china-portfolio-rebalance

china-portfolio-rebalance

Purpose

Perform A股投资组合再平衡 — analyze allocation drift, generate rebalancing recommendations, and optimize trade execution.

Data Sources

Primary: iFind MCP (Tier-1 付费) / AkShare MCP (Tier-2 免费备选)

get_quote(ticker)                     → Current prices for holdings
get_historical_data(ticker)           → Tax lot / cost basis context

Secondary Sources

• Portfolio management system
• Wind / Choice — market data
• Tax rules — A-share tax treatment

Workflow

Step 1: Current Allocation

Portfolio snapshot:

Asset Class	Target %	Current %	Drift	Market Value	Action

Within A-share equity:

Sector	Target	Current	Drift	Action
消费	XX%	XX%	±X%	Buy/Sell/Hold
科技	XX%	XX%	±X%	Buy/Sell/Hold
医药	XX%	XX%	±X%	Buy/Sell/Hold
金融	XX%	XX%	±X%	Buy/Sell/Hold
新能源	XX%	XX%	±X%	Buy/Sell/Hold
其他	XX%	XX%	±X%	Buy/Sell/Hold

Step 2: Identify Drift

Drift thresholds:

Drift Level	Action
±2%	Monitor, no action
±3-5%	Consider rebalancing
±5%+	Rebalance recommended

Drift causes:

• Market price movements
• Dividend reinvestment
• Previous trades
• Cash flows (contributions/withdrawals)

Step 3: Generate Rebalancing Trades

Rebalancing logic:

Situation	Action
Sector overweight + price up	Trim position
Sector underweight + price down	Add to position
Overweight + price down	Monitor (may converge)
Underweight + price up	Monitor (may converge)

Trade list:

Action	Ticker	Security	Current %	Target %	Trade Amount	Est. Shares
Buy
Sell
Hold

Step 4: Tax Considerations

A-share tax treatment:

Item	Tax Rate	Notes
股票买卖价差	暂免 (temporarily exempt)	Capital gains on stocks
股息红利	20% (持股>1年减半/免征)	Dividend tax
基金分红	暂免 (some funds)	Fund distributions
买卖印花税	0.05% (seller only)	Stamp duty

Tax-loss harvesting opportunities:

Position	Cost Basis	Current Value	Unrealized Loss	Tax Benefit

Tax-efficient selling:

• Prioritize selling positions with losses
• Consider holding period for dividend tax
• Batch sales to minimize stamp duty impact

Step 5: Execution Plan

Trade sequencing:

Priority	Trade	Rationale
1		Tax loss harvesting
2		Largest drift correction
3		Smaller adjustments

Execution considerations:

• Market impact (liquidity)
• Trading costs (commissions, stamp duty)
• Market timing (volatility)
• Block trading for large positions

Step 6: Rebalancing Report

Standard rebalancing report:

【组合再平衡报告】[Client] [Date]

一、当前配置 vs 目标配置
   [Allocation table with drift]

二、再平衡建议
   [Trade list]

三、税务影响
   [Tax implications]

四、执行计划
   [Sequencing and timing]

五、预期效果
   [Projected post-rebalance allocation]

China-Specific Rebalancing Considerations

A-share Market Characteristics

Factor	Rebalancing Implication
涨跌停限制	May prevent immediate rebalancing
T+1 settlement	Trade settlement timeline
印花税	0.05% on sell side
佣金	Varies by broker (typically 0.02-0.03%)
最低手续费	Minimum commission threshold

Tax-Loss Harvesting (A-share)

China-specific TLH:

• Capital gains on stocks: currently tax-exempt (暂免)
• Losses: can offset gains within the same asset class
• 股息红利 tax: 20%, reduced to 10% for >1 year holding, 0% for >1 year (recent changes)
• Fund distributions: tax treatment varies by fund type

Common Rebalancing Triggers

Trigger	Frequency	Action
Calendar rebalancing	Quarterly/Semi-annual	Systematic rebalance
Drift threshold	When ±5%	Opportunistic rebalance
Cash inflow	As received	Deploy to underweights
Client request	Ad-hoc	Targeted rebalance
Tax planning	Year-end	Harvest losses, reset cost basis

Quality Checks

Before executing:

• Allocations calculated correctly
• Trades aligned with policy
• Tax implications assessed
• Trading costs estimated
• Client approval obtained
• Execution plan sequenced

After rebalancing:

• Trades confirmed
• Allocation updated
• Tax lots recorded
• Client notified

Data Source Mode Switch: Set env var IFIND_DATA_SOURCE_MODE to control data source preference.

• ifind-only (strict): Use iFind only, error if unavailable
• ifind-fallback (default): iFind preferred, fallback to AkShare
• akshare-only: Skip iFind, use AkShare only