2005
2006 3 27
2006 3 9
1
............................................................. 2
.............................. 3
............................................................ 5
............................................................ 9
.............................................................. 9
......................................................... 10
....................................................... 10
................................................... 12
......................................................... 20
................................................... 26
......................................................... 26
............................................................. 28
2
( )
1
2
3 : 184701
4
5 1999 12 30
6 3,000,000,000
7
15
8
9
2000 1 10
( )
1
2 A
3
4
( )
1
2 7088 32 3 7088 32 4 : 518040
5 http://www.dcfund.com.cn
6
7
8
9 0755-83183388
10 0755-83199588
11 dupeng@dcfund.com.cn
( )
1
2 23
3 100
4 : 100036
5 http://www.abchina.com
6
7
3
8 010-68435588
9 010-68424181
10 lifangfei@abchina.com
( )
http://www.dcfund.com.cn
7088 32
100
( )
1
202 11
2
1093 18
2005 2004 2003 1 () -149,467,795.27115,902,936.66-294,859,239.40
2 () -0.0498 0.0386 -0.0983
3
() -381,835,937.24-254,117,393.48-348,271,078.63
4
() -0.1273-0.0847-0.1161
5 () 2,756,912,545.002,745,882,606.522,943,441,586.31
6 () 0.9190 0.9153 0.9811
7
-5.68% 3.91% -10.87%
8
0.40% -6.71% 17.81%
9
4.16% 3.75% 11.21%
1
(1) (2)
4.30% 1.45%
8.65% 1.55% 4
0.40% 2.21%
10.35% 2.15%
-22.47% 3.13%
4.16% 2.12%
2
(1999 12 30 2005 12 31 )
-30%
-15%
0%
15%
30%
45%
1999-12-30 2001-12-30 2003-12-30 2005-12-30
(1) ( )
(2)2006 1 21 2006
3
-20%
-10%
0%
10%
20%
30%
2003 2004 2005
5
1
[1999]10 1999 4 12
1 (48%) (25%) (25%) (2%) 2005 12 31 5 5
2
10
10
1 2005
2005
2005 GDP
2005 6
7 22 2.1% A
A A
8.33% 6.65%
2
2005
A 8.65% 0.40% 8.73%
3 2006
2006 A 7
A
5 A 50 7 10% A
QFII
2005 2006
A 100 50
A 20%
GDP
2006
8
1 2005 2004
2 2005
3 2005
4 2004 BARRA VaR
5 2005
9
2005 1 1 2005 12 31
2006 03 09
(2006) 187
( ) 2005 12 31 2005
2005 12 31 2005
10
·
2006 2 28
2005 12 31 ( )
2005 12 31 2004 12 31
47,228,985.01
113,416,670.08
2,467,682.76
0.00
(a)
1,660,000.00
1,250,000.00
82,598,254.54
14,220,319.85
0.00 0.00
(b)
9,321,495.02
9,368,787.58
0.00 0.00
(c)
349,154.00
199,154.00
2,007,907,565.74
1,898,473,785.61
1,873,158,062.01
1,918,764,343.92
612,777,710.90
728,216,870.95
608,778,732.39
729,675,564.15
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
2,764,310,847.97
2,765,145,588.07
0.00
12,148,946.75
0.00 0.00
0.00
0.00
2,794,560.80
2,931,979.34
558,912.14
586,395.85
(d)
1,396,205.99
1,400,795.57
0.00 0.00
0.00 0.00
0.00 0.00
(e)
2,448,624.04
2,094,864.04
0.00 0.00 11
0.00 0.00
(f)
200,000.00
100,000.00
0.00 0.00
7,398,302.97
19,262,981.55
(g) 3,000,000,000.00 3,000,000,000.00
(h) 138,748,482.24 -21,749,251.51
-381,835,937.24 -232,368,141.97
2,756,912,545.00 2,745,882,606.52
2,764,310,847.97
2,765,145,588.07
0.9190 0.9153
2005 ( )
2005 2004
-109,010,368.02 162,105,915.68
1
(i) -201,161,807.54 163,031,384.96
2
(j) 11,572,937.99 -40,393,044.11
3
18,358,835.85 0.00
4
18,225,348.40 18,777,348.66
5
1,472,064.81 3,308,713.48
6
42,344,280.81 16,889,359.97
7
0.00 168,700.00
8 (k) 177,971.66 323,452.72
40,457,427.25 46,202,979.02
1 (c) 32,901,702.64 37,105,822.47
2 (d) 6,580,340.59 7,421,164.50
3
478,046.52 1,215,485.92
4
0.00 0.00
5 (l) 497,337.50 460,506.13
60,000.00 60,000.00
300,000.00 300,000.00
100,000.00 100,000.00
-149,467,795.27 115,902,936.66
160,497,733.75 -313,461,916.45
11,029,938.48 -197,558,979.79
2005 ( )
2005 2004
-149,467,795.27 115,902,936.66
-232,368,141.97 -348,271,078.63
0.00 0.00
-381,835,937.24 -232,368,141.97
12
0.00 0.00
-381,835,937.24 -232,368,141.97
2005 ( )
2005 2004
2,745,882,606.52 2,943,441,586.31
-149,467,795.27 115,902,936.66
160,497,733.75 -313,461,916.45
11,029,938.48 -197,558,979.79
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
2,756,912,545.00 2,745,882,606.52
( ) ( ) ( ) ( ) 1999 39 1999 12 30 15 30
( ) (2000) 2 2000 1 10
1999 39 A
50% 30%
13
(a)
1 1 12 31
(b)
(c)
(d)
(i)
(ii)
(iii)
( )
(iv)
(v)
(e)
(i)
(ii)
14
(iii)
( )
(f)
(g)
1.25% 20%
0.25%
(h)
1.00
(i)
90%
[1998]55 [2004]78 [2005]11 ( ) [2005]102 [2005]103
(a)
(b) 2004 1 1
(c) 20%
2005 6
13 50%( 100%) 20%
15
(d) 2005 1 24 0.2% 2005 1 24 0.1%
(e)
(a)
( )
( )(1)
( )(2)
( )(3)
( )
(1) 2005 5 10 [2005]54
(2) 2005 11 6
(3) 2005 1 24
(b)
A
2005 2004
( )
( )
1,096,519,087.84 20.99% 1,951,584,488.40 20.84%
838,662,305.29 16.05% 951,435,099.23 10.16%
0.00 0.00% 139,809,218.24 1.49%
1,935,181,393.13 37.04% 3,042,828,805.87 32.49%
B
2005 2004
( )
( )
1,454,413,462.90 30.81% 0.00 0.00%
1,403,881,039.47 29.74% 22,876,306.68 1.64%
0.000.00%55,393,509.053.98% 16
2,858,294,502.37 60.55% 78,269,815.73 5.62%
C
2005 2004
( )
( )
50,000,000.00 4.39% 13,000,000.00 0.83%
D
2005 2004
( )
( )
884,560.15 21.23% 1,600,282.14 21.17%
663,038.66 15.91% 765,991.26 10.13%
0.000.00% 109,402.331.45%
1,547,598.81 37.14% 2,475,675.73 32.75%
(c)
1.25% X 1.25% /
32,901,702.64 (2004 37,105,822.47 )
(d)
0.25%
X 0.25% /
6,580,340.59 (2004 7,421,164.50 )
(e)
2005 12 31 47,228,985.01 (2004 113,416,670.08 ) 1,334,070.94
(2004 3,308,713.48 )
(f)
2005 2004 20,000,000.00 124,000,000.00
4,794.52 50,653.15
(g)
A
17
2005 2004
( ) ( )
7,500,000 0.25%7,500,000 0.25%
B
2005 12 31 2004 12 31
( )
( )
3,750,000 0.13% 3,750,000 0.13%
3,750,000 0.13% 3,750,000 0.13%
( )
(a)
2005 12 31 2004 12 31 1,500,000.00 1,250,000.00
160,000.00 0.00
1,660,000.001,250,000.00
(b)
2005 12 31 2004 12 31 9,283,195.17 9,270,440.00
37,117.35 98,347.58
1,110.50 0.00
72.00 0.00
9,321,495.029,368,787.58
(c)
2005 12 31 2004 12 31 199,154.00 199,154.00
150,000.00 0.00
349,154.00199,154.00
(d)
2005 12 31 2004 12 31 229,640.77 349,811.20
218,315.34 41,614.76
181,801.68 0.00
172,880.79 545,006.88
129,621.26 6,606.87
86,011.50 58,849.69
76,249.21 94,004.12
58,711.47 72,103.08
58,109.55 0.00
184,864.42232,798.97 18
1,396,205.991,400,795.57
(e)
2005 12 31 2004 12 31 1,510,116.04 1,510,116.04
750,000.00 500,000.00
188,508.00 84,748.00
2,448,624.042,094,864.04
(f)
2005 12 31 2004 12 31 100,000.00 100,000.00
100,000.00 0.00
200,000.00100,000.00
(g)
2005 12 31 2004 12 31
( ) ( )
- 15,000,000 15,000,000.00 15,000,000 15,000,000.00
- 7,500,000 7,500,000.00 7,500,000 7,500,000.00
2,977,500,0002,977,500,000.00 2,977,500,0002,977,500,000.00
3,000,000,0003,000,000,000.00 3,000,000,0003,000,000,000.00
0.5% 1,500
(h)
2004 12 31 -20,290,558.31-1,458,693.20 -21,749,251.51
155,040,062.045,457,671.71160,497,733.75
2005 12 31 134,749,503.73 3,998,978.51 138,748,482.24
(i)
2005 2004 2,587,914,291.294,801,835,915.00
2,171,015.53 4,053,683.84
2,786,905,083.30 4,634,750,846.20
-201,161,807.54163,031,384.96
18,657,991.38
(2004 )
19
(j)
2005 2004 2,752,750,236.99 698,541,902.87
40,650,917.8712,072,133.78
2,700,526,381.13726,862,813.20
11,572,937.99-40,393,044.11
(k)
2005 2004 150,000.00 0.00
14,190.23 64,578.57
13,781.43 257,896.15
0.00978.00
177,971.66323,452.72
(l)
2005 2004 300,000.00300,000.00
100,000.00100,000.00
60,000.0060,000.00
19,470.00 0.00
6,926.01 0.00
10,941.49506.13
497,337.50460,506.13
2005 12 31
( )
( ) ( )
( )
600036
2005/12/19 6.61 2006/01/04 7.23 21,410,054 141,520,456.94
000069
A 2005/12/19 12.702006/01/06 11.14 4,999,987 63,499,834.90
000539
A 2005/11/30 4.772006/01/19 4.10 4,621,438 22,044,259.26
000987
2005/12/30 8.09 2006/01/20 6.99 500,000 4,045,000.00
231,109,551.10 20
( ) 2,007,907,565.74 72.63%
612,777,710.90 22.17%
49,696,667.77
1.80%
82,598,254.54 2.99%
0.00 0.00%
11,330,649.02 0.41%
2,764,310,847.97 100.00%
1
( ) A
0.00 0.00%
B
120,962,363.27 4.39%
C
282,497,199.50 10.25%
C0
2,899,678.08 0.11%
C1
2,992,500.00 0.11%
C2
0.00 0.00%
C3
0.00 0.00%
C4
0.00 0.00%
C5
0.000.00%
C6
170,754,641.66 6.19%
C7
88,597,234.36 3.21%
C8
17,253,145.40 0.63%
C99
0.00 0.00%
D 24,712,442.32 0.89%
E
0.000.00%
F
119,258,877.32 4.32%
G
50,092,022.71 1.82%
H
4,045,000.00 0.15%
I
29,228,328.96 1.06%
J
207,828,611.22 7.54%
K
63,499,834.90 2.30%
L
0.00 0.00% 21
M
7,659,977.02 0.28%
909,784,657.22 33.00%
2
( ) A
0.00 0.00%
B
187,645,355.40 6.81%
C
271,777,053.84 9.85%
C0
15,015,589.56 0.54%
C1
0.00 0.00%
C2
0.00 0.00%
C3
0.00 0.00%
C4
2,567,062.86 0.09%
C5
0.000.00%
C6
206,932,404.25 7.51%
C7
21,614,500.00 0.78%
C8
25,647,497.17 0.93%
C99
0.00 0.00%
D 76,759,769.73 2.78%
E
0.000.00%
F
157,095,999.45 5.70%
G
131,826,759.99 4.78%
H
0.00 0.00%
I
166,406,951.42 6.04%
J
106,611,018.69 3.87%
K
0.00 0.00%
L
0.00 0.00%
M
0.000.00%
1,098,122,908.52 39.83%
1
( ) ( )
1 600029
25,215,47266,821,000.80 2.42%
2 600019 G
15,805,06364,642,707.67 2.34%
3 000069 A 4,999,98763,499,834.90 2.30%
4 600028
13,528,66063,449,415.40 2.30%
5 000024
4,777,58356,041,048.59 2.03%
6 000002 G
12,111,97553,656,049.25 1.95%
7 600383
7,037,09547,570,762.20 1.73%
8 600205
3,459,40038,918,250.00 1.41%
9 600585
3,949,75938,470,652.66 1.40% 22
10 600875
3,034,25337,837,134.91 1.37%
11 000063 G
1,191,53933,232,022.71 1.21%
12 000039
2,926,33824,903,136.38 0.90%
13 600489
2,799,80921,026,565.59 0.76%
14 000550
3,440,06820,743,610.04 0.75%
15 600717 G
4,049,14620,124,255.62 0.73%
16 600016 G
4,646,90718,959,380.56 0.69%
17 600348 G
2,021,06218,634,191.64 0.68%
18 000402
1,874,09518,178,721.50 0.66%
19 600547
1,423,09617,376,002.16 0.63%
20 600050
6,000,00016,860,000.00 0.61%
21 600018 G
1,156,64013,127,864.00 0.48%
22 600686
1,449,72712,815,586.68 0.46%
23 000539
2,621,43812,504,259.26 0.45%
24 000031 A 1,819,95512,321,095.35 0.45%
25 600675 G
2,999,93712,269,742.33 0.45%
26 600011
2,038,09412,208,183.06 0.44%
27 600012
1,728,35610,301,001.76 0.37%
28 600104 G
3,084,29210,270,692.36 0.37%
29 000423
1,516,761 8,281,515.06 0.30%
30 600322
2,164,220 7,791,192.00 0.28%
31 600858
999,9977,659,977.02 0.28%
32 600006
2,501,881 6,930,210.37 0.25%
33 600036
944,4406,242,748.40 0.23%
34 600267
838,5046,045,613.84 0.22%
35 000088
530,8985,388,614.70 0.20%
36 000987
500,0004,045,000.00 0.15%
37 600000
410,0004,026,200.00 0.15%
38 600720
1,999,945 3,819,894.95 0.14%
39 000900
395,4913,496,140.44 0.13%
40 000726
450,0002,992,500.00 0.11%
41 600085 G
209,4502,926,016.50 0.11%
42 600600
348,5192,899,678.08 0.11%
43 000983 G
83,836 476,188.48 0.02%
155,083,688 909,784,657.22 33.00%
2
( ) ( )
1 600036
20,465,614135,277,708.54 4.91%
2 600019 G
32,358,475132,346,162.75 4.80%
3 600028
27,574,810129,325,858.90 4.69%
4 000063 G
3,819,891106,536,759.99 3.86% 23
5 000002 G
23,213,043102,833,780.49 3.73%
6 600009
5,094,65575,299,000.90 2.73%
7 600585
7,657,72574,586,241.50 2.71%
8 600900 G
8,991,28262,579,322.72 2.27%
9 600348 G
6,325,32558,319,496.50 2.12%
10 600000
3,169,98431,129,242.88 1.13%
11 600029
10,400,00027,560,000.00 1.00%
12 600717 G
5,255,29326,118,806.21 0.95%
13 600050
9,000,00025,290,000.00 0.92%
14 600018 G
1,933,16021,941,366.00 0.80%
15 000800
6,950,00021,614,500.00 0.78%
16 000423
2,609,64514,248,661.70 0.52%
17 600085 G
815,95111,398,835.47 0.41%
18 000539
2,000,000 9,540,000.00 0.35%
19 000895
726,9789,428,904.66 0.34%
20 000729
828,8855,586,684.90 0.20%
21 600011
774,6994,640,447.01 0.17%
22 000402
389,4063,777,238.20 0.14%
23 600012
524,3693,125,239.24 0.11%
24 600135
725,1592,567,062.86 0.09%
25 000088
230,3142,337,687.10 0.08%
26 000089 G
110,000 713,900.00 0.03%
181,944,663 1,098,122,908.52 39.83%
( ) 2 20
( ) 1 600019 G
204,932,809.10 7.46%
2 600050
139,311,859.17 5.07%
3 600036
139,205,778.60 5.07%
4 000002 G 139,203,378.27 5.07%
5 000063 G
131,061,744.84 4.77%
6 600028
126,425,768.13 4.60%
7 600029
107,595,253.07 3.92%
8 600320
93,548,207.64 3.41%
9 600585
88,706,066.10 3.23%
10 600875
74,065,960.92 2.70%
11 600026 G
66,238,938.34 2.41%
12 600018 G
62,049,877.19 2.26%
13 000895
61,412,841.29 2.24%
14 600005 G
60,558,301.22 2.21%
15 000069
49,548,068.26 1.80% 24
16 600900 G
47,400,973.92 1.73%
17 000550
46,246,168.92 1.68%
18 600016 G
44,490,023.22 1.62%
19 600011
43,519,270.29 1.58%
20 000024
42,884,191.74 1.56%
( ) 2 20
( ) 1 600900 G
127,380,998.69 4.64%
2 600320
103,348,439.03 3.76%
3 000068
100,429,626.49 3.66%
4 600005 G
89,276,904.44 3.25%
5 600050
87,148,076.22 3.17%
6 600036
86,081,652.90 3.13%
7 600026 G
83,582,430.16 3.04%
8 000089 G 67,245,038.03 2.45%
9 000983 G
66,256,946.53 2.41%
10 000012
63,789,785.52 2.32%
11 600583
62,932,633.29 2.29%
12 000039
60,653,818.84 2.21%
13 600125
58,746,554.26 2.14%
14 600642 G
58,616,522.38 2.13%
15 600875
58,078,938.14 2.12%
16 600009
56,057,144.46 2.04%
17 000063 G
54,782,069.67 2.00%
18 600138
51,982,933.10 1.89%
19 000895
48,323,890.82 1.76%
20 600795
46,831,287.75 1.71%
( )
2,760,703,785.72 2,587,914,291.29
( ) 1
459,792,187.30 16.68%
2
150,295,000.00 5.45%
3
0.00 0.00%
4
0.00 0.00%
5
2,690,523.60 0.10%
6
0.00 0.00%
612,777,710.90 22.23% 25
( ) 1 02 (14) 115,897,000.00 4.20%
2 05 29 100,000,000.00 3.63%
3 04 (5) 99,220,378.40 3.60%
4 02 (10) 70,738,090.10 2.57%
5 21 (3) 56,221,000.00 2.04%
1
2
3
( )
1,660,000.00
9,321,495.02
349,154.00
11,330,649.02
4
( )
110037
2,690,523.60 0.10%
5
( )
( )
( )
( )
( )
580000 JTB1 00.004,106,1216,619,863.85 0
580001 JTB1 00.00701,7751,068,018.75 0
580999 JTP1 00.00701,7751,244,996.75 0
030001 JTC1 00.00410,4131,025,928.86 0
038002 HRP1 00.009,689,5808,400,027.64 0
JTB1(580000) JTB1(580001)/JTP1(580999) JTC1(030001) HRP1(038002) G (600019) G (600005) G (000898) G A(000002)
6
( )
7,500,000
0
0
7,500,000
26
65,895 45,526.97
( ) 3,000,000,000 100.00%
1,363,082,948 45.44%
1,636,917,052 54.56%
( ) 1 ( ) 263,511,473 8.78%
2 ( ) 262,495,821 8.75%
3
256,149,373 8.54%
4
207,452,354 6.92%
5 - -MERRILL LYNCH INTERNATIONAL 69,365,370 2.31%
6 - - 33,436,900 1.11%
7
27,378,300 0.91%
8
- - 26,997,896 0.90%
9
- -LEHMAN BROTHERS
INTERNATIONAL (EUROPE) 17,541,357 0.58%
10
15,852,307 0.53%
2006 1 21 2006
27
100,000.00
1
( )
( )
( )
1 455,233,243.52 8.72% 356,223.66 8.55%
1 277,400,302.54 5.31% 218,198.83 5.24%
2 772,666,101.15 14.79% 608,457.78 14.60%
1 351,660,345.51 6.73% 288,361.20 6.92%
1 57,997,651.48 1.11% 45,384.64 1.09%
1 224,715,760.00 4.30% 184,266.56 4.42%
1 284,163,494.42 5.44% 222,360.84 5.33%
1 1,096,519,087.84 20.99% 884,560.15 21.23%
2 134,086,146.04 2.57% 104,923.42 2.51%
1 530,375,903.98 10.15% 434,904.65 10.44%
2 838,662,305.29 16.05% 663,038.66 15.91%
1 200,442,966.87 3.84% 156,848.27 3.76%
1 0.00 0.00% 0.00 0.00%
1 0.00 0.00% 0.00 0.00%
17 5,223,923,308.64 100.00%4,167,528.66 100.00%
2
( )
( )
744,662,247.70 15.78% 260,000,000.00 22.81%
1,088,443,408.08 23.06% 830,000,000.00 72.80%
12,284,063.00 0.26% 0.00 0.00%
1,454,413,462.90 30.81% 0.00 0.00%
1,403,881,039.47 29.74% 50,000,000.00 4.39%
16,631,459.23 0.35% 0.00 0.00%
4,720,315,680.38 100.00%1,140,000,000.00 100.00%
3
011902 211804
4
( <1998>29 )
28
( ) ( ) ( )
1
2005 6 17
2
2005 8 24
1
2
3
4
5
http://www.dcfund.com.cn
0755-83183388-6868
010-85633388-6868
021-53599588-#
http://www.dcfund.com.cn
2006 3 27
