2005
2006 3 27
2006 3 9
1
............................................................ 2
.............................. 3
........................................................... 5
........................................................... 8
............................................................. 9
.......................................................... 9
........................................................ 9
................................................... 12
......................................................... 19
................................................... 24
............................................... 24
......................................................... 24
.......................................................... 26
2
( )
1
2
3 : 090001
4
5 2002 11 11
6 895,658,554.36
7
8
9
( )
1
2 : P/B
3
80% 20%
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
3
6
7
8 010-68435588
9 010-68424181
10 lifangfei@abchina.com
( )
http://www.dcfund.com.cn
7088 32
100
( )
1
202 11
2
689 19
2005 2004 2003 1 () 11,801,147.48117,727,804.25127,505,827.99
2 () 0.0113 0.1036 0.0960
3 () 24,516,899.87-26,375,674.87 23,138,392.86
4 ( ) 0.0274 -0.0219 0.0224
5 () 920,175,454.231,178,439,606.821,121,542,134.47
6 () 1.0274 0.9781 1.0836
7
1.15% 9.97% 9.44%
8
5.04% 0.15% 18.29%
9
24.01% 18.05% 17.88%
1
(1)
(2)
(3)
(4)
(1) (3) (2) (4)
1.86% 0.62% 1.04% 0.70% 0.82% -0.08% 4
6.11% 0.67% 4.77% 0.88% 1.34% -0.21%
5.04% 0.90% -5.66% 1.08% 10.70% -0.18%
24.45% 0.82% -7.44% 1.03% 31.89% -0.21%
24.01% 0.80% -15.44% 1.04% 39.45% -0.24%
2
(2002 11 11 2005 12 31 )
-50%
-25%
0%
25%
50%
75%
2002-11-11 2003-11-11 2004-11-11 2005-11-11
(1) 6 ( )
(2)2006 1 21 2006
3
-14%
-7%
0%
7%
14%
21%
2003 2004 2005
5
10
2005 0.00
2004 1.200
2003 0.900
2.100
1
[1999]10 1999 4 12
1 (48%) (25%) (25%) (2%) 2005 12 31 5 5
2
8 2004 4
12 1999
1 2005
2005 2005 6
2005 2005
2005
65 75% 60 70% 75% 3G
8.33% 6.65% 5.04% -5.66%
2 2006
2006
2006
A
2006
H A 7
A H
2005
25
2006 2005
1 2005 2004
2 2005 8
3 2005
4 2004 BARRA VaR
5 2005
2005 1 1 2005 12 31
9
2006 03 09
(2006) 191
( )2005 12 31 2005
2005 12 31 2005
·
2006 2 28
2005 12 31 ( )
2005 12 31 2004 12 31
36,955,805.89
137,846,550.84
2,421,842.70 0.00 10
(a) 1,160,000.00 500,000.00
32,450,121.761,696,531.90
0.00 0.00
(b) 5,042,945.87 2,251,118.16
990.82414,962.50
0.00 0.00
670,698,575.97
818,562,519.84
621,048,539.04
804,515,597.80
196,489,800.00
269,671,285.60
194,574,075.25
268,988,979.28
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
945,220,083.01
1,230,942,968.84
21,149,013.23 621,013.05
742,655.01
48,545,282.02
1,396.10
91,250.53
1,131,088.45
1,549,797.23
188,514.75
258,299.55
(c)
849,991.24
1,007,719.64
0.00 0.00
0.00 0.00
0.00 0.00
(d)
781,970.00
250,000.00
0.00 0.00
0.00 0.00
(e)
200,000.00
180,000.00
0.00 0.00
25,044,628.78
52,503,362.02
(f)
895,658,554.36
1,204,815,281.69
(g)
-15,002,881.52
-56,580,634.59
39,519,781.39
30,204,959.72
920,175,454.23
1,178,439,606.82
945,220,083.01
1,230,942,968.84
1.0274 0.9781
2005 ( )
2005 2004
30,332,501.95
139,226,210.89
11
1
(h)
1,240,306.28
122,682,184.82
2
(i)
4,795,016.63
-698,329.80
3
2,506,397.80
0.00
4
6,346,827.38
6,615,306.62
5
903,342.84
2,220,965.18
6
14,222,428.89
8,087,880.72
7
0.00
72,000.00
8 (j)
318,182.13
246,203.35
18,531,354.47
21,498,406.64
1 (c)
15,471,417.42
17,650,378.79
2 (d)
2,578,569.64
2,941,729.68
3
134,560.00
442,764.31
4
0.00 0.00
5 (k)
346,807.41
463,533.86
0.00 0.00
300,000.00
300,000.00
20,000.00
140,000.00
11,801,147.48
117,727,804.25
36,836,533.32
-108,295,463.37
48,637,680.80
9,432,340.88
2005 ( )
2005 2004
11,801,147.48
117,727,804.25
30,204,959.72
23,138,392.86
-2,486,325.81 8,635,736.44
39,519,781.39
149,501,933.55
(l) 0.00119,296,973.83
39,519,781.39
30,204,959.72
2005 ( )
2005 2004
1,178,439,606.82
1,121,542,134.47
11,801,147.48
117,727,804.25
36,836,533.32
-108,295,463.37
48,637,680.80
9,432,340.88
192,899,823.14
718,785,553.03
-499,801,656.53
-552,023,447.73
-306,901,833.39
166,762,105.30
12
(l) 0.00-119,296,973.83
920,175,454.23
1,178,439,606.82
( ) ( ) 2002 58 ( ) 2002 11 11 2,603,664,854.20 (2002) 124
A P/B 80% 20% 80%
(a)
1 1 12 31
(b)
(c)
(d)
(i)
13
(ii)
(iii)
( )
(iv)
(v)
(e)
(i)
(ii)
(iii)
( )
(f)
(g)
14
1.50%
0.25%
(h)
1.00
(i)
(j)
(k)
90%
[2002]128 [2004]78 [2005]11 ( ) [2005]102 [2005]103
(a)
(b) 2004 1 1
(c) 20%
2005 6 13 50%( 100%) 20%
(d) 2005 1 24 0.2% 2005 1
24 0.1%
(e)
15
(a)
( )(1)
( )
( )(2)
(1)
2005 5 10 [2005]54
(2)
2005 11 6
(b)
A
2005 2004
( )
( )
617,173,008.21 13.44% 696,777,670.84 13.68%
78,341,942.45 1.71% 0.00 0.00%
695,514,950.66 15.15% 696,777,670.84 13.68%
B
2005 2004
( )
( )
257,960,297.20 20.66% 0.00 0.00%
C
2005 2004
( )
( )
120,000,000.00 38.22% 0.00 0.00%
D
2005 2004
( ) ( )
502,519.55 13.58% 571,350.84 13.87%
61,303.64 1.66% 0.00 0.00%
563,823.19 15.24% 571,350.84 13.87%
16
(c)
1.50%
X 1.50% /
15,471,417.42 (2004 17,650,378.79 )
(d)
0.25%
X 0.25% /
2,578,569.64 (2004 2,941,729.68 )
(e)
2005 12 31 36,955,805.89 (2004 137,846,550.84
) 857,148.31 (2004 2,220,965.18 )
(f)
( )
(a)
2005 12 31 2004 12 31 1,000,000.00 500,000.00
160,000.00 0.00
1,160,000.00500,000.00
(b)
2005 12 31 2004 12 31 5,030,446.812,206,355.72
11,337.26 44,762.44
1,089.80 0.00
72.00 0.00
5,042,945.872,251,118.16
(c)
2005 12 31 2004 12 31 225,526.95 139,004.23
214,961.27 0.00
144,217.46 0.00
109,424.65 0.00
68,594.28 0.00
0.00 143,308.79
53,859.60 0.00
33,407.03 195,673.97
0.00 437,228.30 17
0.00 92,504.35
849,991.241,007,719.64
(d)
2005 12 31 2004 12 31 750,000.00 250,000.00
31,920.00 0.00
50.000.00
781,970.00250,000.00
(e)
2005 12 31 2004 12 31 100,000.00180,000.00
100,000.00 0.00
200,000.00180,000.00
(f)
2004 12 31 1,204,815,281.691,204,815,281.69
197,577,691.82197,577,691.82
-506,734,419.15-506,734,419.15
2005 12 31 895,658,554.36895,658,554.36
(g)
(*) 2004 12 31 14,729,228.36-71,309,862.95-56,580,634.59
36,836,533.32 0.0036,836,533.32
0.00-6,867,929.54-6,867,929.54
0.0011,609,149.2911,609,149.29
2005 12 31 51,565,761.68-66,568,643.20-15,002,881.52
*
2005 12 31 2004 12 31 49,650,036.9314,046,922.04
1,915,724.75682,306.32
51,565,761.6814,729,228.36
(h)
2005 2004 2,408,100,939.972,539,646,226.16
2,024,379.392,137,495.55
2,404,836,254.302,414,826,545.79
1,240,306.28122,682,184.82
5,961,350.80 (2004 )
(i)
2005 2004 18
707,110,721.00 437,603,517.64
10,054,705.624,928,442.63
692,260,998.75 433,373,404.81
4,795,016.63-698,329.80
(j)
2005 2004 (*) 307,991.19 69,438.75
9,969.27 109,096.00
0.0067,668.60
221.670.00
318,182.13246,203.35
* 0.25% 25%
(k)
2005 2004 300,000.00300,000.00
20,000.00140,000.00
13,500.00 12,600.00
1,942.83 2,688.60
11,364.588,245.26
346,807.41463,533.86
(l)
2005 2004 1 0.0019,829,860.05
2 0.0099,467,113.78
0.00119,296,973.83
2005 12 31
( )
( )
( )
( )
600036 2005/12/19 6.582006/01/04 7.233,000,000 19,740,000.00
000839 2005/12/19 10.472006/01/04 11.261,090,137 11,413,734.39
000761 2005/12/30 4.342006/02/08 4.772,000,000 8,680,000.00
001696 2005/12/30 5.682006/01/25 4.702,833,095 16,091,979.60
600591 2005/12/26 3.462006/02/14 2.803,932,318 13,605,820.28
000069 A2005/12/19 12.882006/01/06 11.14 699,929 9,015,085.52
600831 2005/12/20 7.922006/01/17 7.17 300,000 2,376,000.00 19
600754 2005/12/06 7.902006/01/23 7.20 9,935 78,486.50
81,001,106.29
( ) 670,698,575.97 70.96%
196,489,800.00 20.79%
39,377,648.59
4.16%
32,450,121.76 3.43%
0.00 0.00%
6,203,936.69 0.66%
945,220,083.01 100.00%
( ) A
1,757,049.78 0.19%
B
78,681,706.66 8.55%
C
186,251,753.60 20.24%
C0
34,367,648.21 3.74%
C1
2,046,000.00 0.22%
C2
0.00 0.00%
C3
0.00 0.00%
C4
4,106,383.00 0.45%
C5
0.00 0.00%
C6
52,669,832.40 5.72%
C7
84,668,467.99 9.20%
C8
8,393,422.00 0.91%
C99
0.00 0.00%
D
2,920,500.00 0.32%
E
184,500.00 0.02%
F
132,716,422.59 14.42%
G
96,138,604.29 10.45%
H
3,850,715.89 0.42%
I
91,984,002.45 10.00%
J
67,065,548.69 7.29% 20
K
9,147,772.02 0.99%
L
0.00 0.00%
M
0.00 0.00%
670,698,575.97 72.89%
( ) ( ) 1 600009
3,001,100 43,275,862.00 4.70%
2 000063 G
1,479,455 41,099,259.90 4.47%
3 600028
8,000,000 37,280,000.00 4.05%
4 600050
13,000,000 36,400,000.00 3.96%
5 600348 G
3,889,000 35,467,680.00 3.85%
6 600000
3,619,925 35,294,268.75 3.84%
7 600015
6,499,949 30,809,758.26 3.35%
8 600029
11,000,000 29,150,000.00 3.17%
9 000039
2,999,907 25,319,215.08 2.75%
10 000002 G
5,371,805 23,152,479.55 2.52%
11 600269
2,448,422 22,035,798.00 2.39%
12 600036
3,000,000 19,740,000.00 2.15%
13 600383
2,695,427 18,409,766.41 2.00%
14 001696
2,833,095 16,091,979.60 1.75%
15 000402
1,548,901 14,853,960.59 1.61%
16 600104 G
4,400,000 14,564,000.00 1.58%
17 600591
3,932,318 13,605,820.28 1.48%
18 600887
883,719 13,026,018.06 1.42%
19 000839
1,090,137 11,413,734.39 1.24%
20 000900
1,200,000 10,620,000.00 1.15%
21 600006
3,720,700 10,417,960.00 1.13%
22 000800
3,106,033 9,690,822.96 1.05%
23 000895
747,829 9,564,732.91 1.04%
24 600519
200,000 9,124,000.00 0.99%
25 000069 A 699,929 9,015,085.52 0.98%
26 000761
2,000,000 8,680,000.00 0.94%
27 000423
1,524,200 8,245,922.00 0.90%
28 000680
3,504,812 8,236,308.20 0.90%
29 000157
1,118,152 7,167,354.32 0.78%
30 600296
1,439,528 7,053,687.20 0.77%
31 600066
904,513 6,557,719.25 0.71%
32 600675 G
1,536,027 6,328,431.24 0.69%
33 000001
999,996 6,139,975.44 0.67%
34 600497
499,918 5,934,026.66 0.64%
35 600449
1,088,076 5,298,930.12 0.58%
36 000527
1,000,000 5,270,000.00 0.57% 21
37 600585
500,000 4,790,000.00 0.52%
38 600289
522,580 4,650,962.00 0.51%
39 600322
1,217,158 4,320,910.90 0.47%
40 600761 G
772,366 4,255,736.66 0.46%
41 600825
901,807 3,850,715.89 0.42%
42 600386
875,856 3,345,769.92 0.36%
43 000022
240,000 3,196,800.00 0.35%
44 000088
315,500 3,113,985.00 0.34%
45 000753
1,328,300 3,081,656.00 0.33%
46 600649
550,000 2,920,500.00 0.32%
47 600309
199,630 2,804,801.50 0.30%
48 600597
601,564 2,652,897.24 0.29%
49 600831
300,000 2,376,000.00 0.26%
50 000021
290,906 2,327,248.00 0.25%
51 000726
310,000 2,046,000.00 0.22%
52 000829
412,453 1,757,049.78 0.19%
53 600720
800,000 1,528,000.00 0.17%
54 600020
211,249 1,290,731.39 0.14%
55 600331 G
183,551 1,193,081.50 0.13%
56 600410
10,000 247,400.00 0.03%
57 600170 G
50,000 184,500.00 0.02%
58 600276
10,000 147,500.00 0.02%
59 600143 G
10,000 108,500.00 0.01%
60 600754
9,935 78,486.50 0.01%
61 000888
10,000 54,200.00 0.01%
62 000528
8,300 40,587.00 0.00%
117,624,028 670,698,575.97 72.89%
( ) 2% 20
( ) 1 600019 G
167,407,874.59 14.21%
2 600029
96,202,181.49 8.16%
3 600028
93,548,375.59 7.94%
4 600050
91,154,872.14 7.74%
5 600000
90,895,339.03 7.71%
6 000063 G
75,932,693.38 6.44%
7 000039
70,740,595.90 6.00%
8 600005 G
68,082,671.87 5.78%
9 000625
62,576,293.60 5.31%
10 600009
61,151,736.82 5.19%
11 600900 G
60,860,945.18 5.16%
12 600036
57,870,052.02 4.91% 22
13 000002 G
55,709,927.13 4.73%
14 600535 G 40,492,852.55 3.44%
15 600002
39,263,229.61 3.33%
16 600104 G
32,937,109.44 2.79%
17 600015
32,145,451.51 2.73%
18 600887
31,091,136.33 2.64%
19 000866
30,086,427.43 2.55%
20 600348 G
28,483,543.60 2.42%
21 600016 G
27,756,686.89 2.36%
22 600597
25,972,356.13 2.20%
23 600519
25,158,460.96 2.13%
24 000538
25,127,121.78 2.13%
25 600269
24,732,524.94 2.10%
( ) 2% 20
( ) 1 600019 G
180,941,011.64 15.35%
2 600900 G
98,733,292.45 8.38%
3 600005 G
95,961,091.15 8.14%
4 600029
87,792,371.24 7.45%
5 000625
76,012,147.84 6.45%
6 000002 G 75,514,269.84 6.41%
7 600036
72,466,931.68 6.15%
8 600009
68,285,028.85 5.79%
9 600000
67,616,294.09 5.74%
10 600028
66,539,378.91 5.65%
11 600002
59,333,382.78 5.03%
12 600050
54,283,653.71 4.61%
13 600519
54,109,245.11 4.59%
14 000039
47,871,653.17 4.06%
15 600016 G
47,523,451.57 4.03%
16 000063 G
42,138,483.34 3.58%
17 600535 G 40,588,422.51 3.44%
18 600210 G
35,551,978.72 3.02%
19 600104 G
32,873,710.94 2.79%
20 600717 G 31,844,615.56 2.70%
21 600020
31,082,866.19 2.64%
22 000866
29,413,860.57 2.50%
23 600018 G
29,288,022.81 2.49%
24 600348 G
29,262,350.25 2.48%
25 000538
27,464,976.40 2.33%
26 600012
26,687,372.40 2.26% 23
27 600795
26,471,801.32 2.25%
28 600026 G
24,529,061.49 2.08%
29 600694
24,501,281.12 2.08%
30 600971
24,322,038.45 2.06%
31 002024
24,179,496.18 2.05%
32 000027
23,881,089.54 2.03%
( )
2,227,964,023.64 2,408,100,939.97
( ) 1
196,489,800.00 21.35%
2
0.00 0.00%
3
0.00 0.00%
4
0.00 0.00%
5
0.00 0.00%
6
0.00 0.00%
196,489,800.00 21.35%
( ) 1 04 (5) 86,013,200.00 9.35%
2 21 (15) 35,602,000.00 3.87%
3 02 (14) 26,218,400.00 2.85%
4 99 (8) 25,515,000.00 2.77%
5 20 (4) 10,080,000.00 1.10%
1
2
3
( )
1,160,000.00
5,042,945.87
990.82
6,203,936.69
4
5
( )
( )
( )
( )
( )
24
580000 JTB1
0 0.00 630,923 1,119,336.55
0
038002 HRP1 00.001,600,0001,387,061.25 0
JTB1(580000) HRP1(038002) G (600019) G A(000002)
6
21,584 41,496.41
( ) 895,658,554.36 100.00%
669,392,394.77 74.74%
226,266,159.59 25.26%
2006 1 21 2006 2,604,752,899.89
1,204,815,281.69
197,577,691.82
506,734,419.15
895,658,554.36 25
20,000.00
1
( )
( )
( )
2 867,451,573.66 18.89% 696,706.70 18.82%
1 237,874,099.76 5.18% 194,559.41 5.26%
1 690,314,271.05 15.03% 563,731.43 15.23%
1 617,173,008.21 13.44% 502,519.55 13.58%
1 444,173,146.18 9.67% 347,568.71 9.39%
1 333,604,050.53 7.27% 271,486.74 7.34%
1 758,051,984.33 16.51% 621,154.52 16.78%
1 564,940,764.86 12.30% 442,072.51 11.94%
1 78,341,942.45 1.71% 61,303.64 1.66%
10 4,591,924,841.03 100.00%3,701,103.21 100.00%
2
( )
( )
309,697,006.02 24.80% 170,000,000.00 54.14%
88,130,066.00 7.06% 0.00 0.00%
262,253,611.30 21.01% 0.00 0.00%
257,960,297.20 20.66% 120,000,000.00 38.22%
23,722,211.68 1.90% 0.00 0.00%
243,418,790.20 19.50% 4,000,000.00 1.27%
37,938,933.10 3.04% 20,000,000.00 6.37%
25,281,855.84 2.03% 0.00 0.00%
1,248,402,771.34 100.00% 314,000,000.00 100.00%
3
4
( <1998>29 )
( ) ( ) ( )
26
1
2005 6 17 2
2005 7 16 3
2005 8 1 4
2005 8 31 5
2005 9 9
1
2
3
4
5
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