1
2
2005
2006 3 24
3
...........................................................................................................................4
...........................................................5
.......................................................................................................................7
...................................................................................7
...............................................................................................................7
...........................................................8
...................................................................................................................8
...........................................................................................................9
.......................................................................................................................9
.........................................................................................................................10
.................................................................................................................11
.................................................................................................11
.................................................................................................15
.................................................................................................................25
.....................................................................................................30
.........................................................................................................30
.................................................................................................................30
.........................................................................................................................34
4
519011
2003 8 22
2,325,708,828.22
×65 ×35
88 37
88 37
200121
021-50471758-591
021-50479057
wrxi@hftfund.com
18 200336
188 200120
[1998]25
021-58408846
021-58408836
jiangyz@bankcomm.com
5
http://www.hftfund.com
202 11
27 23
2005 2004 2003
1 ( ) 119,199,907.36 235,832,127.66 40,735,614.18
2 ( ) 0.0456 0.0957 0.0151
3 ( ) 1,516,600.22 -31,026,514.52 7,641,775.54
4 ( ) 0.0007 -0.0113 0.0041
5 ( ) 2,510,541,600.15 2,815,902,681.89 2,072,309,883.22
6 ( ) 1.0795 1.0299 1.1049
7
4.32% 8.54% 1.48%
8
8.48% 4.50% 12.02%
9
26.98% 17.06% 12.02%
“ ” 2005 1 1 12 31 2004 1 1 12 31 2003 8 22 12 31 ( , )
1
1 2 3
4 (1) (3) (2) (4)
3 -0.11% 0.57% 0.47% 0.59% -0.58% -0.02%
6 7.76% 0.72% 6.15% 0.76% 1.61% -0.04%
8.48% 0.95% -0.51% 0.89% 8.99% 0.06%
26.98% 0.91% -9.96% 0.85% 36.94% 0.06%
2
6
2003 8 22 2004 2 22
3
4
10
2003 0.150 (a)
2004 1.250 (b)
2005 0.350 (c)
7
10
1.750
(a) 2003 12 12 10 0.15
(b) 2004 2 9 6 21 12 7 10 0.30 0.45 0.50 1.25
(c) 2005 6 15 12 6 10 0.20 0.15 0.35
[2003]48 2003 4 1
2003 2005 7
CFA MBA Donier International
Robert W. Baird 2003 7 2004 4 2005 4 2005 7
8
A A 8.33%, 6
998 22 (+12.96%) (+4.32%) (+2.25%) (+0.40%) , , 14.06%,
, 8.48%, 0.51%, +8.99%
A A A A
9
2005
10
(2006) 154
( )2005
12 31 2005
2005 12 31 2005
·
2006 2 28
2005 12 31
( )
2005 2004 12 31 12 31
12,024,340.27
69,036,745.48
5
107,457,572.86
12,211,610.26
5
1,312,500.00
1,000,000.00
10,446,412.26 0.00
6
3,543,142.15
13,524,341.41
220,782.76
9,543,058.28
1,859,474,473.34
1,975,380,294.55
1,709,997,420.36
1,923,760,210.90
529,669,063.00
769,238,138.81
530,418,413.60
773,470,294.39
0.00 0.00
0.00 0.00
2,524,148,286.64
2,849,934,188.79
0.00
25,684,227.58
7,600,761.32
1,026,170.53
10,392.65 1,327.03
3,182,429.51
3,588,189.13
530,404.92 598,031.53
7
1,108,710.49
2,292,915.10
8
733,987.60 380,646.00
9
440,000.00 460,000.00
13,606,686.49
34,031,506.90
10
2,325,708,828.22
2,734,023,859.06
11
183,316,171.71
112,905,337.35
/( )
1,516,600.22
(31,026,514.52)
2,510,541,600.15
2,815,902,681.89
(2005 1.0795 )
(2004 1.0299 )
2,524,148,286.64
2,849,934,188.79
2005
( )
2005 2004
12 88,750,677.81 236,001,702.43
13 12,158,796.53
2,255,033.12
2,719,278.00 0.00
18,530,257.73 17,854,659.05
1,674,328.96
2,993,832.57
43,444,711.05 25,339,470.58
42,645.00 0.00
14
750,776.83
1,071,597.60
168,071,471.91 285,516,295.35
(41,463,965.81) (41,264,031.02)
(6,910,660.97) (6,877,338.38)
(22,169.86) (1,140,699.11)
15
(474,767.91)
(402,099.18)
(340,000.00)
(269,141.00)
(100,000.00)
(100,000.00)
(48,871,564.55) (49,684,167.69)
119,199,907.36 235,832,127.66
/( ) 11 101,339,774.31
(158,003,328.36)
220,539,681.67 77,828,799.30
119,199,907.36 235,832,127.66
(31,026,514.52)
7,641,775.54
(1,262,606.10) 83,495,258.88
3,444,138.51 (48,799,247.64)
90,354,925.25 278,169,914.44
16 (88,838,325.03)
(309,196,428.96)
/( )
1,516,600.22 (31,026,514.52)
2005
( )
2005 2004
2,815,902,681.89
2,072,309,883.22
119,199,907.36
235,832,127.66
/( )
101,339,774.31
(158,003,328.36)
220,539,681.67
77,828,799.30
1,154,976,281.43
2,410,767,466.47
6,530,275.77
27,897,500.70
(1,592,038,719.81) (1,435,807,038.14)
(437,062,438.38)
974,960,428.33
(88,838,325.03)
(309,196,428.96)
2,510,541,600.15
2,815,902,681.89
1
( ) ( ) [2003 ] 85 ( ) 2003 8 22 3,698,432,268.39 (2003) 110
50%-80% 20%-50% 0%-3% 5%
2
3
(a)
1 1 12 31
(b)
(c)
(d)
(i)
(ii)
(iii)
( )
(iv) /( )
(v)
(e)
(i)
/( )
(ii)
/( ) /( )
(iii)
( )
(f) /( )
/( )
/( ) /( ) /( )
(g)
1.5%
0.25%
(h)
1.00
(i) /( )
/( ) /( ) /( )
/( ) /( ) /( )
(j)
/( ) /( )
(k)
4
[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)
5
2005 12 31 2004 12 31
( 17(e))
104,966,641.87 12,211,610.26
2,490,930.99 0.00
107,457,572.86 12,211,610.26
1,250,000.00 1,000,000.00
62,500.00 0.00
1,312,500.001,000,000.00
6
2005 12 31 2004 12 31
3,488,055.05 13,443,351.07
51,901.70 6,669.16
3,157.30 74,321.18
28.10 0.00
3,543,142.1513,524,341.41
7
2005 12 31 2004 12 31
265,920.98 204,937.73
253,672.84 222,013.96
236,552.11 259,569.67
130,804.25 215,816.35
64,817.03 282,218.45
61,993.28 249,338.99
12,280.96 251,703.48
9,295.05 274,824.38
73,373.99 332,492.09
1,108,710.492,292,915.10
8
2005 12 31 2004 12 31
500,000.00 250,000.00
233,987.60 130,646.00
733,987.60380,646.00
9
2005 12 31 2004 12 31
340,000.00 360,000.00
100,000.00 100,000.00
440,000.00460,000.00
10
2004 12 31 2,734,023,859.06 2,734,023,859.06
1,091,388,287.15 1,091,388,287.15
6,327,849.90 6,327,849.90
(1,499,703,317.99) (1,499,703,317.99)
2005 12 31 2,325,708,828.22 2,325,708,828.22
11
/( )(a)
/( )
2004 12 31 47,387,928.07 65,517,409.28 112,905,337.35
101,339,774.31 0.00 101,339,774.31
0.00 64,850,600.38 64,850,600.38
0.00 180,308.53 180,308.53
0.00 (95,779,540.33) (95,779,540.33)
2005 12 31 148,727,702.38 34,588,469.33 183,316,171.71
(a)
/( )
2005 12 31 2004 12 31
149,477,052.98 51,620,083.65
(749,350.60) (4,232,155.58)
148,727,702.3847,387,928.07
12
2005 2004
4,438,130,165.57 4,234,819,458.65
(3,721,309.18) (3,557,987.21)
(4,345,658,178.58) (3,995,259,769.01)
88,750,677.81236,001,702.43
11,901,142.72 (2004 )
13
2005 2004
1,649,766,474.05 1,112,649,482.48
(32,152,801.34) (13,233,862.16)
(1,605,454,876.18) (1,097,160,587.20)
12,158,796.532,255,033.12
14
2005 2004
(a)
448,651.77 767,974.77
(b) 287,280.21 1,320.32
14,844.85 172,528.63
0.00 129,773.88
750,776.831,071,597.60
(a) 25%
(b) 25%
15
2005 2004
340,000.00 269,141.00
100,000.00 100,000.00
22,170.00 24,060.00
12,597.91 8,898.18
474,767.91402,099.18
16
2005
2005/06/20 10 0.20 47,792,163.97 4,432,845.83 52,225,009.80
2005/12/09 10 0.15 34,515,885.29 2,097,429.94 36,613,315.23
82,308,049.266,530,275.77 88,838,325.03
17
(a)
( )
(Fortis Investment Management S.A.)
(b)
2005
843,861,181.40 9.90% 55,520,810.90 5.03% 678,120.51 9.85%
2004
937,119,633.42 10.71% 143,330,517.38 13.85% 741,978.95 10.51%
(c)
1.5% X 1.5% /
41,463,965.81 (2004 41,264,031.02 )
(d)
0.25%
X 0.25% /
6,910,660.97 (2004 6,877,338.38 )
(e)
2005 12 31 12,024,340.27 (2004 69,036,745.48 ) 616,610.23 (2004 2,401,544.59 )
2005 12 31 107,457,572.86 (2004 12,211,610.26 )
(f)
2005 2004
176,413,466.85 0.00
104,657,473.97 100,330,958.90
0.00 700,000,000.00
0.00 262,815.88
(g) 2004 2005
18
2005 12 31
600036
05/12/19 6.58 06/01/04 7.23 4,000,000 27,315,238.21 26,320,000.00
000970
05/12/23 6.98 06/01/05 7.68 3,000,000 18,528,988.90 20,940,000.00
600337
05/12/19 5.19 06/01/04 5.47 2,909,924 13,812,720.79 15,102,505.56
000826
05/12/05 4.24 06/01/04 4.66 3,245,641 14,863,741.40 13,761,517.84
600598
05/12/07 4.09 06/01/04 3.30 17,000,000 89,916,617.92 69,530,000.00
600591
05/12/26 3.46 06/02/14 2.80 7,000,000 26,461,416.16 24,220,000.00
600880
05/12/21 12.06 06/01/18 10.90 1,372,174 15,949,384.88 16,548,418.44
600787
05/12/19 3.76 06/01/10 3.15 1,044,996 4,360,659.49 3,929,184.96
000806
05/12/01 4.00 06/01/09 2.80 479,308 1,894,343.67 1,917,232.00
213,103,111.42 192,268,858.80
19
2006 1 25 2006 1 2006 2 7 10 0.25
1,859,474,473.34 73.67%
529,669,063.00 20.98%
0.00 0.00
119,481,913.13 4.73%
15,522,837.17 0.62%
2,524,148,286.64 100.00%
A
69,530,000.00 2.77%
B
221,800,000.00 8.84%
C
638,293,908.77 25.42%
C0
168,112,645.96 6.70%
C1
0.00 0.00
C2
15,102,505.56 0.60%
C3
24,895,000.00 0.99%
C4
251,171,767.25 10.00%
C5
0.00 0.00
C6
42,940,858.00 1.71%
C7
68,311,132.00 2.72%
C8
67,760,000.00 2.70%
C99
0.00 0.00
D
118,560,000.00 4.72%
E
37,520,000.00 1.49%
F
212,553,684.96 8.47%
G
103,171,125.03 4.11%
H
60,170,169.59 2.40%
I
26,320,000.00 1.05%
J
0.00 0.00
K
223,827,166.55 8.92%
L
121,758,418.44 4.85%
M
25,970,000.00 1.03%
1,859,474,473.34 74.07%
1.
600583
5,000,000 128,600,000.00 5.12%
2.
600037
7,000,000 105,210,000.00 4.19%
3.
600009
7,000,000 100,940,000.00 4.02%
4.
600008
17,000,000 95,030,000.00 3.79%
5.
600028
20,000,000 93,200,000.00 3.71%
6.
600309
6,000,000 84,300,000.00 3.36%
7.
000792
7,000,000 80,920,000.00 3.22%
8.
000858
10,000,000 72,600,000.00 2.89%
9.
600598
17,000,000 69,530,000.00 2.77%
10.
600519
1,500,058 68,432,645.96 2.73%
11.
600662
15,000,000 58,950,000.00 2.35%
12.
600717 G
11,850,000 58,894,500.00 2.35%
13.
600886 G
10,000,000 55,500,000.00 2.21%
14.
600521 G
5,000,000 48,800,000.00 1.94%
15.
600406
3,000,000 46,020,000.00 1.83%
16.
000061 G
10,000,000 43,000,000.00 1.71%
17.
000758
7,000,000 37,520,000.00 1.49%
18.
600323
4,000,000 35,360,000.00 1.41%
19.
000400 G
7,000,000 31,500,000.00 1.25%
20.
600718
4,000,092 31,320,720.36 1.25%
21.
600642 G
5,000,000 27,700,000.00 1.10%
22.
000729
4,000,000 27,080,000.00 1.08%
23.
600002
2,999,999 26,339,991.22 1.05%
24.
600036
4,000,000 26,320,000.00 1.05%
25.
600811
7,000,000 25,970,000.00 1.03%
26.
000997 G
3,000,047 25,830,404.67 1.03%
27.
600963 G
6,500,000 24,895,000.00 0.99%
28.
600087 G
7,000,000 24,570,000.00 0.98%
29.
000888
4,500,000 24,390,000.00 0.97%
30.
600591
7,000,000 24,220,000.00 0.96%
31.
000866
2,000,001 23,480,011.74 0.94%
32.
600205
2,000,078 22,000,858.00 0.88%
33.
600258
3,073,583 21,207,722.70 0.85%
34.
000970
3,000,000 20,940,000.00 0.83%
35.
600312
3,000,000 19,920,000.00 0.79%
36.
600196
4,000,000 18,960,000.00 0.76%
37.
000978
2,999,999 18,449,993.85 0.74%
38.
600825
4,021,117 17,170,169.59 0.68%
39.
600880
1,372,174 16,548,418.44 0.66%
40.
600337
2,909,924 15,102,505.56 0.60%
41.
002028
1,110,000 14,973,900.00 0.60%
42.
000826
3,245,641 13,761,517.84 0.55%
43.
600299
1,000,000 13,070,000.00 0.52%
44.
600078
2,000,053 9,300,246.45 0.37%
45.
600054
630,375 5,799,450.00 0.23%
46.
600787
1,044,996 3,929,184.96 0.16%
47.
000806
479,308 1,917,232.00 0.08%
1,859,474,473.34 74.07%
( ) 2%
( )
600019 G
195,341,671.96 6.94%
600050
169,289,213.48 6.01%
600009
148,211,102.40 5.26%
000858
144,619,447.57 5.14%
600028
119,732,380.31 4.25%
600018 G
106,584,481.31 3.79%
600005 G
105,539,023.92 3.75%
600900 G
103,970,554.26 3.69%
000983 G
87,734,768.53 3.12%
600029
85,992,395.02 3.05%
000039
84,521,986.10 3.00%
000792
81,340,017.48 2.89%
600886 G
81,033,696.63 2.88%
600037
80,910,508.53 2.87%
600008
79,915,049.38 2.84%
600428 G
77,390,396.03 2.75%
600519
70,813,763.08 2.51%
600642 G
69,034,710.67 2.45%
600104 G
67,050,608.24 2.38%
000402
62,665,943.86 2.23%
600011
61,747,002.14 2.19%
600320
61,482,958.29 2.18%
600521 G
61,218,518.07 2.17%
600309
60,480,978.97 2.15%
600026 G
57,666,301.61 2.05%
( )
600019 G
217,692,498.71 7.73%
000039
196,420,344.76 6.98%
600050
170,197,241.20 6.04%
600009
160,478,347.44 5.70%
000402
154,564,886.02 5.49%
600005 G
143,469,882.23 5.09%
600660
126,954,179.75 4.51%
000063 G
121,566,240.90 4.32%
600583
110,584,870.12 3.93%
000069
110,242,553.10 3.91%
600018 G
109,681,003.66 3.90%
000858
107,723,893.13 3.83%
600029
104,933,893.53 3.73%
600900 G
102,082,306.28 3.63%
600320
88,117,720.95 3.13%
600028
88,064,090.47 3.13%
600309
86,061,652.52 3.06%
600096
83,136,307.32 2.95%
000898 G
81,364,559.04 2.89%
600428 G
75,737,200.87 2.69%
000983 G
70,296,156.77 2.50%
600026 G
70,178,860.47 2.49%
600104 G
66,322,388.01 2.36%
000970
64,131,044.66 2.28%
000538
61,164,397.85 2.17%
600123
58,774,316.75 2.09%
600717 G 58,569,068.83 2.08%
:
4,143,796,530.76
4,438,130,165.57
297,868,063.00 11.87%
231,801,000.00 9.23%
529,669,063.00 21.10%
05 07 99,950,000.00 3.98%
21 97,651,200.00 3.89%
99 58,174,200.00 2.32%
02 54,068,391.20 2.15%
03 29 50,990,000.00 2.03%
- - -
1
2
3
1,312,500.00
3,543,142.15
220,782.76
10,446,412.26
0.00
15,522,837.17
4
5
580000 JTB1 2,000,000 0.00
3,698,432,268.39 2,734,023,859.06 1,085,060,437.25 6,327,849.90 1,499,703,317.99 2,325,708,828.22
- - - -
/
468,418,235.95 20.14% 1,857,290,592.27 79.86% 2,325,708,828.22 9,744 238,681.12
2005 10 14 Mr. Dennis
Ziengs 2005
.
6 15 12 6 10 0.20 0.15
0.35
100,000
1
2 843,861,181.40 9.90% 55,520,810.90 5.03% 0.00 0.00%
2
1 533,419,044.34 6.26% 19,281,724.80 1.75% 0.00 0.00%
3
1 800,221,985.33 9.39%123,593,093.20 11.21% 0.00 0.00%
4
1 468,867,165.54 5.50% 29,557,542.90 2.68% 0.00 0.00%
5
1 424,826,931.32 4.99% 31,766,385.80 2.88% 0.00 0.00%
6
2 722,196,446.98 8.47% 66,776,510.05 6.06% 0.00 0.00%
7
1 1,230,445,851.3414.44% 362,532,409.70 32.88% 2,722,000.00 100.00%
8
1 319,848,113.76 3.75% 3,882,195.70 0.35% 0.00 0.00%
9
1 510,983,615.56 6.00%112,818,265.90 10.23% 0.00 0.00%
10
1 399,494,834.30 4.69% 41,898,982.40 3.80% 0.00 0.00%
11
1 1,261,731,368.9914.81% 62,437,981.57 5.66% 0.00 0.00%
12
1 862,205,481.4610.12%192,662,924.10 17.47% 0.00 0.00%
13
1 143,131,649.37 1.68% 0.00 0.00% 0.00 0.00%
14
1 0.000.00% 0.00 0.00% 0.00 0.00%
15
16 8,521,233,669.69100.00% 1,102,728,827.02 100.00% 2,722,000.00 100.00%
1
0.00 0.00% 678,120.51 9.85%
2
0.00 0.00% 417,404.80 6.06%
3
0.00 0.00% 655,536.71 9.52%
4
0.00 0.00% 384,217.39 5.58%
5
0.00 0.00% 348,304.55 5.06%
6
120,000,000.00 87.91% 578,715.81 8.41%
7
16,500,000.00 12.09% 1,008,229.68 14.65%
8
0.00 0.00% 262,274.68 3.81%
9
0.00 0.00% 418,128.90 6.08%
10
0.00 0.00% 327,333.10 4.76%
11
0.00 0.00% 987,316.29 14.34%
12
0.00 0.00% 705,676.28 10.25%
13
0.00 0.00% 112,002.55 1.63%
14
0.00 0.00% 0.00 0.00%
15
136,500,000.00 100.00% 6,883,261.25 100.00%
1
2
<1> 200
<2>
<3>
<1> 2005 1 22 2005 7 30 2005 9 7
<2> 2005 1 26
<3> 2005 1 27
<4> 2005 1 26 2 28 3 18 6 29 7 18
<5> 2005 4 15 10 15
<6> 2005 4 20
<7>
<8> 2005 7 30
<9> 2005 8 24
<10> 2005 9 1
<11> 2005 10 28
88 37
021-38784858 40088-40099
www.hftfund.com
2006 3 28
