.299</td>\n",
" <td>34.484245</td>\n",
" </tr>\n",
" <tr>\n",
" <th>11</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
...@@ -634,19 +864,19 @@ ...@@ -634,19 +864,19 @@
" <td>2010003976</td>\n", " <td>2010003976</td>\n",
" <td>62086609.80</td>\n", " <td>62086609.80</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.637</td>\n", " <td>0.982</td>\n",
" <td>1.193</td>\n", " <td>1.242</td>\n",
" <td>-0.679</td>\n", " <td>-0.374</td>\n",
" <td>1.108</td>\n", " <td>1.226</td>\n",
" <td>0.918</td>\n", " <td>0.980</td>\n",
" <td>-1.193</td>\n", " <td>-1.239</td>\n",
" <td>-0.907</td>\n", " <td>-0.907</td>\n",
" <td>2.022</td>\n", " <td>1.925</td>\n",
" <td>-0.414</td>\n", " <td>-0.430</td>\n",
" <td>60.772340</td>\n", " <td>57.649525</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>3</th>\n", " <th>12</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
...@@ -658,19 +888,19 @@ ...@@ -658,19 +888,19 @@
" <td>2010004017</td>\n", " <td>2010004017</td>\n",
" <td>39461600.00</td>\n", " <td>39461600.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>2.074</td>\n", " <td>1.692</td>\n",
" <td>0.787</td>\n", " <td>0.883</td>\n",
" <td>-0.197</td>\n", " <td>-0.320</td>\n",
" <td>2.566</td>\n", " <td>2.505</td>\n",
" <td>-0.826</td>\n", " <td>-0.849</td>\n",
" <td>-1.170</td>\n", " <td>-1.235</td>\n",
" <td>0.896</td>\n", " <td>0.874</td>\n",
" <td>2.180</td>\n", " <td>2.146</td>\n",
" <td>-0.346</td>\n", " <td>-0.396</td>\n",
" <td>-611.515203</td>\n", " <td>-614.680243</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>4</th>\n", " <th>13</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
...@@ -682,210 +912,318 @@ ...@@ -682,210 +912,318 @@
" <td>2010004732</td>\n", " <td>2010004732</td>\n",
" <td>57457579.76</td>\n", " <td>57457579.76</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.146</td>\n", " <td>0.846</td>\n",
" <td>2.373</td>\n", " <td>2.450</td>\n",
" <td>-1.173</td>\n", " <td>-1.240</td>\n",
" <td>-0.141</td>\n", " <td>0.125</td>\n",
" <td>-0.280</td>\n", " <td>-0.296</td>\n",
" <td>-1.144</td>\n", " <td>-1.191</td>\n",
" <td>-0.248</td>\n", " <td>-0.249</td>\n",
" <td>1.678</td>\n", " <td>1.602</td>\n",
" <td>0.213</td>\n", " <td>0.217</td>\n",
" <td>217.991713</td>\n", " <td>209.161443</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>...</th>\n", " <th>14</th>\n",
" <td>...</td>\n", " <td>30322345</td>\n",
" <td>...</td>\n", " <td>左金保</td>\n",
" <td>...</td>\n", " <td>80000243</td>\n",
" <td>...</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>...</td>\n", " <td>1030010453</td>\n",
" <td>...</td>\n", " <td>20171109</td>\n",
" <td>...</td>\n", " <td>19000101</td>\n",
" <td>...</td>\n", " <td>1030010453</td>\n",
" <td>...</td>\n", " <td>2010007669</td>\n",
" <td>...</td>\n", " <td>51753010.00</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.055</td>\n",
" <td>0.679</td>\n",
" <td>-0.674</td>\n",
" <td>1.445</td>\n",
" <td>1.165</td>\n",
" <td>-1.364</td>\n",
" <td>-1.083</td>\n",
" <td>1.121</td>\n",
" <td>-0.318</td>\n",
" <td>62.968807</td>\n",
" </tr>\n",
" <tr>\n",
" <th>15</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030004356</td>\n",
" <td>20150313</td>\n",
" <td>19000101</td>\n",
" <td>1030004356</td>\n",
" <td>2010007669</td>\n",
" <td>5365620.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.055</td>\n",
" <td>0.679</td>\n",
" <td>-0.674</td>\n",
" <td>1.445</td>\n",
" <td>1.165</td>\n",
" <td>-1.364</td>\n",
" <td>-1.083</td>\n",
" <td>1.121</td>\n",
" <td>-0.318</td>\n",
" <td>62.968807</td>\n",
" </tr>\n",
" <tr>\n",
" <th>16</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030005207</td>\n",
" <td>20180830</td>\n",
" <td>19000101</td>\n",
" <td>1030005207</td>\n",
" <td>2010007669</td>\n",
" <td>2728670.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.055</td>\n",
" <td>0.679</td>\n",
" <td>-0.674</td>\n",
" <td>1.445</td>\n",
" <td>1.165</td>\n",
" <td>-1.364</td>\n",
" <td>-1.083</td>\n",
" <td>1.121</td>\n",
" <td>-0.318</td>\n",
" <td>62.968807</td>\n",
" </tr>\n",
" <tr>\n",
" <th>17</th>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n",
" <td>20171109</td>\n",
" <td>19000101</td>\n",
" <td>1030010453</td>\n",
" <td>2010021270</td>\n",
" <td>70099480.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.529</td>\n",
" <td>1.371</td>\n",
" <td>-1.195</td>\n",
" <td>1.284</td>\n",
" <td>1.255</td>\n",
" <td>-1.381</td>\n",
" <td>-0.451</td>\n",
" <td>0.533</td>\n",
" <td>-0.401</td>\n",
" <td>94.347459</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>65</th>\n", " <th>18</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n", " <td>1030010453</td>\n",
" <td>20160727</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030007006</td>\n", " <td>1030010453</td>\n",
" <td>2010025110</td>\n", " <td>2010029662</td>\n",
" <td>5184990.00</td>\n", " <td>68678400.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>-1.961</td>\n", " <td>0.874</td>\n",
" <td>-1.154</td>\n", " <td>2.595</td>\n",
" <td>-0.902</td>\n", " <td>-1.118</td>\n",
" <td>0.419</td>\n", " <td>0.648</td>\n",
" <td>0.678</td>\n", " <td>1.314</td>\n",
" <td>-1.148</td>\n", " <td>-1.380</td>\n",
" <td>-0.560</td>\n", " <td>0.468</td>\n",
" <td>0.353</td>\n", " <td>0.541</td>\n",
" <td>0.600</td>\n", " <td>0.217</td>\n",
" <td>45.277531</td>\n", " <td>119.256978</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>66</th>\n", " <th>19</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n", " <td>1030000867</td>\n",
" <td>20160727</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030007006</td>\n", " <td>1030000867</td>\n",
" <td>2010031328</td>\n", " <td>2010029662</td>\n",
" <td>6292354.00</td>\n", " <td>7879200.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.711</td>\n", " <td>0.874</td>\n",
" <td>-0.588</td>\n", " <td>2.595</td>\n",
" <td>-1.336</td>\n", " <td>-1.118</td>\n",
" <td>-0.202</td>\n", " <td>0.648</td>\n",
" <td>1.745</td>\n", " <td>1.314</td>\n",
" <td>-1.141</td>\n", " <td>-1.380</td>\n",
" <td>-0.556</td>\n",
" <td>0.233</td>\n",
" <td>0.468</td>\n", " <td>0.468</td>\n",
" <td>88.885583</td>\n", " <td>0.541</td>\n",
" <td>0.217</td>\n",
" <td>119.256978</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>67</th>\n", " <th>20</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n", " <td>1030004356</td>\n",
" <td>20160727</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030007006</td>\n", " <td>1030004356</td>\n",
" <td>2010031624</td>\n", " <td>2010029662</td>\n",
" <td>5697780.00</td>\n", " <td>6820800.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.026</td>\n", " <td>0.874</td>\n",
" <td>-1.134</td>\n", " <td>2.595</td>\n",
" <td>-0.261</td>\n", " <td>-1.118</td>\n",
" <td>0.620</td>\n", " <td>0.648</td>\n",
" <td>0.493</td>\n", " <td>1.314</td>\n",
" <td>-1.100</td>\n", " <td>-1.380</td>\n",
" <td>-1.131</td>\n", " <td>0.468</td>\n",
" <td>1.317</td>\n", " <td>0.541</td>\n",
" <td>0.601</td>\n", " <td>0.217</td>\n",
" <td>23.858731</td>\n", " <td>119.256978</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>68</th>\n", " <th>21</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n", " <td>1030005207</td>\n",
" <td>20160727</td>\n", " <td>20180830</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030007006</td>\n", " <td>1030005207</td>\n",
" <td>2010032091</td>\n", " <td>2010029662</td>\n",
" <td>5784470.00</td>\n", " <td>7526400.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>-0.113</td>\n", " <td>0.874</td>\n",
" <td>-0.696</td>\n", " <td>2.595</td>\n",
" <td>-1.049</td>\n", " <td>-1.118</td>\n",
" <td>0.798</td>\n", " <td>0.648</td>\n",
" <td>1.155</td>\n", " <td>1.314</td>\n",
" <td>-1.185</td>\n", " <td>-1.380</td>\n",
" <td>-1.668</td>\n", " <td>0.468</td>\n",
" <td>0.574</td>\n", " <td>0.541</td>\n",
" <td>0.515</td>\n", " <td>0.217</td>\n",
" <td>63.522086</td>\n", " <td>119.256978</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>69</th>\n", " <th>22</th>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030007006</td>\n", " <td>1030010453</td>\n",
" <td>20160727</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030007006</td>\n", " <td>1030010453</td>\n",
" <td>2010033132</td>\n", " <td>2010030889</td>\n",
" <td>5663580.00</td>\n", " <td>39833076.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.649</td>\n", " <td>0.949</td>\n",
" <td>-0.791</td>\n", " <td>0.136</td>\n",
" <td>-1.106</td>\n", " <td>-1.260</td>\n",
" <td>1.133</td>\n", " <td>2.459</td>\n",
" <td>0.794</td>\n", " <td>0.686</td>\n",
" <td>-1.301</td>\n", " <td>-1.435</td>\n",
" <td>-1.529</td>\n", " <td>-0.585</td>\n",
" <td>1.741</td>\n", " <td>1.434</td>\n",
" <td>0.549</td>\n", " <td>0.014</td>\n",
" <td>61.212585</td>\n", " <td>240.390947</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
"<p>70 rows × 32 columns</p>\n", "<p>23 rows × 32 columns</p>\n",
"</div>" "</div>"
], ],
"text/plain": [ "text/plain": [
" MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n", " MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n",
"0 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "0 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"1 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "1 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"2 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "2 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"3 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "3 30322345 左金保 80000243 长信基金管理有限责任公司 1030005207 20180830 \n",
"4 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "4 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
".. ... ... ... ... ... ... \n", "5 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"65 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n", "6 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"66 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n", "7 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n",
"67 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n", "8 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"68 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n", "9 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"69 30322345 左金保 80000243 长信基金管理有限责任公司 1030007006 20160727 \n", "10 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"11 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"12 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"13 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"14 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"15 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"16 30322345 左金保 80000243 长信基金管理有限责任公司 1030005207 20180830 \n",
"17 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"18 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"19 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"20 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"21 30322345 左金保 80000243 长信基金管理有限责任公司 1030005207 20180830 \n",
"22 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"\n", "\n",
" ENDDATE pid security_code HOLDMKTCAP ... MOMENTUM SIZE \\\n", " ENDDATE pid security_code HOLDMKTCAP ... MOMENTUM SIZE \\\n",
"0 19000101 1030010453 2010003391 37983481.00 ... -0.601 -0.244 \n", "0 19000101 1030010453 2010000795 36246897.00 ... 0.703 0.209 \n",
"1 19000101 1030010453 2010003611 38871632.03 ... 0.138 -0.176 \n", "1 19000101 1030000867 2010000795 14379476.00 ... 0.703 0.209 \n",
"2 19000101 1030010453 2010003976 62086609.80 ... 0.637 1.193 \n", "2 19000101 1030004356 2010000795 7825476.00 ... 0.703 0.209 \n",
"3 19000101 1030010453 2010004017 39461600.00 ... 2.074 0.787 \n", "3 19000101 1030005207 2010000795 550536.00 ... 0.703 0.209 \n",
"4 19000101 1030010453 2010004732 57457579.76 ... 1.146 2.373 \n", "4 19000101 1030010453 2010001432 27217604.12 ... -0.359 -0.735 \n",
".. ... ... ... ... ... ... ... \n", "5 19000101 1030000867 2010001432 14462126.00 ... -0.359 -0.735 \n",
"65 19000101 1030007006 2010025110 5184990.00 ... -1.961 -1.154 \n", "6 19000101 1030004356 2010001432 8045968.00 ... -0.359 -0.735 \n",
"66 19000101 1030007006 2010031328 6292354.00 ... 0.711 -0.588 \n", "7 19000101 1030007006 2010001432 4702768.00 ... -0.359 -0.735 \n",
"67 19000101 1030007006 2010031624 5697780.00 ... 0.026 -1.134 \n", "8 19000101 1030010453 2010003391 37983481.00 ... -1.174 -0.273 \n",
"68 19000101 1030007006 2010032091 5784470.00 ... -0.113 -0.696 \n", "9 19000101 1030000867 2010003391 12633400.00 ... -1.174 -0.273 \n",
"69 19000101 1030007006 2010033132 5663580.00 ... 0.649 -0.791 \n", "10 19000101 1030004356 2010003391 6305400.00 ... -1.174 -0.273 \n",
"11 19000101 1030010453 2010003976 62086609.80 ... 0.982 1.242 \n",
"12 19000101 1030010453 2010004017 39461600.00 ... 1.692 0.883 \n",
"13 19000101 1030010453 2010004732 57457579.76 ... 0.846 2.450 \n",
"14 19000101 1030010453 2010007669 51753010.00 ... 1.055 0.679 \n",
"15 19000101 1030004356 2010007669 5365620.00 ... 1.055 0.679 \n",
"16 19000101 1030005207 2010007669 2728670.00 ... 1.055 0.679 \n",
"17 19000101 1030010453 2010021270 70099480.00 ... 1.529 1.371 \n",
"18 19000101 1030010453 2010029662 68678400.00 ... 0.874 2.595 \n",
"19 19000101 1030000867 2010029662 7879200.00 ... 0.874 2.595 \n",
"20 19000101 1030004356 2010029662 6820800.00 ... 0.874 2.595 \n",
"21 19000101 1030005207 2010029662 7526400.00 ... 0.874 2.595 \n",
"22 19000101 1030010453 2010030889 39833076.00 ... 0.949 0.136 \n",
"\n", "\n",
" EARNYILD RESVOL GROWTH BTOP LEVERAGE LIQUIDTY SIZENL PETTM \n", " EARNYILD RESVOL GROWTH BTOP LEVERAGE LIQUIDTY SIZENL PETTM \n",
"0 -0.592 0.346 0.374 -1.013 -0.942 0.825 0.271 38.719367 \n", "0 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"1 -0.906 0.490 0.505 -1.176 -0.902 1.215 0.227 49.827059 \n", "1 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"2 -0.679 1.108 0.918 -1.193 -0.907 2.022 -0.414 60.772340 \n", "2 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"3 -0.197 2.566 -0.826 -1.170 0.896 2.180 -0.346 -611.515203 \n", "3 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"4 -1.173 -0.141 -0.280 -1.144 -0.248 1.678 0.213 217.991713 \n", "4 -0.402 -0.742 0.140 -0.466 -0.502 -0.083 0.548 24.365652 \n",
".. ... ... ... ... ... ... ... ... \n", "5 -0.402 -0.742 0.140 -0.466 -0.502 -0.083 0.548 24.365652 \n",
"65 -0.902 0.419 0.678 -1.148 -0.560 0.353 0.600 45.277531 \n", "6 -0.402 -0.742 0.140 -0.466 -0.502 -0.083 0.548 24.365652 \n",
"66 -1.336 -0.202 1.745 -1.141 -0.556 0.233 0.468 88.885583 \n", "7 -0.402 -0.742 0.140 -0.466 -0.502 -0.083 0.548 24.365652 \n",
"67 -0.261 0.620 0.493 -1.100 -1.131 1.317 0.601 23.858731 \n", "8 -0.531 0.064 0.352 -1.017 -0.937 0.616 0.299 34.484245 \n",
"68 -1.049 0.798 1.155 -1.185 -1.668 0.574 0.515 63.522086 \n", "9 -0.531 0.064 0.352 -1.017 -0.937 0.616 0.299 34.484245 \n",
"69 -1.106 1.133 0.794 -1.301 -1.529 1.741 0.549 61.212585 \n", "10 -0.531 0.064 0.352 -1.017 -0.937 0.616 0.299 34.484245 \n",
"11 -0.374 1.226 0.980 -1.239 -0.907 1.925 -0.430 57.649525 \n",
"12 -0.320 2.505 -0.849 -1.235 0.874 2.146 -0.396 -614.680243 \n",
"13 -1.240 0.125 -0.296 -1.191 -0.249 1.602 0.217 209.161443 \n",
"14 -0.674 1.445 1.165 -1.364 -1.083 1.121 -0.318 62.968807 \n",
"15 -0.674 1.445 1.165 -1.364 -1.083 1.121 -0.318 62.968807 \n",
"16 -0.674 1.445 1.165 -1.364 -1.083 1.121 -0.318 62.968807 \n",
"17 -1.195 1.284 1.255 -1.381 -0.451 0.533 -0.401 94.347459 \n",
"18 -1.118 0.648 1.314 -1.380 0.468 0.541 0.217 119.256978 \n",
"19 -1.118 0.648 1.314 -1.380 0.468 0.541 0.217 119.256978 \n",
"20 -1.118 0.648 1.314 -1.380 0.468 0.541 0.217 119.256978 \n",
"21 -1.118 0.648 1.314 -1.380 0.468 0.541 0.217 119.256978 \n",
"22 -1.260 2.459 0.686 -1.435 -0.585 1.434 0.014 240.390947 \n",
"\n", "\n",
"[70 rows x 32 columns]" "[23 rows x 32 columns]"
] ]
}, },
"execution_count": 11, "execution_count": 24,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -896,7 +1234,7 @@ ...@@ -896,7 +1234,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 12, "execution_count": 25,
"id": "e3c82655-730a-4fc2-bd59-45e4469f600a", "id": "e3c82655-730a-4fc2-bd59-45e4469f600a",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -955,19 +1293,19 @@ ...@@ -955,19 +1293,19 @@
" <td>20171109</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030010453</td>\n",
" <td>2010003391</td>\n", " <td>2010000795</td>\n",
" <td>37983481.00</td>\n", " <td>36246897.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>-0.601</td>\n", " <td>0.703</td>\n",
" <td>-0.244</td>\n", " <td>0.209</td>\n",
" <td>-0.592</td>\n", " <td>-0.543</td>\n",
" <td>0.346</td>\n", " <td>1.041</td>\n",
" <td>0.374</td>\n", " <td>0.619</td>\n",
" <td>-1.013</td>\n", " <td>-0.761</td>\n",
" <td>-0.942</td>\n", " <td>0.709</td>\n",
" <td>0.825</td>\n", " <td>1.282</td>\n",
" <td>0.271</td>\n", " <td>-0.037</td>\n",
" <td>38.719367</td>\n", " <td>22.426232</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>1</th>\n", " <th>1</th>\n",
...@@ -975,23 +1313,23 @@ ...@@ -975,23 +1313,23 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n", " <td>1030000867</td>\n",
" <td>20171109</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030000867</td>\n",
" <td>2010003611</td>\n", " <td>2010000795</td>\n",
" <td>38871632.03</td>\n", " <td>14379476.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.138</td>\n", " <td>0.703</td>\n",
" <td>-0.176</td>\n", " <td>0.209</td>\n",
" <td>-0.906</td>\n", " <td>-0.543</td>\n",
" <td>0.490</td>\n", " <td>1.041</td>\n",
" <td>0.505</td>\n", " <td>0.619</td>\n",
" <td>-1.176</td>\n", " <td>-0.761</td>\n",
" <td>-0.902</td>\n", " <td>0.709</td>\n",
" <td>1.215</td>\n", " <td>1.282</td>\n",
" <td>0.227</td>\n", " <td>-0.037</td>\n",
" <td>49.827059</td>\n", " <td>22.426232</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>2</th>\n", " <th>2</th>\n",
...@@ -999,23 +1337,23 @@ ...@@ -999,23 +1337,23 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n", " <td>1030004356</td>\n",
" <td>20171109</td>\n", " <td>20150313</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030004356</td>\n",
" <td>2010003976</td>\n", " <td>2010000795</td>\n",
" <td>62086609.80</td>\n", " <td>7825476.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>0.637</td>\n", " <td>0.703</td>\n",
" <td>1.193</td>\n", " <td>0.209</td>\n",
" <td>-0.679</td>\n", " <td>-0.543</td>\n",
" <td>1.108</td>\n", " <td>1.041</td>\n",
" <td>0.918</td>\n", " <td>0.619</td>\n",
" <td>-1.193</td>\n", " <td>-0.761</td>\n",
" <td>-0.907</td>\n", " <td>0.709</td>\n",
" <td>2.022</td>\n", " <td>1.282</td>\n",
" <td>-0.414</td>\n", " <td>-0.037</td>\n",
" <td>60.772340</td>\n", " <td>22.426232</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>3</th>\n", " <th>3</th>\n",
...@@ -1023,23 +1361,23 @@ ...@@ -1023,23 +1361,23 @@
" <td>左金保</td>\n", " <td>左金保</td>\n",
" <td>80000243</td>\n", " <td>80000243</td>\n",
" <td>长信基金管理有限责任公司</td>\n", " <td>长信基金管理有限责任公司</td>\n",
" <td>1030010453</td>\n", " <td>1030005207</td>\n",
" <td>20171109</td>\n", " <td>20180830</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030005207</td>\n",
" <td>2010004017</td>\n", " <td>2010000795</td>\n",
" <td>39461600.00</td>\n", " <td>550536.00</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>2.074</td>\n", " <td>0.703</td>\n",
" <td>0.787</td>\n", " <td>0.209</td>\n",
" <td>-0.197</td>\n", " <td>-0.543</td>\n",
" <td>2.566</td>\n", " <td>1.041</td>\n",
" <td>-0.826</td>\n", " <td>0.619</td>\n",
" <td>-1.170</td>\n", " <td>-0.761</td>\n",
" <td>0.896</td>\n", " <td>0.709</td>\n",
" <td>2.180</td>\n", " <td>1.282</td>\n",
" <td>-0.346</td>\n", " <td>-0.037</td>\n",
" <td>-611.515203</td>\n", " <td>22.426232</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>4</th>\n", " <th>4</th>\n",
...@@ -1051,19 +1389,19 @@ ...@@ -1051,19 +1389,19 @@
" <td>20171109</td>\n", " <td>20171109</td>\n",
" <td>19000101</td>\n", " <td>19000101</td>\n",
" <td>1030010453</td>\n", " <td>1030010453</td>\n",
" <td>2010004732</td>\n", " <td>2010001432</td>\n",
" <td>57457579.76</td>\n", " <td>27217604.12</td>\n",
" <td>...</td>\n", " <td>...</td>\n",
" <td>1.146</td>\n", " <td>-0.359</td>\n",
" <td>2.373</td>\n", " <td>-0.735</td>\n",
" <td>-1.173</td>\n", " <td>-0.402</td>\n",
" <td>-0.141</td>\n", " <td>-0.742</td>\n",
" <td>-0.280</td>\n", " <td>0.140</td>\n",
" <td>-1.144</td>\n", " <td>-0.466</td>\n",
" <td>-0.248</td>\n", " <td>-0.502</td>\n",
" <td>1.678</td>\n", " <td>-0.083</td>\n",
" <td>0.213</td>\n", " <td>0.548</td>\n",
" <td>217.991713</td>\n", " <td>24.365652</td>\n",
" </tr>\n", " </tr>\n",
" </tbody>\n", " </tbody>\n",
"</table>\n", "</table>\n",
...@@ -1073,29 +1411,29 @@ ...@@ -1073,29 +1411,29 @@
"text/plain": [ "text/plain": [
" MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n", " MANAGERCODE MANAGERNAME COMPCODE COMPNAME SECURITYID BEGINDATE \\\n",
"0 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "0 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"1 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "1 30322345 左金保 80000243 长信基金管理有限责任公司 1030000867 20150313 \n",
"2 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "2 30322345 左金保 80000243 长信基金管理有限责任公司 1030004356 20150313 \n",
"3 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "3 30322345 左金保 80000243 长信基金管理有限责任公司 1030005207 20180830 \n",
"4 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n", "4 30322345 左金保 80000243 长信基金管理有限责任公司 1030010453 20171109 \n",
"\n", "\n",
" ENDDATE pid security_code HOLDMKTCAP ... MOMENTUM SIZE \\\n", " ENDDATE pid security_code HOLDMKTCAP ... MOMENTUM SIZE \\\n",
"0 19000101 1030010453 2010003391 37983481.00 ... -0.601 -0.244 \n", "0 19000101 1030010453 2010000795 36246897.00 ... 0.703 0.209 \n",
"1 19000101 1030010453 2010003611 38871632.03 ... 0.138 -0.176 \n", "1 19000101 1030000867 2010000795 14379476.00 ... 0.703 0.209 \n",
"2 19000101 1030010453 2010003976 62086609.80 ... 0.637 1.193 \n", "2 19000101 1030004356 2010000795 7825476.00 ... 0.703 0.209 \n",
"3 19000101 1030010453 2010004017 39461600.00 ... 2.074 0.787 \n", "3 19000101 1030005207 2010000795 550536.00 ... 0.703 0.209 \n",
"4 19000101 1030010453 2010004732 57457579.76 ... 1.146 2.373 \n", "4 19000101 1030010453 2010001432 27217604.12 ... -0.359 -0.735 \n",
"\n", "\n",
" EARNYILD RESVOL GROWTH BTOP LEVERAGE LIQUIDTY SIZENL PETTM \n", " EARNYILD RESVOL GROWTH BTOP LEVERAGE LIQUIDTY SIZENL PETTM \n",
"0 -0.592 0.346 0.374 -1.013 -0.942 0.825 0.271 38.719367 \n", "0 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"1 -0.906 0.490 0.505 -1.176 -0.902 1.215 0.227 49.827059 \n", "1 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"2 -0.679 1.108 0.918 -1.193 -0.907 2.022 -0.414 60.772340 \n", "2 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"3 -0.197 2.566 -0.826 -1.170 0.896 2.180 -0.346 -611.515203 \n", "3 -0.543 1.041 0.619 -0.761 0.709 1.282 -0.037 22.426232 \n",
"4 -1.173 -0.141 -0.280 -1.144 -0.248 1.678 0.213 217.991713 \n", "4 -0.402 -0.742 0.140 -0.466 -0.502 -0.083 0.548 24.365652 \n",
"\n", "\n",
"[5 rows x 32 columns]" "[5 rows x 32 columns]"
] ]
}, },
"execution_count": 12, "execution_count": 25,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -1106,7 +1444,7 @@ ...@@ -1106,7 +1444,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 13, "execution_count": 26,
"id": "a6e1f341-7448-4134-aeb9-6eed0a7ffede", "id": "a6e1f341-7448-4134-aeb9-6eed0a7ffede",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -1121,7 +1459,7 @@ ...@@ -1121,7 +1459,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 14, "execution_count": 27,
"id": "25de6b2e-6ec1-49bf-b77b-3d4cc0fad1e2", "id": "25de6b2e-6ec1-49bf-b77b-3d4cc0fad1e2",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -1140,7 +1478,7 @@ ...@@ -1140,7 +1478,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 15, "execution_count": 28,
"id": "3425ffb4-0be8-4a90-a0f3-07cbdc9d662d", "id": "3425ffb4-0be8-4a90-a0f3-07cbdc9d662d",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -1162,15 +1500,21 @@ ...@@ -1162,15 +1500,21 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 16, "execution_count": 30,
"id": "bf5df7a8-22ab-4302-be8e-754b94588266", "id": "bf5df7a8-22ab-4302-be8e-754b94588266",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
"def calc_manager_style_exposure(manager_ids, trade_dt, factor_names):\n", "def calc_manager_style_exposure(manager_ids, trade_dt, factor_names, method=\"all\"):\n",
" funds = fd_manager(manager_ids, start_date=trade_dt, end_date=trade_dt)\n", " funds = fd_manager(manager_ids, start_date=trade_dt, end_date=trade_dt)\n",
" funds_mktv = fd_fund_mktv(funds.SECURITYID.unique(), trade_dt=trade_dt)\n", " funds_mktv = fd_fund_mktv(funds.SECURITYID.unique(), trade_dt=trade_dt)\n",
" manager_portfolio = fd_skdetail(funds.SECURITYID.unique().tolist(), nearest_report_date(trade_dt, freq=\"S\"))\n", " manager_portfolio = fd_skdetail(funds.SECURITYID.unique().tolist(), nearest_report_date(trade_dt, freq=\"Q\"))\n",
" \n",
" # 如果需要计算重仓股\n",
" if method == \"top10\":\n",
" agg_port = manager_portfolio.groupby(\"security_code\")[\"HOLDMKTCAP\"].sum().sort_values(ascending=False)[:10]\n",
" manager_portfolio = manager_portfolio[manager_portfolio.security_code.isin(agg_port.index)]\n",
" \n",
" funds_rl_classification = fd_rl_classification(funds.SECURITYID.unique().tolist(), trade_dt)\n", " funds_rl_classification = fd_rl_classification(funds.SECURITYID.unique().tolist(), trade_dt)\n",
" risk_exp = risk_exposure(trade_dt, trade_dt, manager_portfolio.security_code.unique().tolist())\n", " risk_exp = risk_exposure(trade_dt, trade_dt, manager_portfolio.security_code.unique().tolist())\n",
" industry = sw_industry_daily(trade_dt, trade_dt, 1, manager_portfolio.security_code.unique().tolist())\n", " industry = sw_industry_daily(trade_dt, trade_dt, 1, manager_portfolio.security_code.unique().tolist())\n",
...@@ -1225,7 +1569,7 @@ ...@@ -1225,7 +1569,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 17, "execution_count": 31,
"id": "48864c00-836c-4609-8900-6bf4f0d6d447", "id": "48864c00-836c-4609-8900-6bf4f0d6d447",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -1260,29 +1604,20 @@ ...@@ -1260,29 +1604,20 @@
" </thead>\n", " </thead>\n",
" <tbody>\n", " <tbody>\n",
" <tr>\n", " <tr>\n",
" <th>56</th>\n", " <th>18</th>\n",
" <td>equity</td>\n", " <td>equity</td>\n",
" <td>factor</td>\n", " <td>risk</td>\n",
" <td>PETTM</td>\n", " <td>LIQUIDTY</td>\n",
" <td>36.753228</td>\n", " <td>1.214250</td>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" </tr>\n",
" <tr>\n",
" <th>54</th>\n",
" <td>all</td>\n",
" <td>factor</td>\n",
" <td>PETTM</td>\n",
" <td>36.753228</td>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>11</th>\n", " <th>15</th>\n",
" <td>equity</td>\n", " <td>equity</td>\n",
" <td>risk</td>\n", " <td>risk</td>\n",
" <td>MOMENTUM</td>\n", " <td>GROWTH</td>\n",
" <td>0.971413</td>\n", " <td>0.241052</td>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" </tr>\n", " </tr>\n",
...@@ -1291,16 +1626,25 @@ ...@@ -1291,16 +1626,25 @@
" <td>equity</td>\n", " <td>equity</td>\n",
" <td>risk</td>\n", " <td>risk</td>\n",
" <td>RESVOL</td>\n", " <td>RESVOL</td>\n",
" <td>0.617334</td>\n", " <td>0.176369</td>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" </tr>\n", " </tr>\n",
" <tr>\n", " <tr>\n",
" <th>18</th>\n", " <th>26</th>\n",
" <td>all</td>\n",
" <td>industry</td>\n",
" <td>基础化工</td>\n",
" <td>0.142971</td>\n",
" <td>30322345</td>\n",
" <td>左金保</td>\n",
" </tr>\n",
" <tr>\n",
" <th>54</th>\n",
" <td>equity</td>\n", " <td>equity</td>\n",
" <td>risk</td>\n", " <td>industry</td>\n",
" <td>LIQUIDTY</td>\n", " <td>基础化工</td>\n",
" <td>0.608717</td>\n", " <td>0.142971</td>\n",
" <td>30322345</td>\n", " <td>30322345</td>\n",
" <td>左金保</td>\n", " <td>左金保</td>\n",
" </tr>\n", " </tr>\n",
...@@ -1310,14 +1654,14 @@ ...@@ -1310,14 +1654,14 @@
], ],
"text/plain": [ "text/plain": [
" asset category name value MANAGERCODE MANAGERNAME\n", " asset category name value MANAGERCODE MANAGERNAME\n",
"56 equity factor PETTM 36.753228 30322345 左金保\n", "18 equity risk LIQUIDTY 1.214250 30322345 左金保\n",
"54 all factor PETTM 36.753228 30322345 左金保\n", "15 equity risk GROWTH 0.241052 30322345 左金保\n",
"11 equity risk MOMENTUM 0.971413 30322345 左金保\n", "14 equity risk RESVOL 0.176369 30322345 左金保\n",
"14 equity risk RESVOL 0.617334 30322345 左金保\n", "26 all industry 基础化工 0.142971 30322345 左金保\n",
"18 equity risk LIQUIDTY 0.608717 30322345 左金保" "54 equity industry 基础化工 0.142971 30322345 左金保"
] ]
}, },
"execution_count": 17, "execution_count": 31,
"metadata": {}, "metadata": {},
"output_type": "execute_result" "output_type": "execute_result"
} }
...@@ -1338,7 +1682,7 @@ ...@@ -1338,7 +1682,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 18, "execution_count": 32,
"id": "6f7cbb5d-23ca-44cb-af55-82a97381bb76", "id": "6f7cbb5d-23ca-44cb-af55-82a97381bb76",
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
...@@ -1351,7 +1695,7 @@ ...@@ -1351,7 +1695,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 19, "execution_count": null,
"id": "29af1c8b-fd50-494f-a909-1d43d8e57249", "id": "29af1c8b-fd50-494f-a909-1d43d8e57249",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
...@@ -1359,10 +1703,8 @@ ...@@ -1359,10 +1703,8 @@
"name": "stdout", "name": "stdout",
"output_type": "stream", "output_type": "stream",
"text": [ "text": [
"2022-03-17 23:09:09.296358 : 20220104\n", "2022-07-05 22:21:32.562069 : 20220104\n",
"2022-03-17 23:10:48.965284 : 20220105\n", "2022-07-05 22:23:39.669924 : 20220105\n"
"2022-03-17 23:12:39.577923 : 20220106\n",
"2022-03-17 23:15:02.938668 : 20220107\n"
] ]
} }
], ],
...@@ -1371,198 +1713,17 @@ ...@@ -1371,198 +1713,17 @@
"for trade_dt in trade_dates:\n", "for trade_dt in trade_dates:\n",
" print(dt.datetime.now(), \":\", trade_dt)\n", " print(dt.datetime.now(), \":\", trade_dt)\n",
" manager_ids = fd_manager(start_date=trade_dt, end_date=trade_dt).MANAGERCODE.unique().tolist()\n", " manager_ids = fd_manager(start_date=trade_dt, end_date=trade_dt).MANAGERCODE.unique().tolist()\n",
" res = calc_manager_style_exposure(manager_ids, trade_dt, [\"PETTM\"])\n", " res = calc_manager_style_exposure(manager_ids, trade_dt, [\"PETTM\"], method=\"top10\")\n",
" res[\"trade_date\"] = trade_dt\n", " res[\"trade_date\"] = trade_dt\n",
" dfs.append(res)" " dfs.append(res)"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 20, "execution_count": null,
"id": "64768bba-5727-41e7-9ceb-6ffcc3535c84", "id": "64768bba-5727-41e7-9ceb-6ffcc3535c84",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [],
{
"data": {
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" text-align: right;\n",
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"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>asset</th>\n",
" <th>category</th>\n",
" <th>name</th>\n",
" <th>value</th>\n",
" <th>MANAGERCODE</th>\n",
" <th>MANAGERNAME</th>\n",
" <th>trade_date</th>\n",
" </tr>\n",
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" <tbody>\n",
" <tr>\n",
" <th>23776</th>\n",
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" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220104</td>\n",
" </tr>\n",
" <tr>\n",
" <th>23777</th>\n",
" <td>bond</td>\n",
" <td>risk</td>\n",
" <td>MOMENTUM</td>\n",
" <td>0.323154</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220104</td>\n",
" </tr>\n",
" <tr>\n",
" <th>23778</th>\n",
" <td>bond</td>\n",
" <td>risk</td>\n",
" <td>SIZE</td>\n",
" <td>0.073484</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220104</td>\n",
" </tr>\n",
" <tr>\n",
" <th>23779</th>\n",
" <td>bond</td>\n",
" <td>risk</td>\n",
" <td>EARNYILD</td>\n",
" <td>-0.452153</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220104</td>\n",
" </tr>\n",
" <tr>\n",
" <th>23780</th>\n",
" <td>bond</td>\n",
" <td>risk</td>\n",
" <td>RESVOL</td>\n",
" <td>0.000879</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220104</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24099</th>\n",
" <td>equity</td>\n",
" <td>industry</td>\n",
" <td>非银金融</td>\n",
" <td>0.100000</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220107</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24100</th>\n",
" <td>equity</td>\n",
" <td>industry</td>\n",
" <td>食品饮料</td>\n",
" <td>0.100000</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220107</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24101</th>\n",
" <td>all</td>\n",
" <td>factor</td>\n",
" <td>PETTM</td>\n",
" <td>46.877083</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220107</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24102</th>\n",
" <td>bond</td>\n",
" <td>factor</td>\n",
" <td>PETTM</td>\n",
" <td>46.820298</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220107</td>\n",
" </tr>\n",
" <tr>\n",
" <th>24103</th>\n",
" <td>equity</td>\n",
" <td>factor</td>\n",
" <td>PETTM</td>\n",
" <td>52.935585</td>\n",
" <td>30212064</td>\n",
" <td>董阳阳</td>\n",
" <td>20220107</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>244 rows × 7 columns</p>\n",
"</div>"
],
"text/plain": [
" asset category name value MANAGERCODE MANAGERNAME \\\n",
"23776 bond risk BETA 0.738338 30212064 董阳阳 \n",
"23777 bond risk MOMENTUM 0.323154 30212064 董阳阳 \n",
"23778 bond risk SIZE 0.073484 30212064 董阳阳 \n",
"23779 bond risk EARNYILD -0.452153 30212064 董阳阳 \n",
"23780 bond risk RESVOL 0.000879 30212064 董阳阳 \n",
"... ... ... ... ... ... ... \n",
"24099 equity industry 非银金融 0.100000 30212064 董阳阳 \n",
"24100 equity industry 食品饮料 0.100000 30212064 董阳阳 \n",
"24101 all factor PETTM 46.877083 30212064 董阳阳 \n",
"24102 bond factor PETTM 46.820298 30212064 董阳阳 \n",
"24103 equity factor PETTM 52.935585 30212064 董阳阳 \n",
"\n",
" trade_date \n",
"23776 20220104 \n",
"23777 20220104 \n",
"23778 20220104 \n",
"23779 20220104 \n",
"23780 20220104 \n",
"... ... \n",
"24099 20220107 \n",
"24100 20220107 \n",
"24101 20220107 \n",
"24102 20220107 \n",
"24103 20220107 \n",
"\n",
"[244 rows x 7 columns]"
]
},
"execution_count": 20,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [ "source": [
"final_report = pd.concat(dfs)\n", "final_report = pd.concat(dfs)\n",
"final_report[final_report.MANAGERCODE == '30212064']" "final_report[final_report.MANAGERCODE == '30212064']"
...@@ -1593,7 +1754,7 @@ ...@@ -1593,7 +1754,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.9.7" "version": "3.9.12"
} }
}, },
"nbformat": 4, "nbformat": 4,
......
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