Combined valuation analysis method and system

Abstract

The invention relates to the field of data calculation, in particular to a method and a system for calculation of stock combination valuation data and combination valuation analysis. The combined valuation analysis method comprises the following steps: calculating valuation data based on stock financial data and price data; performing correction processing on the estimated value data based on a set extreme threshold value to obtain corrected estimated value data; carrying out compression weighting and restoration on the corrected estimated value data to obtain a combined estimated value; determining a quantile sorting time span based on an inventory period, performing sorting processing on the combined value estimation historical data by combining quantiles of an early warning area and a value area to obtain an early warning area boundary estimation value and a value area boundary estimation value, and then converting the boundary estimation values into a combined net value space to form an early warning area boundary net value and a value area boundary net value; and the combined net value is divided into different areas according to the two boundary net values so as to assess the combined value assessment level.

Description

Technical Field

[0001] The present invention relates to the field of data calculation, in particular to the calculation of stock portfolio valuation data, and a method and system for portfolio valuation analysis. Background Art

[0002] Stock portfolio valuation analysis is instructive for investors when they build or trade portfolios, so a high level of accuracy is required for valuation.

[0003] At present, the historical valuation curve of the portfolio is generally used directly and only the important quantile values ​​of the current slice data are marked for presentation. It is generally not combined with the portfolio net value curve, and the mainstream portfolio valuation calculation method is to remove the negative valuation components, that is, to exclude the stocks with poor performance in the portfolio. Although the valuation of stocks is negative, it is meaningless in economics, but at the portfolio level, if the negative valuation stocks are removed, although the calculated portfolio valuation will appear more "healthy", this will lead to distortion of the portfolio valuation. Therefore, how to improve the accuracy of portfolio valuation has become one of the problems to be solved urgently. Summary of the invention

[0004] The technical problem to be solved by the present invention is to perform data valuation correction and improve the accuracy of portfolio valuation based on the acquired stock financial data and price data.

[0005] The present invention provides a combination valuation analysis method, including: based on stock financial data and price data, calculating valuation data, the financial data includes reporting period, performance forecast, and consistent performance expectation data; the price data includes company market price; the valuation data includes one or a combination of price-earnings ratio, price-to-book ratio, price-to-cash flow ratio, price-to-sales ratio and consistent expected price-earnings ratio; correcting the valuation data based on a set extreme threshold to obtain corrected valuation data; compressing and weighting the corrected valuation data and then restoring it to obtain a combination valuation; determining the quantile sorting time span based on the Kitchen inventory cycle, and sorting the combination valuation history data in combination with the quantiles of the warning area and the value area to obtain the warning area boundary valuation and the value area boundary valuation, and then converting the boundary valuation to the combination net value space to form the warning area boundary net value and the value area boundary net value, and dividing the combination net value into different areas according to the two boundary net values ​​to evaluate the combination valuation level.

[0006] Furthermore, the valuation data is corrected based on the set extreme threshold to obtain the corrected valuation data, including, if the valuation data is a negative number, adjusting the negative value of the valuation data to above the extreme threshold; the extreme threshold is set based on historical data statistics and experience.

[0007] Furthermore, the specific calculation formula for the correction process is as follows:

[0008] Formula 1:

[0009] Furthermore, the method of compressing and weighting the corrected valuation data and then restoring the corrected valuation data to obtain the combined valuation includes: using a power law distribution, compressing and weighting the corrected valuation data and then restoring the combined valuation data, and the specific formula is as follows:

[0010] Formula 2:

[0011] Furthermore, the weighted weight is equal weight or increases the weight of the normal valuation area.

[0012] Furthermore, the time span of the quantile sorting is determined based on the Kitchen inventory cycle, and the quantiles of the warning zone and the value zone are combined to sort the historical portfolio valuations, obtain the warning zone boundary valuations and the value zone boundary valuations, and then convert the boundary valuations to the portfolio net value space to form the warning zone boundary net value and the value zone boundary net value, and divide the portfolio net value into different areas according to these two boundary net values, so as to intuitively evaluate the portfolio valuation level, including: converting the boundary valuations to the portfolio net value space, using the moving average method, the specific formula is as follows:

[0013] Formula 3: Among them, N can be set to 15-20.

[0014] Furthermore, it also includes drawing a presentation curve based on the combined net value and the boundary net value, and the presentation curve is divided into the value area, general area and warning area.

[0015] The technical solution of the present invention also provides a combined valuation analysis system, comprising:

[0016] A storage module for storing financial data, price data and valuation data, wherein the financial data includes reporting period, performance forecast, and performance consensus expected data; the price data includes the company's market price; and the valuation data includes one or a combination of rolling price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, price-to-sales ratio, and consensus expected price-to-earnings ratio;

[0017] The algorithm function module corrects the valuation data based on the set extreme threshold to obtain the corrected valuation data; compresses and weights the corrected valuation data to obtain the portfolio valuation after restoration; selects the appropriate quantile sorting time span, the quantiles of the warning zone and the value zone based on the fund inventory cycle to obtain the warning zone boundary valuation and the value zone boundary valuation, and then converts to the portfolio net value space to obtain the warning zone boundary net value and the value zone boundary net value, thereby dividing the portfolio net value into different areas to intuitively evaluate the portfolio valuation level;

[0018] A display module displays the net value of the portfolio, the warning area, the general area and the value area.

[0019] Furthermore, it also includes a drawing module, which draws a presentation curve based on the combined net value and the boundary net value, and the presentation curve is divided into the value area, the general area and the warning area.

[0020] Furthermore, the algorithm function module compresses and weights the corrected valuation data and then restores it to obtain a combined valuation, including: using a power law distribution, compressing and weighting the corrected valuation data and then restoring it to obtain a combined valuation, and the specific formula is as follows:

[0021] Formula 2:

[0022] The weighted weight is equal weight or adding weight to the normal valuation area. BRIEF DESCRIPTION OF THE DRAWINGS

[0023] Figure 1 is a flow chart of the combined valuation analysis method provided by the present invention;

[0024] Figure 2 Schematic diagram of a presentation curve according to an embodiment of the present invention. DETAILED DESCRIPTION

[0025] The present invention relates to the valuation calculation of stock portfolios, and a method and system for portfolio valuation analysis, the core of which is the calculation of portfolio valuation and valuation level, as well as the visual presentation of valuation level.

[0026] Stock portfolio valuation analysis is instructive for investors when they construct or trade portfolios. When the valuation is very low, the investment safety margin is high and higher odds are expected. At this time, you can buy into the market. When the valuation is too high, risks accumulate, the investment safety margin is low and lower odds are expected. You can consider selling, thus completing a swing trade.

[0027] The general portfolio valuation analysis method directly uses the portfolio's historical valuation curve and only indicates the important quantile values ​​of the current slice data, and does not combine it with the portfolio performance curve. For example, the historical valuation curve of the rolling P / E ratio over the past 10 years and the 30, 50, and 70 quantiles at the current time point are used for presentation.

[0028] Some financial terminals for institutional use also provide P / E ratio / P / B ratio range channels, which are net value spaces converted based on current percentile valuations and historical performance indicators. Although this presentation method makes the valuation and portfolio net value curves more intuitively put together, the valuation also uses the valuation of important percentiles at the current point in time.

[0029] The above-mentioned presentation methods of similar products have the following deficiencies and defects:

[0030] First, although the method of displaying only the valuation curve also reflects the valuation changes over the past period of time, it only marks the important valuation quantiles at the current time point, which is sliced ​​data, not time-varying data. In other words, customers cannot know whether the valuation is overvalued or undervalued at a certain point in history.

[0031] Secondly, the P / E ratio / P / B ratio interval channel shows that there is a situation where future data is used to look back at history. Because it uses the valuation of the important quantiles at the current time point and the spatial band of historical net profit measurement, it cannot objectively reflect whether the time point is overvalued or undervalued at a certain point in history;

[0032] In addition, the mainstream valuation method in the market is to eliminate negative components, that is, to exclude components with poor performance in the portfolio. Because if the valuation is negative, it becomes economically meaningless. However, the portfolio may still hold this component, resulting in distorted valuation.

[0033] In view of the shortcomings and defects of similar products, the present invention provides the following solutions to make the combined valuation analysis more objective and fair.

[0034] S1, based on the stock financial data and price data, calculate the valuation data, the financial data includes the reporting period, performance forecast, and performance consensus expected data; the price data includes the company's market price; the valuation data includes one or a combination of the price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, price-to-sales ratio, and consensus expected price-to-earnings ratio;

[0035] S2, performing correction processing on the estimated data based on a set extreme threshold value to obtain corrected estimated data;

[0036] S3, compressing and weighting the corrected estimated data and then restoring it to obtain a combined estimated value;

[0037] S4, based on the Kitchen inventory cycle, determine the quantile sorting time span, and combine the quantiles of the warning zone and the value zone to sort the historical data of the portfolio valuation to obtain the warning zone boundary valuation and the value zone boundary valuation, and then convert the boundary valuation to the portfolio net value space to form the warning zone boundary net value and the value zone boundary net value, and divide the portfolio net value into different areas according to these two boundary net values ​​to evaluate the portfolio valuation level.

[0038] In the specific implementation process, usually after the stock market closes every day, the latest financial data (including but not limited to the reporting period, performance forecast, and consistent performance expectation data) and price data of the stock are received from the market information provider, and the original stock valuation data (including but not limited to the price-earnings ratio, price-to-book ratio, price-to-cash flow ratio, and consistent expected price-earnings ratio) is calculated;

[0039] Among them, after the valuation data is corrected based on the set extreme threshold, the corrected valuation data includes, if the valuation data is negative, adjusting the negative value of the valuation data to above the extreme threshold; the extreme threshold is set based on historical data statistics and experience.

[0040] For example, the valuation is usually used to evaluate whether the asset price is reasonable. For example, if a company's price-to-earnings ratio is 20, it means that the company's price will increase by 20 yuan for every 1 yuan of profit increase. This means that if the company's profitability remains unchanged, it will take investors 20 years to recover their investment costs through the company's profits. The portfolio valuation analysis is helpful to help investors evaluate whether the stock prices included in the current portfolio are cheap enough.

[0041] Specifically, the following formula 1 is used to adjust the stock valuation. This is mainly because the stock valuation value can be negative, but it does not have economic meaning and is often eliminated. The present invention solves the above problem by adjusting the negative value to a larger positive value; through historical data statistics and experience, an extreme valuation threshold is first set, and then the negative value is mapped to the extreme value. The specific calculation formula is as follows:

[0042] Formula 1:

[0043] In actual use, the extreme threshold is 1048, and the original valuation uses the price-to-earnings ratio.

[0044] The method of compressing and weighting the corrected valuation data and then restoring the corrected valuation data to obtain the combined valuation includes: using a power law distribution, compressing and weighting the corrected valuation data and then restoring the combined valuation data to obtain the combined valuation, as shown in Formula 2:

[0045] Formula 2: The weights can be equal, or the weights can be increased in the normal valuation area.

[0046] The present invention does not use a simple average algorithm to calculate the valuation of the combination, because this method is easily affected by extreme values, and is more affected by the minimum value than the maximum value. Instead, the power law distribution idea is adopted to calculate the valuation of the combination by first compressing, then weighting, and then restoring, which can better reduce the tendency of extreme values.

[0047] The method of determining the time span of the quantile sorting based on the inventory cycle, and combining the quantiles of the warning zone and the value zone, sorting the historical portfolio valuations, obtaining the warning zone boundary valuations and the value zone boundary valuations, and then converting the boundary valuations to the portfolio net value space to form the warning zone boundary net value and the value zone boundary net value, and dividing the portfolio net value into different areas according to these two boundary net values ​​to intuitively evaluate the portfolio valuation level includes: converting the boundary valuations to the portfolio net value space, using a moving average method (also called a smoothing method, specifically, the value at the current time point is represented by the average value of the past N trading days), as shown in Formula 3:

[0048] Formula 3:

[0049] Among them, N is set to 15-20 in actual use, preferably 20, and the currently used values ​​can be 19, 21, and 22.

[0050] The warning zone boundary valuation is converted to form the warning zone boundary net value, and the value zone boundary valuation is converted to form the value zone boundary net value. These two boundary net values ​​divide the combined net value coordinate system into three areas: value area, general area and warning area. Figure 2 The boundary between the value zone and the general zone is the net value of the value zone boundary, and the boundary between the general zone and the warning zone is the net value of the warning zone boundary (Note: ① is the value zone, ② is the general zone, and ③ is the warning zone).

[0051] Based on the economic cycle theory, the present invention selects the Kitchin inventory cycle that is more compatible with the A-share cycle, which is generally about 3.5 years. In order to make the data richer, a moving window of 7 years (equivalent to 2 Kitchin inventory cycles) is actually used to roll the quantile valuation of the time point. Customers can set the value zone and the warning zone points independently. Then, the boundary net value of the value zone and the warning zone is calculated according to formula 3, and finally the combined valuation analysis presentation system is obtained. The effect is shown in the schematic diagram. Figure 2 The portfolio net value is divided into three areas: value area, general area, and warning area. The background colors of the value area and warning area are relatively eye-catching.

[0052] The fixed 7-year window period derived from the economic cycle theory adopted in the present invention solves the problem of the high or low valuation of the historical net value of the portfolio from a historical point in time and avoids the introduction of future data. Moreover, the present invention retains stocks with negative performance, ensures the authenticity of the portfolio valuation, and reduces misleading. Furthermore, the present invention converts the key boundaries of the valuation warning area and the value area into the boundaries of the net value space according to the aforementioned formula 3, so that the net value of the portfolio and the valuation percentile are presented in the same coordinate area, and the valuation at the historical moment does not have future data, the data is real, and the valuation level and valuation trend are clear at a glance. For customers to review history, strategy backtracking is more objective.

[0053] The purpose of the present invention is to provide a more intuitive portfolio valuation analysis and presentation system. The main innovation is that the algorithm function design is compatible with the situation where the stock valuation is negative, and a reasonable mapping is made according to the meaning that the negative value actually represents a higher valuation, and then the adjusted valuation is compressed, weighted, and then restored to calculate the portfolio valuation. At the same time, from the perspective of the economic cycle, a reasonable time window size and a rolling calculation method are used to ensure the accuracy of the historical percentile of the portfolio valuation. In order to reflect it more intuitively, in the portfolio net value space, through conversion, the value zone boundary and the warning zone boundary are formed, as well as the divided value zone, general zone, and warning zone.

[0054] The present invention also provides a valuation data analysis system, comprising:

[0055] A storage module stores financial data, price data and valuation data, wherein the financial data includes reporting period, performance forecast and consistent performance expectations; the price data includes the company's market price; and the valuation data includes rolling price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio and consistent expected price-to-earnings ratio;

[0056] The algorithm function module corrects the valuation data based on the set extreme threshold to obtain the corrected valuation data; compresses and weights the corrected valuation data to obtain the portfolio valuation after restoration; selects the adapted quantile sorting time span, the quantiles of the warning zone and the value zone based on the Kitchin cycle to obtain the warning zone boundary valuation and the value zone boundary valuation, and then converts them to the portfolio net value space to obtain the warning zone boundary net value and the value zone boundary net value, thereby dividing the portfolio net value into different areas to intuitively evaluate the portfolio valuation level;

[0057] A display module displays the net value of the portfolio, the warning area, the general area and the value area.

[0058] In the specific implementation process, the storage module and its functions are: mainly responsible for storing stock-related market and valuation data and the results generated by algorithm functions;

[0059] The relevant algorithm function modules used in this system can be divided into algorithm function 1 module, algorithm function 2 module and algorithm function 3 module:

[0060] Algorithm function 1 module: mainly deals with stock valuation, especially mapping the negative part of the valuation to positive value;

[0061] Algorithm function 2 module: mainly compresses and weights stocks and then restores them to obtain the combined valuation;

[0062] Algorithm function 3 module: mainly smoothes and maps the combined value zone boundary valuation and warning zone boundary valuation to the net value space to obtain the value zone boundary net value and warning zone boundary net value;

[0063] Display module and its function: The storage module passes the results obtained by the algorithm to the display module through an interface for presentation.

[0064] The system also includes a drawing module, which draws a presentation curve based on the combined net value and the boundary net value, wherein the presentation curve is divided into the value area, the general area and the warning area. The weight of the weighting is equal weight or the weight of the normal valuation area is increased.

[0065] The algorithm function module compresses and weights the corrected valuation data and then restores it to obtain a combined valuation, including: using a power law distribution, compressing and weighting the corrected valuation data and then restoring it to obtain a combined valuation, and the specific formula is as follows:

[0066] Formula 2:

[0067] The weighted weight is equal weight or adding weight to the normal valuation area.

[0068] The present invention has the following beneficial effects:

[0069] Compared with existing similar products, this system introduces economic cycle rolling window calculation, which presents a relatively objective historical view and what you see is what you get. At the same time, the stock valuation data is compatible with negative values, which makes the valuation of portfolio holdings more reasonable. It maps the portfolio valuation to the portfolio net value space and divides the portfolio net value into value zone, general zone and warning zone, helping investors to intuitively identify the relative position of the portfolio net value and what kind of trading behavior is suitable at the moment: whether there is a safety margin for buying, whether it is suitable to continue holding, and whether they should consider selling.

[0070] In the description of the present invention, unless otherwise specified, "plurality" means two or more than two; the orientations or positional relationships indicated by the terms "upper", "lower", "left", "right", "inner", "outer", "front end", "rear end", "head", "tail", etc. are based on the orientations or positional relationships shown in the drawings, and are only for the convenience of describing the present invention and simplifying the description, and do not indicate or imply that the device or element referred to must have a specific orientation, be constructed and operate in a specific orientation, and therefore cannot be understood as limiting the present invention. In addition, the terms "first", "second", "third", etc. are only used for descriptive purposes and cannot be understood as indicating or implying relative importance.

[0071] In the description of the present invention, it should be noted that, unless otherwise clearly specified and limited, the terms "connected" and "connection" should be understood in a broad sense, for example, it can be a fixed connection, a detachable connection, or an integral connection; it can be a mechanical connection or an electrical connection; it can be a direct connection or an indirect connection through an intermediate medium. For ordinary technicians in this field, the specific meanings of the above terms in the present invention can be understood according to specific circumstances.

[0072] Although the present invention has been described in detail with reference to the aforementioned embodiments, it is still possible for those skilled in the art to modify the technical solutions described in the aforementioned embodiments, or to make equivalent substitutions for some of the technical features therein. Any modifications, equivalent substitutions, improvements, etc. made within the spirit and principles of the present invention should be included in the protection scope of the present invention.

Claims

1. A combined valuation analysis method, characterized in that: include: Valuation data is calculated based on stock financial data and price data, wherein the financial data includes reporting period, performance forecast, and performance consensus expected data; the price data includes the company's market price; the valuation data includes one or a combination of price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, price-to-sales ratio, and consensus expected price-to-earnings ratio; Correcting the estimated data based on a set extreme threshold to obtain corrected estimated data; The corrected estimated data is first compressed and weighted and then restored to obtain a combined estimated value; Based on the Kitchin inventory cycle, the quantile sorting time span is determined, and combined with the quantiles of the warning zone and the value zone, the historical data of the portfolio valuation is sorted to obtain the warning zone boundary valuation and the value zone boundary valuation, and then the boundary valuation is converted to the portfolio net value space to form the warning zone boundary net value and the value zone boundary net value, and the portfolio net value is divided into different areas according to these two boundary net values ​​to evaluate the portfolio valuation level.

2. The combined valuation analysis method according to claim 1, characterized in that: The valuation data is corrected based on the set extreme threshold to obtain the corrected valuation data, including, if the valuation data is a negative number, adjusting the negative value of the valuation data to above the extreme threshold; the extreme threshold is set based on historical data statistics and experience.

3. The combined valuation analysis method according to claim 2, characterized in that: The specific calculation formula for the correction process is as follows: Formula 1:

4. The combined valuation analysis method according to claim 1, characterized in that: The method of compressing and weighting the corrected valuation data and then restoring the corrected valuation data to obtain the combined valuation includes: using a power law distribution, compressing and weighting the corrected valuation data and then restoring the combined valuation data, and the specific formula is as follows: Formula 2:

5. The combined valuation analysis method according to claim 1, characterized in that: The weighted weight is equal weight or adding weight to the normal valuation area.

6. The combined valuation analysis method according to claim 1, characterized in that: The method of determining the time span of the quantile sorting based on the Kitchen inventory cycle and combining the quantiles of the warning zone and the value zone to sort the historical portfolio valuations, obtain the boundary valuations of the warning zone and the boundary valuations of the value zone, and then convert the boundary valuations to the portfolio net value space to form the boundary net value of the warning zone and the boundary net value of the value zone, and divide the portfolio net value into different areas according to these two boundary net values ​​to evaluate the portfolio valuation level includes: converting the boundary valuations to the portfolio net value space, using the moving average method, and the specific formula is as follows: Formula 3: Among them, N is 15-20.

7. The combined valuation analysis method according to claim 1, characterized in that: It also includes drawing a presentation curve based on the combined net value and the boundary net value, and the presentation curve is divided into the value area, the general area and the warning area.

8. A combined valuation analysis system, characterized in that: include: A storage module for storing financial data, price data and valuation data, wherein the financial data includes reporting period, performance forecast, and performance consensus expected data; the price data includes the company's market price; and the valuation data includes one or a combination of rolling price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, price-to-sales ratio, and consensus expected price-to-earnings ratio; An algorithm function module, which calibrates the valuation data based on a set extreme threshold to obtain the corrected valuation data; compresses and weights the corrected valuation data to obtain the portfolio valuation after restoration; selects an adaptive quantile sorting time span, quantiles of the warning zone and the value zone based on the fund inventory cycle to obtain the warning zone boundary valuation and the value zone boundary valuation, and then converts them to the portfolio net value space to obtain the warning zone boundary net value and the value zone boundary net value, thereby dividing the portfolio net value into different areas for intuitively evaluating the portfolio valuation level; a display module, which displays the portfolio net value, warning zone, general zone and value zone.

9. The combined valuation analysis system according to claim 8, characterized in that: It also includes a drawing module, which draws a presentation curve based on the combined net value and the boundary net value, and the presentation curve is divided into the value area, the general area and the warning area.

10. The combined valuation analysis system according to claim 8, characterized in that: The algorithm function module compresses and weights the corrected valuation data and then restores it to obtain a combined valuation, including: using a power law distribution, compressing and weighting the corrected valuation data and then restoring it to obtain a combined valuation, and the specific formula is as follows: Formula 2: The weighted weight is equal weight or adding weight to the normal valuation area.

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