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华泰柏瑞量化阿尔法(005055)

华泰柏瑞量化阿尔法:华泰柏瑞量化阿尔法灵活配置混合型证券投资基金2019年第2季度报告查看PDF公告

SNl?gˇt^量S?阿\?l?pum;配置m?T?W?证R8
b?资W?金
2019^t{,2[c^?b¥TJ
2019^t6g?30e?
W?金{?t?N”:SNl?gˇt^W?金{?t?g?限QlS?
W?金bX{?N”:N-V?银行股N?g?限QlS?
b¥TJ送Q?e?g?:2019^t7g?17e?
SNl?gˇt^量S?阿\?l?2019 ^t{,2 [c^?b¥TJ
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页 重要c—y:§1 W?金{?t?N”v?董N?O?S?董N?O?证g,b¥TJb@载资e?N?[XW(虚PG记载0?误[?‘’陈述b?重Y’遗o?, ^v[?QvQ?[?v?w?[?‘’0?Q?xn‘’T?[?et‘’b罢ˉN*R+S?连^&责N?0? W?金bX{?N”N-V?银行股N?g?限QlS?h9cng,W?金T??规[?,N?2019^t7g?16e?Y?h8N?g,b¥TJN- v?财R?c?h?0?Q?P<表s?T?b?资~?T?b¥TJ{IQ?[?,O?证Y?h8Q?[?N?[XW(虚PG记载0?误[?‘’陈述b?者 重Y’遗o?0? W?金{?t?N”b?诺N?诚[?O?u(0?R?\=责v?S?R?{?t?T?运u(W?金资N§,OFN?O?证W?金N?[?v¨ R)0?W?金v?过_?N?~?^vN?a表Qvg*ge表s?0? b?资g?风险,b?资者W(O\Q?b?资Q?{VRM^?N?~?阅读g,W?金v?b?R?说f?Nf0? g,b¥TJN-v?财R?资e?g*~ˇ[?计0? g,b¥TJg?自2019^t4g?1e?起至2019^t6g?30e?kb0? SNl?gˇt^量S?阿\?l?pum;配置m?T?W?证R8b?资W?金N?2018^t10g?16e?h9cne6费e?_?R?N?T?, e?X?C|{N?额,C|{v?Qsc?h?N?2018^t10g?16e?_?Y?计{?0? W?金N§T`i?Q?§2 W?金{?y? SNl?gˇt^量S?阿\?l? N?f?Nax? 005055 W?金运O\e?_? YQ~?W?_?e>_? W?金T??u?eHe? 2017^t9g?26e? b¥TJg?+W?金N?额‘;额 1,979,846,558.27N? b?资v?h? R)u([?量b?资j!W?,W(N%hR)s?( z?T?)×5% 风险e6v?ry_? g,W?金N:m?T?W譗?金,Qv预g?风险N?预g?e6v? 高N?P:R8W譗?金N?货^??W:W?金,ON?股yhW? W?金0? W?金{?t?N” SNl?gˇt^W?金{?t?g?限QlS? W?金bX{?N” N-V?银行股N?g?限QlS? N?\^R?~§W?金v?W?金{?y? SNl?gˇt^量S?阿\?l?A SNl?gˇt^量S?阿\? l?C SNl?gˇt^量S?阿\?l?2019 ^t{,2 [c^?b¥TJ {, 3


页 Qq14


页 N?\^R?~§W?金v?N?f?Nax? 005055 006532 b¥TJg?+N?\^R?~§W?金v?N?额‘;额 1,978,878,580.44N? 967,977.83N?


N;要财R?c?h?T?W?金Q?P<表s?§3 N;要财R?c?h?3.1 SUOM:N”l?^?QC N;要财R?c?h? b¥TJg?( 2019^t4g?1e? - 2019^t6g?30e? ) SNl?gˇt^量S?阿\?l?A SNl?gˇt^量S?阿\?l?C 1.g,g?]?[?s?e6v? 231,846,371.47 80,389.27 2.g,g?R)m? -47,977,599.85 -37,656.13 3.R?gC^sWGW?金N?额g,g?R)m? -0.0231 -0.0452 4.g?+W?金资N§Q?P< 1,916,343,561.21 947,788.35 5.g?+W?金N?额Q?P< 0.9684 0.9791 l?:10?N?述W?金N?~?c?h?N?S?b?c?g?N”认购b?N?f?W?金v?T?项费u(,计Qe费u(T?[?际e6v?l4^s要 ON?b@R?ep[W0? 20?g,g?]?[?s?e6v?c?W?金g,g?R)‘oe6Qe0?b?资e6v?0?QvN?e6Qe(N?T+QlQAN?P

页 Qq14


页 自W?金T??u?eHN?geW?金}/计Q?P

页 Qq14


页 l?:A~§V?y:e?g?N:2017^t9g?26e?至2019^t6g?30e?0?C~§V?y:e?g?N:2018^t10g?16e?至2019^t6 g?30e?0?


{?t?N”b¥TJ§4 W?金~ˇt?(b?W?金~ˇt?\?~?){?N? 4.1 Y?T? 职R? N?g,W?金v?W?金~ˇt?g?限 证R8N?N? ^t限 说f? N?职e?g? y?N?e?g? v?豪 量S?b? 资部Ro ‘;v?0? g,W?金 v?W?金 ~ˇt? 2017^t9 g?26e? - 11^t 英V?RQheY’[fep[f|?xU Xo0?2007^t10g?至2010^t3 g?N?Wilshire Associates 量S?x?zvTX,2010^t11g? 至2012^t8g?N?Goldenberg Hehmeyer Trading CompanyN?f?TX0?2012^t9 g?R?QeSNl?gˇt^W?金{?t? g?限QlS?,S?N?量S?b?资 部x?zvTX0?W?金~ˇt?R' t?0?2015^t1g?起N?量S?b? SNl?gˇt^量S?阿\?l?2019 ^t{,2 [c^?b¥TJ {, 6


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页 资部Ro‘;v?,2015^t10g? 起N?SNl?gˇt^量S?O?选pu m;配置m?T?W?证R8b?资W? 金T?SNl?gˇt^量S?驱R¤pu m;配置m?T?W?证R8b?资W? 金v?W?金~ˇt?0?2016^t12 g?至2018^t11g?N?SNl?gˇ t^行N?z?N?O?R?pum;配置 m?T?W?证R8b?资W?金v?W? 金~ˇt?0?2017^t3g?至2018 ^t10g?N?SNl?gˇt^v?R)pu m;配置m?T?W?证R8b?资W? 金v?W?金~ˇt?0?2017^t3g? 至2018^t11g?N?SNl?gˇt^ ‘?R)pum;配置m?T?W?证R8 b?资W?金v?W?金~ˇ t?0?2017^t3g?至2018^t3 g?N?SNl?gˇt^V?R)pum;配 置m?T?W?证R8b?资W?金v? W?金~ˇt?0?2017^t4g? 至2018^t4g?N?SNl?gˇt^l? R)pum;配置m?T?W?证R8b? 资W?金0?SNl?gˇt^锦R)pu m;配置m?T?W?证R8b?资W? 金0?SNl?gˇt^裕R)pum;配 置m?T?W?证R8b?资W?金v? W?金~ˇt?0?2017^t4g? 至2019^t3g?N?SNl?gˇt^w? R)pum;配置m?T?W?证R8b? 资W?金v?W?金~ˇt?0?2017 ^t6g?起N?SNl?gˇt^|?选V? b¥pum;配置m?T?W?证R8b? 资W?金v?W?金~ˇt?0?2017 ^t9g?起N?SNl?gˇt^量S?阿 \?l?pum;配置m?T?W?证R8 b?资W?金v?W?金~ˇ t?0?2017^t12g?起N?SNl? gˇt^n/股通量S?pum;配置 m?T?W?证R8b?资W?金v?W? 金~ˇt?0?2019^t3g?起N?SN l?gˇt^量S?f?选m?T?W?证 R8b?资W?金v?W?金~ˇt?0? u0lIS? Ro‘;~ˇ t?0?g, W?金v? W?金~ˇ t? 2017^t9 g?26e? - 17^t Ro‘;~ˇt?0?f?W(美V?]?QK 莱Qht?b?资{?t?g?限QlS? (BGI )bˉN?b?资~ˇt?, 2012^t8g?R?QeSNl?gˇt^W? 金{?t?g?限QlS?,2013^t8 g?起N?SNl?gˇt^量S?X?_: m?T?W?证R8b?资W?金v?W? 金~ˇt?,2013^t10g?起N? QlS?Ro‘;~ˇt?,2014^t12 g?起N?SNl?gˇt^量S?O?选 pum;配置m?T?W?证R8b?资 W?金v?W?金~ˇt?,2015^t3 g?起N?SNl?gˇt^量S?QH行 m?T?W?证R8b?资W?金v?W? 金~ˇt?T?SNl?gˇt^量S?驱 R¤pum;配置m?T?W?证R8b? 资W?金v?W?金~ˇt?,2015 SNl?gˇt^量S?阿\?l?2019 ^t{,2 [c^?b¥TJ {, 7


页 Qq14


页 ^t6g?起N?SNl?gˇt^量S?fz agpum;配置m?T?W?证R8b? 资W?金v?W?金~ˇt?T?SNl? gˇt^量S?~?[?e6v?{Vue[? g?_?e>m?T?W?S?起_?证R8 b?资W?金v?W?金~ˇ t?0?2016^t5g?起N?SNl?gˇ t^量S?[?Q?z3Pe6v?[?g? _?e>m?T?W?S?起_?证R8b? 资W?金v?W?金~ˇt?0?2017 ^t3g?至2018^t11g?N?SNl? gˇt^‘?R)pum;配置m?T?W? 证R8b?资W?金v?W?金~ˇ t?0?2017^t5g?起N?SNl?gˇ t^量S?R?O?pum;配置m?T? W?证R8b?资W?金v?W?金~ˇ t?0?2017^t9g?起N?SNl?gˇ t^量S?阿\?l?pum;配置m? T?W?证R8b?资W?金v?W?金 ~ˇt?0?2017^t12g?起N?SN l?gˇt^n/股通量S?pum;配 置m?T?W?证R8b?资W?金v? W?金~ˇt?0?g,y?N?x?zvu? k?N??n?SNY’[f, MBAk?N? N?美V?R?]?Y’[fO/QKR)R? h!T¨eflUF[f院0? {?t?N”[?b¥TJg?Q?g,W?金运O\遵规[?O?‘ˉQ?v?说f?4.2 b¥TJg?Q?g,W?金v?运O\{&T?v?Qsl?_?0?l?规N?S?W?金T??v?~?[?,N?[XW(c_[?W?金c?g?N”R) v?v?行N:0? Ql^sN?f?N?项说f?4.3 Ql^sN?f?R6^?v?bg行‘ˉQ?4.3.1 b¥TJg?Q?,g,W?金{?t?N”h9cn0?证R8b?资W?金{?t?QlS?Ql^sN?f?R6^?c?[?a?见0?v?要lB,通 过y?[f[?Uv?R6^?S?mAz?,N?N?RM0?N譎-T?N?T?{Isfl节N%h

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页 _?^8N?f?行N:v?N?项说f?4.3.2 b¥TJg?Q?g*S?s?g,W?金[XW(_?^8N?f?行N:0?g,b¥TJg?Q?e?N?R?‘ˉQ?:b@g?b?资~?T?S′N?v?N? f?b@Ql_?z?N?T?e?S?T?N?f?b?N?较\?v?SU边N?f?量超过该证R8_Se?b?N?量v?5%0?


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页 Qq14


页 b?资~?T?b¥TJ§5 b¥TJg?+W?金资N§~?T?‘ˉQ? 5.1 ^?S? 项v? 金额(QC) S‘W?金‘;资N§v?k?O?(%) 1 gCv?b?资 1,805,151,932.29 93.72 QvN-:股yh 1,805,151,932.29 93.72 2 W?金b?资 - - 3 V?[?e6v?b?资 30,009,000.00 1.56 QvN-:P:R8


30,009,000.00 1.56 资N§e/c?证R8 - - 4 贵金\^b?资 - - 5 金融衍u?T`b?资 - - 6 NpQe返U.金融资N§ - - QvN-:Npe?_?V?购v?NpQe返 U.金融资N§


- - 7 银行[Xk>T?~?{?Y?N?金T?计 89,073,055.93 4.62 8 QvN?资N§


1,809,967.24 0.09 9 T?计





1,926,043,955.46


100.00 b¥TJg?+c?行N?R?|{v?股yhb?资~?T?5.2 b¥TJg?+c?行N?R?|{v?X?Q?股yhb?资~?T?


5.2.1 Nax? 行N?|{R+ QlQAN?P<(QC) S‘W?金资N§Q?PO?]?O\ - - R e?S?0?OS育T?Z1NPN? 7,540,504.60 0.39 S ~?T? 3,483,045.00 0.18 T?计 1,805,151,932.29 94.15 SNl?gˇt^量S?阿\?l?2019 ^t{,2 [c^?b¥TJ {, 10


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页 b¥TJg?+c?行N?R?|{v?n/股通b?资股yhb?资~?T?5.2.2 l?:g,W?金g,b¥TJg?+g*b?资n/股通股yh0? b¥TJg?+c?QlQAN?P

b¥TJg?+c?P:R8T`y?R?|{v?P:R8b?资~?T?


5.4 ^?S? P:R8T`y? QlQAN?P<(QC) S‘W?金资N§Q?P

b¥TJg?+c?QlQAN?P

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页 l?:g,W?金g,b¥TJg?+g*b?资资N§e/c?证R80?


b¥TJg?+c?QlQAN?P

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页 W?金b?资v?RMSAT?股yhN-,l?g?b?资N?超Q?W?金T??规[?Y?选股yh^?NKY?v?‘ˉ_b0? QvN?资N§g?b?5.11.3 ^?S? T?y? 金额(QC) 1 [XQ?O?证金 783,798.26 2 ^?e6证R8n?{?k> - 3 ^?e6股R) - 4 ^?e6R)‘o 990,225.71 5 ^?e6u3购k> 35,943.27 6 QvN?^?e6k> - 7 _?dJ费u( - 8 QvN? - 9 T?计 1,809,967.24


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页 l?:e?0? _qT?b?资者Q?{Vv?QvN?重要O?‘o§8 b¥TJg?Q?SUN?b?资者c?g?W?金N?额k?O?达R0b?超过20%v?‘ˉQ?8.1 l?:g,W?金g,b¥TJg?Q?g*g?SUN?b?资者c?g?W?金N?额k?O?达R0b?超过20%v?‘ˉQ?0? _qT?b?资者Q?{Vv?QvN?重要O?‘o8.2 e?0? Y?g?e?N?v?_U§9 Y?g?e?N?v?_U9.1 10?g,W?金v?N-V?证v?O?byQ?R?集e?N? 20?g,W?金v?0?W?金T??0? 30?g,W?金v?0?b?R?说f?Nf0? 40?g,W?金v?0?bX{?SO议0? 50?W?金{?t?N”N?R?资hW0p?9.2 N?mw^?mfN?e?S:l?u?路1199_?证Y’N?道Sa^?W:1S?i|17\B g?阅e?_?9.3 b?资者S?W(营N?e?间QM费g?阅,N_S?c?]?g,费购NpY?SpN?0? b?资者[?g,b¥TJY?g?u?问,S? T¤询W?金{?t?N”SNl?gˇt^W?金{?t?g?限QlS?0? [¢b7g?R?p?~?:400-888-0001(QM长途费) 021- 3878 4638 QlS?网W@:www.huatai-pb.com SNl?gˇt^W?金{?t?g?限QlS? 2019^t7g?17e?