2005
2006 3 27
2006 3 13
2005 6 3 ( ) 2005 12 31 1
.............................................................. 2
.............................. 3
............................................................ 5
............................................................ 9
.............................................................. 9
......................................................... 10
....................................................... 10
................................................... 12
......................................................... 20
................................................... 22
............................................... 23
......................................................... 23
........................................................... 25
2
( )
1
2 A
B
3 :
A 090005
B 091005
4
5 2005 6 3
6 090005 1,290,764,016.14
091005 2,672,107,820.49
7
8
9
( )
1
2
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 6
3 6
3
4 : 100045
5 www.cebbank.com
6
7
8 010 68560675
9 010 68560661
10 zhangjianchun@cebbank.com
( )
http://www.dcfund.com.cn
7088 32
6
( )
1
1 16
2
689 19
2005
A B
1 () 14,394,526.56 43,171,614.73
2 () 1,290,764,016.14 2,672,107,820.49
3 () 1.00
4
1.1421% 1.2832%
5
1.1421% 1.2832%
2005 6 3 2005 2005 6
3 2005 12 31
1
4
A 0.4727%0.0041% 0.0190%0.0041%
B
0.5335% 0.0041% 0.4537% 0.0000% 0.0798% 0.0041%
A 0.9864% 0.0043% 0.0790%0.0043%
B
1.1089% 0.0043% 0.9074% 0.0000% 0.2015% 0.0043%
A 1.1421% 0.0044% 0.0966%0.0044%
B
1.2832% 0.0044% 1.0455% 0.0000% 0.2377% 0.0044%
2
(2005 6 3 2005 12 31 )
0.00%
0.30%
0.60%
0.90%
1.20%
1.50%
2005-6-3 2005-7-13 2005-8-22 2005-10-1 2005-11-102005-12-20
A B
(1) 10% 30% 5% , 20% 20% , 5 5
397 397 20% 180 3
(2) 2005 6 3 2005 12 31
3
0.00%
0.30%
0.60%
0.90%
1.20%
1.50%
2005 A B
2005 6 3 2005 2005
6 3 2005 12 31
1.00 1.00 57,566,141.29 57,246,312.29 319,829.00
1
[1999]10 1999 4 12
1 (48%) (25%) (25%) (2%) 2005 12 31 5 5
2
6
(CFA) Barra 2004 9
5 2005 4
1 2005
2005
CPI
2005
10 150 2005 7 10 11 12 60
2005 5 84 1400 110bp
2 2005
2005 6 7
7
2005 2005 12 31 212 A 1.1421% B 1.2832% 1.0455%
3 2006
2006 2006 2006 M2 16% M1 14% 2 5
2006 2005 2006
2006
2006
8
1 2005 2004
2 2005
3 2005
4 2004 BARRA VaR
5 2005
9
2005
2005
2005
2006 3 13
(2006) 248772-01
( )2005 12
31 2005 6 3 ( ) 2005 12 31
2005 12 31
2005 6 3 ( ) 2005 12 31
10
2006 2 28
2005 6 3 2005 2005 6
3 2005 12 31
2005 12 31 ( , )
2005 12 31
(a) 2,104,900,036.02
0.00
0.00
0.00
0.00
(b) 16,666,912.46
186,175,660.19
0.00
0.00
0.00
1,959,014,179.70
1,959,014,179.70
0.00
0.00
0.00
0.00
0.00
4,266,756,788.37
0.00
0.00
0.00
1,710,682.31
518,388.56
(c) 466,409.31
0.00 11
(d) 373,972.56
(e) 319,829.00
0.00
(f) 314,070.00
(g) 181,600.00
300,000,000.00
0.00
0.00
303,884,951.74
(h) 3,962,871,836.63
0.00
0.00
3,962,871,836.63
4,266,756,788.37
1.00
2005 ( )
2005 6 3 ( ) 2005 12 31
76,353,668.51
1
0.00
2 (i)
17,451,337.90
3
0.00
4
27,913,026.15
5
29,707,608.46
6
0.00
7
1,281,696.00
8
0.00
18,787,527.22
1 (c)A
8,995,710.35
2 (c)B
2,725,972.89
3 (c)C
2,053,181.80
4
4,563,494.93
5
0.00
6 (j)
449,167.25
0.00
50,000.00
80,000.00
57,566,141.29
0.00
57,566,141.29 12
2005 ( )
2005 6 3 ( ) 2005 12 31
57,566,141.29
0.00
0.00
57,566,141.29
(k) 57,566,141.29
0.00
2005 ( )
2005 6 3 ( ) 2005 12 31 3,636,502,882.17
57,566,141.29
0.00
57,566,141.29
17,746,292,782.46
-17,419,923,828.00
326,368,954.46
(k) -57,566,141.29
3,962,871,836.63
( ) ( ) [2005]78 [2005]150
2005 6 3
2005 5 16 2005 6 1 3,636,169,662.02 0.00 3,636,169,662.02 13
333,220.15 333,220.15 3,636,502,882.17
A B A 1000 B 1000 ( 1000 )
2 3 5
(a)
1 1 12 31 2005
6 3 ( ) 2005 12 31
(b)
(c)
(d)
(i)
(ii)
(iii)
1.
2.
3. ;
4.
(iv)
14
0.25%
0.5%
(v)
(e)
(i)
(ii)
(f)
(g)
(i)
(ii)
(iii)
(iv)
(v)
(h)
(i) 0.33%
(ii) 0.10%
15
(iii)A 0.25% B 0.01%
(iv)
(v)
(vi)
(vii)
(i)
(i) 1.00 1.00 1.00 0.01 3
(ii)
(iii)
(iv)
(v)
(vi)
(j)
1.00
1
[2002]128
[2004]78 2004 1 1
2
[2002]128 20%
(a)
16
( )*
* 2005 11 6
(b)
2005 6 3 ( ) 2005 12 31
( )
7,880,500,000.00 100%
(c)
A.
a. 0.33%
H=E 0.33%/
H
E
b. 8,995,710.35 7,285,028.04
1,710,682.31
B.
a. 0.10%
H=E 0.1%/
H
E
b. 2,725,972.89 2,207,584.33 518,388.56
C.
a. A 0.25% B 0.01%
H E R/
H
E
R
17
b. 2,053,181.80
2005 6 3 ( ) 2005 12 31 211,330.17
656,787.34
34,194.14
14,797.43
2,708.95
D.
a. 2005 12 31 13,046,146.10 790,177.07
b. 2005 12 31 1,091,853,889.92 22,955,507.65
(d)
2005 6 3 ( ) 2005 12 31
49,085,000.001,845,548,866.84
0.00500,317,629.10
0.002,329,496.61
0.004,635,300,000.00
0.00 760,344.51
(e)
A.
2005 6 3 ( ) 2005 12 31 () 30,006,750.00
() 5,407,768.47
() 3,000,000.00
() 32,414,518.47
0.82%
0.00%
0.00%
B.
18
2005 12 31
( ) 4,382,180.05 0.11%
( )
(a)
2005 12 31 1,104,900,036.02
1,000,000,000.00
2,104,900,036.02
2005 6 3 ( ) 2005 12 31
(b)
2005 12 31 6,893,438.02
9,773,474.44
16,666,912.46
(c)
2005 12 31 A 431,844.22
B 34,565.09
466,409.31
(d)
2005 12 31 373,972.56
(e)
2005 12 31 A 89,841.43
B 229,987.57
319,829.00
(f)
2005 12 31 25,650.00
4,560.00
283,860.00
314,070.00
(g)
2005 12 31 80,000.00
70,000.00
25,600.00
6,000.00
181,600.00 19
(h)
2005 6 3 ( ) 2005 12 31 3,636,169,662.02
333,220.15
3,636,502,882.17
17,746,292,782.46
57,246,312.29
17,419,923,828.00
3,962,871,836.63
(i)
2005 6 3 ( ) 2005 12 31
13,316,370,433.60
13,224,532,244.59
74,386,851.11
17,451,337.90
(j)
2005 6 3 ( ) 2005 12 31 50,000.00
80,000.00
75,729.90
70,000.00
64,193.35
53,400.00
13,280.00
10,500.00
31,164.00
900.00
449,167.25
(k)
1.00 1.00
2005 6 3 ( ) 2005 12 31
A B ( (h)) 14,304,685.13 42,941,627.16 57,246,312.29
( (e)) 89,841.43229,987.57319,829.00
20
14,394,526.5643,171,614.7357,566,141.29
(a) 2005 12 31
( ) ( )
05
300,000 30,000,000.00
2006 2 28 (b) , 2005 12 31
( ) ( )
( )
03 05
1,000,000 100,095,083.59 2006 1 6 05 02
2,000,000 201,747,732.81 2006 1 6 3,000,000 301,842,816.40
( ) 1,959,014,179.70 45.91%
0.00
0.00
0.00%
0.00%
(*) 2,104,900,036.02 49.33%
202,842,572.65 4.76%
4,266,756,788.37 100.00%
* 1,000,000,000.00
( ) 1
138,311,200,000.00 14.00%
0.00 0.00%
2
300,000,000.00 7.57%
0.00 0.00%
( 20%)
( )
1 2005-06-17 24.47% 1
2 2005-06-16 24.10% 2
3 2005-06-15 23.53% 3
1
21
139
216
59
( 180 )
( )
( )
1 2005-06-20 189 1
2 2005-06-15 216 1
3 2005-06-14 189 2
2
30 28.64% 7.57%
1
397 0.76% 0.00%
30 ( )-60 3.77% 0.00%
2
397 2.52% 0.00%
60 ( ) 90 10.49% 0.00%
3
397 10.49% 0.00%
90 ( ) 180 17.96% 0.00%
4
397 1.01% 0.00%
5 180 ( ) 397 () 41.69% 0.00%
102.55% 7.57%
1
( ) 1
0.00 0.00%
882,109,850.61 22.26%
2
466,376,716.68 11.77%
3
397,282,970.16 10.02%
4
679,621,358.93 17.15%
5
0.00 0.00%
1,959,014,179.70 49.43%
397 585,583,249.68 14.78%
2
( )
( )
1 05 45 3,000,000 297,963,319.08 7.52%
2 0305 2,250,000 225,213,938.07 5.68%
3 05 03 2,130,000 213,985,401.12 5.40%
4 05 02 2,000,000 201,747,732.81 5.09% 22
5 05CP01 2,000,000 197,144,045.30 4.97%
6 0409 1,000,000 100,781,792.04 2.54%
7 0522 1,000,000 99,850,115.75 2.52%
8 05 51 1,000,000 99,319,651.08 2.51%
9 05CP02 800,000 78,618,787.76 1.98%
10 05CP01 600,000 58,466,354.93 1.48%
0.25%( )-0.5% 76
0.5063%
-0.0821%
0.2416%
1
1.0000
2 397 397 20%
3
4
( )
1
16,666,912.46
2
186,175,660.19
202,842,572.65
5
( )
30,006,750.00
5,000,000.00
407,768.47
-3,000,000.00
32,414,518.47
A B
11,765 46 23
109,712.19 58,089,300.19
A B
( )
( )
79,149,619.95 2.00%2,391,007,023.59 60.34%
1,211,614,269.05 30.57% 281,100,785.17 7.09%
1,290,763,889.0032.57%2,672,107,808.7667.43%
3,962,871,697.76 : 0.01 3 3,962,871,697.76
3,962,871,836.63 138.87
A B 1,294,564,029.772,341,938,852.403,636,502,882.17
: 186,640.26146,579.89333,220.15
1,294,564,029.77 2,341,938,852.40 3,636,502,882.17
5,589,954,222.0212,156,338,560.4417,746,292,782.46
B A (A ) 260,783,431.58 260,783,431.58
A B (B) 459,090,401.85459,090,401.85
-5,395,447,265.38-12,024,476,562.62-17,419,923,828.00
A B (A ) -459,090,401.85 -459,090,401.85
B A (B) -260,783,431.58-260,783,431.58
1,290,764,016.14 2,672,107,820.49 3,962,871,836.63
A
B A 1000 B 1000 ( 1000 ) A 1000 A B B 1000 B A
24
1.00 1.00 57,566,141.29 57,246,312.29 319,829.00
80,000.00
1
( )
( )
1 0.00 0.007,880,500,000.00 100.00%
1 0.00 0.007,880,500,000.00 100.00%
,
2
3
( <1998>29 )
( ) ( ) ( )
1
2005 6 6
2
2005 6 8
25
3
2005 6 9
4
2005 6 17
5
2005 7 6
6
2005 7 15
7
2005 7 16
8
2005 8 1
9
2005 8 31
10
2005 9 9
1
2
3
4
5
6
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