2005
2006 3 27
2006 3 9
1
............................................................. 2
.............................. 3
............................................................ 5
............................................................ 8
.............................................................. 9
.......................................................... 9
........................................................ 9
................................................... 12
......................................................... 18
................................................... 20
............................................... 21
......................................................... 21
........................................................... 22 2
1
2
3 : 090002
4
5 2003 6 12
6 212,677,350.40
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 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
689 19
2005 2004 2003 1
18,993,053.7069,097,707.90-12,889,320.56
2
0.0806 0.1364 -0.0071
3 3,847,603.11 -4,456,508.46 -5,369,397.76
4
0.0181-0.0157-0.0056
5
216,524,953.51280,298,123.89 988,406,255.66
6
1.0181 0.9843 1.0295
7
8.04% 13.15% -0.71%
8
11.33% 1.81% 2.90%
9
16.63% 4.76% 2.90%
2003 6 12 2003 2003
6 12 2003 12 31
1
1
2 3 4 (1) (3) (2) (4)
2.82% 0.15% 0.95% 0.16% 1.87%-0.01%4
5.46% 0.24% 3.73% 0.15% 1.73% 0.09%
11.33% 0.29% 10.55% 0.21% 0.78% 0.08%
16.63% 0.28% 6.36% 0.29% 10.27% -0.01%
2
2003 6 12 2005 12 31
-20%
-10%
0%
10%
20%
30%
2003-6-12 2004-4-12 2005-2-12 2005-12-12
6 80% 20%
3
-8%
-4%
0%
4%
8%
12%
2003 2004 2005
2003 6 12 2003 2003 6 12 2003 12 31 5
10
2005 0.750
2004 0.650
2003 0.000
1.400
1
[1999]10 1999 4 12
1 (48%) (25%) (25%) (2%) 2005 12 31 5 5
2
9 2002
1 2005
2005 2005 10 14.67 2006
230 10 11 12 2006 2005 10.55
2005 8.33% 5.79
2005
2005
DELTA DELTA
2005 2005 11.33
2 2006
2006 2006
2006 2006
7
2006 2006
1 2005 2004
2 2005
3 20058
4 2004 BARRA VaR
5 2005
2005 1 1 2005 12 31
2006 03 09 9
(2006) 192
( )2005 12 31 2005
2005 12 31 2005
·
2006 2 28
2005 12 31
2005 12 31 2004 12 31
6,399,320.02
23,346,583.74
2,714,913.92
0.00
(a)
410,000.00
250,000.00
2,831,493.77
1,215,179.24
0.00 0.00
(b)
2,846,390.54
1,646,883.47
29,847.66
0.00
13,781,600.00
16,529,834.80
8,396,760.21
12,006,157.76 10
188,814,666.77
256,145,411.98
188,511,224.30
262,238,799.39
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
217,828,232.68 299,133,893.23
0.00 17,843,550.85
207,045.00 39,904.90
392.39
75.00
128,738.02
184,790.63
36,782.32 52,797.32
(c)
120,000.00
180,000.00
0.00 0.00
0.00 0.00
0.00 0.00
(d)
665,321.44
434,650.64
0.00 0.00
0.00 0.00
(e)
145,000.00
100,000.00
0.00 0.00
1,303,279.17
18,835,769.34
(f)
212,677,350.40
284,754,632.35
(g)
-5,623,401.81
-15,783,631.59
9,471,004.92
11,327,123.13
216,524,953.51
280,298,123.89
217,828,232.68
299,133,893.23
1.0181 0.9843
2005
2005 2004
22,225,845.55
75,780,352.28
1 (h)
10,874,742.07
52,992,708.41
2 (i)
6,149,749.79
13,150,565.63
3
0.00 0.00
4
4,835,688.20
8,308,156.86
5
203,083.35
601,955.35 11
6
90,736.00
589,851.65
7
0.00
75,605.63
8 (j)
71,846.14
61,508.75
3,232,791.85
6,682,644.38
1 (b)
1,664,254.70
3,764,344.09
2 (c)
475,501.34
1,076,368.90
3
480,324.00
668,941.79
4
0.00 0.00
5 (k)
612,711.81
1,172,989.60
0.00 0.00
300,000.00
100,000.00
5,000.00
100,000.00
18,993,053.70
69,097,707.90
(g)
7,257,992.63
-42,087,398.60
26,251,046.33
27,010,309.30
2005
2005 2004
18,993,053.70
69,097,707.90
11,327,123.13
-5,369,397.76
-3,780,239.77 -16,937,337.08
26,539,937.06
46,790,973.06
(l)
17,068,932.14
35,463,849.93
9,471,004.92
11,327,123.13
2005
2005 2004
280,298,123.89
988,406,255.66
18,993,053.70
69,097,707.90
7,257,992.63
-42,087,398.60
26,251,046.33
27,010,309.30
65,435,484.81
132,929,927.27
-138,390,769.38
-832,584,518.41
-72,955,284.57
-699,654,591.14
(l)
-17,068,932.14 -35,463,849.9312
216,524,953.51
280,298,123.89
( ) ( ) [2003 ] 44 ( ) 2003 6 12 2,152,776,735.13 (2003) 64
( ) 80% 20% 1 1
(a)
1 1 12 31
(b)
(c)
(d)
(i)
(ii)
13
(iii)
(e)
(i)
(ii)
(f)
(g)
0.70%
0.20%
(h)
1.00
(i)
(j)
14
(k)
90%
[2002]128 [2004]78 [2005]11 ( ) [2005]102
(a)
(b) 2004 1 1
(c) 20%
2005 6
13 50%( 100%) 20%
(d) 2005 1 24 0.2% 2005 1 24 0.1%
2006 1 18 2006 1 2006 1 20
10 0.30
2006 2 22 2006 2 2006 2 24
10 0.05
(a)
(1)
( )(2) (1)
2005 5 10 [2005]54
(2)
2005 11 615
(b)
0.70% X 0.70% /
1,664,254.70 (2004 3,764,344.09 )
(c)
0.20%
X 0.20% /
475,501.34 (2004 1,076,368.90 )
(d)
2005 12 31 6,399,320.02 (2004 23,346,583.74
) 159,269.77 (2004 601,955.35 )
(e)
A
B
(a)
2005 12 31 2004 12 31 250,000.00 250,000.00
160,000.00 0.00
410,000.00250,000.00
(b)
2005 12 31 2004 12 31 2,839,707.42 1,636,318.84
5,389.42 10,564.63
1,221.70 0.00
72.00 0.00
2,846,390.541,646,883.47
(c)
2005 12 31 2004 12 31 60,000.00 120,000.0016
60,000.00 60,000.00
120,000.00180,000.00
(d)
2005 12 31 2004 12 31 299,579.44 68,908.64
250,000.00 250,000.00
115,742.00 115,742.00
665,321.44434,650.64
(e)
2005 12 31 2004 12 31 100,000.00 0.00
45,000.00100,000.00
145,000.00 100,000.00
(f)
2004 12 31 284,754,632.35284,754,632.35
65,606,937.9365,606,937.93
-137,684,219.88-137,684,219.88
2005 12 31 212,677,350.40212,677,350.40
(g)
( )
2004 12 31 -1,569,710.37 -14,213,921.22 -15,783,631.59
7,257,992.63 0.00 7,257,992.63
0.00-3,103,322.20-3,103,322.20
0.006,005,559.356,005,559.35
2005 12 31 5,688,282.26 -11,311,684.07 -5,623,401.81
( )
2005 12 31 2004 12 31 5,384,839.794,523,677.04
303,442.47-6,093,387.41
5,688,282.26 -1,569,710.37
(h)
2005 2004 53,935,484.76 310,077,212.66
(*) 0.00 0.00
43,060,742.69 257,084,504.25
10,874,742.0752,992,708.41
*
(i)
2005 2004 1,545,219,317.56 1,825,795,639.5817
20,916,282.36 19,085,104.91
1,518,153,285.41 1,793,559,969.04
6,149,749.7913,150,565.63
(j)
2005 2004 (*) 64,726.61 29,651.88
318.59 31,824.63
6,800.94 32.24
71,846.1461,508.75
* 0.25% 25%
(k)
2005 2004 300,000.00 100,000.00
((h)(*)) 240,000.00 330,000.00
25,238.96 11,631.90
16,170.00 61,730.00
14,436.28 21,118.56
5,000.00100,000.00
0.00 538,367.39
11,866.5710,141.75
612,711.811,172,989.60
(l)
2005 2004 1 4,917,535.7714,735,842.18
2 3,579,802.3911,915,876.12
3 4,342,467.258,812,131.63
4 4,229,126.73 0.00
17,068,932.1435,463,849.93
(a)
2005 12 31
( )
( )
( )
( )
000069 A2005/12/19 12.88 2006/01/06 11.14 1,070,000 13,781,600.00
(b)
2005 12 31
( )
( )
( )18
( )
110036 2005/12/19 106.73 2006/01/04 116.83 164,940 17,604,046.20
13,781,600.00 6.33%
188,814,666.77 86.68%
9,114,233.94
4.18%
2,831,493.77 1.30%
0.00 0.00%
3,286,238.20 1.51%
217,828,232.68 100.00%
A
0.00 0.00%
B
0.00 0.00%
C
0.00 0.00%
C0
0.00 0.00%
C1
0.00 0.00%
C2
0.00 0.00%
C3
0.00 0.00%
C4
0.00 0.00%
C5
0.00 0.00%
C6
0.00 0.00%
C7
0.00 0.00%
C8
0.00 0.00%
C99
0.00 0.00%
D 0.00 0.00%
E
0.00 0.00%
F
0.00 0.00%
G
0.00 0.00%
H
0.00 0.00%
I
0.00 0.00%
J
0.00 0.00%
K
13,781,600.00 6.36%19
L
0.00 0.00%
M
0.00 0.00%
13,781,600.00 6.36%
( ) 1 000069
1,070,000 13,781,600.00 6.36%
2%
1 000069
30,228,203.77 10.78% 2 600418 G
8,097,441.96 2.89% 3 600019 G
816,640.00 0.29% 4 000630 G
216,659.41 0.08% 5 600027
17,640.00 0.01% 6 002040
14,840.00 0.01% 7 002048
11,500.00 0.00% 8 002045
10,800.00 0.00% 9 002049
9,560.00 0.00% 10 002047
8,600.00 0.00% 11 002044
7,100.00 0.00% 12 002046
6,390.00 0.00% 13 002039
5,970.00 0.00% 2%
1 000069
35,812,586.41 12.78% 2 600900 G
8,543,675.09 3.05% 3 600418 G
8,468,498.41 3.02% 4 600019 G
745,521.85 0.27% 5 000630 G
234,080.12 0.08% 6 600027
26,277.32 0.01% 7 002040
26,049.01 0.01% 8 002049
13,183.82 0.00% 9 002048
12,814.51 0.00% 10 002045
12,389.27 0.00% 11 002046
10,867.08 0.00% 12 002044
10,367.67 0.00% 13 002039
9,755.40 0.00% 14 002047
9,418.80 0.00%
39,451,345.14 53,935,484.7620
1
36,311,440.00 16.77%
2
61,930,500.00 28.60%
3
0.00 0.00%
4
27,968,501.37 12.92%
5
62,604,225.40 28.91%
6
0.00 0.00%
188,814,666.77 87.20%
1 0501 31,750,500.00 14.66%
2 0513 30,180,000.00 13.94%
3 05 21,968,501.37 10.15%
4 02 18,151,200.00 8.38%
5 04 17,958,800.00 8.29%
1
2
3
410,000.00
2,846,390.54
29,847.66
3,286,238.20
4
110036
17,604,046.20 8.13%
110219
14,602,196.40 6.74%
100196
14,034,546.00 6.48%
110037
11,365,139.80 5.25%
100177
4,998,297.00 2.31%
5
6
12,41721
17,127.92
212,677,350.40 100.00%
10,836,821.55 5.10%
201,840,528.85 94.90%
2,152,776,735.13
284,754,632.35
65,606,937.93
-137,684,219.88
212,677,350.40
2005 3 16 10 0.20 2005 5 12 10 0.15 2005 8 9 10 0.20
2005 9 19 10 0.20
45,000.00
1 22
( )
( )
( )
1 17,840,312.14 33.04% 120,000.00 50.00%
1 36,160,204.52 66.96% 120,000.00 50.00%
54,000,516.66 100.00% 240,000.00 100.00%
2
( )
( )
2,143,770,417.60 85.07% 1,932,500,000.00 100.00%
376,192,230.89 14.93%
0.00 0.00
2,519,962,648.49 100.00% 1,932,500,000.00 100.00%
3
4
<1998>29
1
2005 6 17 2
2005 7 16 3
2005 8 1 4
2005 8 31 5
2005 9 9
23
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
