2007
1
2007
2
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2007
3
1.
2.
2007
4
45% 20% 70% H ADR GDR 35% 10% 60% 10% 15% 10% 15%
3.
4.
2007
5
5.
6.
1.
2007
6
2.
A
(*
)
(* )
-1.14% - -1.56% - 0.42% -
1.86% 1.32% 0.74% 1.50% 1.12% -0.18%
2.77% 0.95% 2.73% 1.10% 0.04% -0.15%
3.80% 1.08% 4.56% 1.19% -0.76% -0.11%
* :
B.
2007
7
2007
8
1.
(1)
(2)
180ETF MSCI A
2007
9
2.
3.
2006 IMF 2007 GDP 2006 5.4 4.9 GDP CPI 1.4 1.8
2007
10
2007
11
:
:
2007
12
:
2007
13
1
[2006]160 [2006]94
2
3
(1)
(2)
1)
2)
1 1 12 31
3)
4)
2007
14
5)
(i)
17:00
(ii) " /( )"
(iii)
6)
(i)
7)
8 /( )
/( ) /( )
9
1.5%
0.1%
10)
11) /( )
/( ) /( ) /( )
2007
15
/( ) /( ) /( )
12)
/( ) /( )
13)
90%
14)
15
3.
[2002]128 [2004]78
1)
2)
4 .
5
2007
16
( ) ( ) ( )
× ÷ × ÷
2007
17
6
2007
18
7
2007
19
:
.
2007
20
1. 2007 3 22
2. 2007 5 11
3. 2007 5 18
4.
2007 7 26
1.
2006 11 3
2007
21
16,652 196,584,558.01 1.00 196,584,558.01 2006 10 25
" " 2006 11 2
2.
2007 4 26
2007 5 8
3.
2007
22
REITs
LEHMAN GLOBAL VALUE FUND CLASS A
LEHMAN BROTHERS GLOBAL BOND FUND
(OFFSHORE) LTD
US REAL ESTATE FD INST CLS SHS USD
LEHMAN BROTHERS STRATEGIC
COMMODITIES FUND
1.
2007
23
2.
3.
4.
2007
24
1. ” GMSF”
2.
3.
a.
2007
25
b.
LEHMAN GLOBAL
VALUE FUND CLASS A
LEHMAN BROTHERS
GLOBAL BOND FUND
(OFFSHORE) LTD
US REAL ESTATE FD
INST CLS SHS USD
LEHMAN BROTHERS
STRATEGIC
COMMODITIES FUND
1.
2007 6 29
2.
a.
b.
2007
26
c.
2007 6 29 LEHMAN GLOBAL VALUE FUND CLASS A
334,496,935.84 GMSF 166.92.
LEHMAN GLOBAL VALUE FUND CLASS A
PARMALAT SPA
3,992,856.94 1.19% OESTE RREICHISCHE POST AG
7,013,051.53 2.10% BERKSHIRE HATHAWAY-CL B
17,988,950.00 5.38% CDN NATURAL RESOU NPV
9,407,768.20 2.81% DELL INC
24,768,295.55 7.40% DIRECTV GROUP INC
6,307,319.86 1.89% EBAY INC
14,961,994.46 4.47% ECHOSTAR COMMUNICATIONS
15,484,607.95 4.63% MONTPELIER RE HOLDINGS
10,537,375.86 3.15% EXPEDIA INC-WI
8,779,765.37 2.62% GENERAL MOTORS CORP
5,323,298.40 1.59% IDT CORPORATION
4,213,779.84 1.26% INSITUFORM TECHNOLOGIES
8,146,536.63 2.44% ITRON INC
9,233,707.68 2.76% L-1 IDENTITY SOLUTIONS
17,182,212.70 5.14% LEUCADIA NATIONAL CORP
13,847,892.00 4.14% LEVEL 3 COMMUNICATIONS IN
17,779,290.75 5.32% MARSH & MCLENNAN COS
9,097,340.64 2.72% MICROSOFT CORPORATION
10,993,253.04 3.29% ALCATEL LUCENT
13,208,078.59 3.95% HAVAS
7,028,639.50 2.10% NTT DOCOMO INC
4,031,215.84 1.21% CHEUNG KONG
11,002,443.11 3.29%
2007
27
MOTOROLA INC
9,310,483.20 2.78% SONY CORPORATION NPV
4,905,307.91 1.47% PENTAIR INC
10,824,130.52 3.24% SPRINT NEXTEL CORP SHR US
13,660,026.06 4.08% SUN MICROSYSTEMS INC
2,778,100.56 0.83% SYMANTEC CORP
5,880,139.20 1.76% TENET HEALTHCARE CORP
9,164,367.87 2.74% LEHMAN BR LIQ INVEST DIST
17,445,914.03 5.22% YAHOO INC
11,243,621.55 3.36%
3.
a.
b.
c.
2007
28
d.
e.
2007 6 29 LEHMAN BROTHERS GLOBAL BOND FUND
(OFFSHORE) LTD 53,633,142.88 100.5250 533,532.1240
LEHMAN BROTHERS GLOBAL BOND FUND (OFFSHORE) LTD GMSF LEHMAN BROTHERS GLOBAL BOND FUND
(OFFSHORE) LTD 2007 6 29 GMSF LEHMAN BROTHERS GLOBAL BOND FUND (OFFSHORE)
LTD
LEHMAN BROTHERS GLOBAL BOND FUND (OFFSHORE) LTD
XS0207954412 DEPFA BK 1.65% 12/20/16 /JPY/ 2,847,514.15 5.31%
2007
29
DE0001135309 DEUTSCHLAND REP 4% 7/4/16 /EUR 2,773,298.21 5.17%
US01F0526727 FNMA 30YR TBA 5.5% JUL 07 2,709,893.75 5.05%
BE0000305145 BELGIUM KING 3% 3/28/10 /EUR/ 2,629,038.17 4.90%
US01F0506760 FNMA 30YR TBA 5% JUL 07 2,079,862.50 3.88%
XS0150250933 DEV BK JPN 1.4% 6/20/12 /JPY/ 1,857,6 07.35 3.46%
DE0001135275 DEUTSCHLAND REP 4% 1/4/37/EUR/ 1,669,301.12 3.11%
XS0179761175
JAPAN FIN CORP FOR MUN ENTRPR
GTD BD 1.35%13 1,515,347.50 2.83%
XS0171578502 DEV BK JAPAN 1.05% 6/20/23/JPY 1,292,806.19 2.41%
US01F0606750 FNMA 30YR TBA 6% JUL 06 1,270,944.67 2.37%
4.
a.
b.
US REAL ESTATE FD INST CLS SHS USD 110,032,697.59 GMSF 11.82 .
US REAL ESTATE FD INST CLS SHS USD
US REAL
ESTATE FD INST
CLS SHS USD SL GREEN REALTY CORP 6,182,111.00 5.62%
LEHMAN BR LIQ INVEST DIST 6,189,197.85 5.62%
PROLOGIS 5,587,580.00 5.08%
AMB PROPERTY CORP 5,268,780.00 4.79%
BROOKFIELD ASSET MGT 5,060,317.50 4.60%
VORNADO REALTY TRUST 5,052,640.00 4.59%
2007
30
SIMON PROPERTY GRP 4,493,832.00 4.08%
KIMCO REALTY CORP 4,404,699.00 4.00%
BROOKFIELD PROP 4,300,439.00 3.91%
BOSTON PROPERTIES INC 4,095,413.00 3.72%
DUKE REALTY CORP 3,923,700.00 3.57%
ARCHSTONE-SMITH TRUST 3,853,972.00 3.50%
STARWOOD HOTELS &
RESORTS 3,762,627.00 3.42%
TAUBMAN CENTERS INC 3,676,101.00 3.34%
ALEXANDRA REAL ESTATE 3,408,064.00 3.10%
CAMDEN PROPERTY TRUST 3,120,802.00 2.84%
EQUITY RESIDENTIAL 3,080,025.00 2.80%
DEVELOPERS DIVERS RLTY 2,851,611.00 2.59%
HOST HOTELS & RESORTS INC 2,839,205.36 2.58%
MACERICH CO/THE 2,818,764.00 2.56%
SUNSTONE HOTEL INV INC 2,813,449.00 2.56%
AVALONBAY COMMUNITIES INC 2,769,904.00 2.52%
HOME PROPERTIES INC 2,638,044.00 2.40%
VENTAS INC 2,573,750.00 2.34%
POST PROPERTIES INC 1,678,586.00 1.53%
CORPORATE OFFICE PROPERT 1,560,307.47 1.42%
DIGITAL REALTY TRUST INC 1,537,344.00 1.40%
PUBLIC STORAGE 1,459,580.00 1.33%
APARTMENT INV & MGMT CO A 1,406,718.00 1.28%
REGENCY CENTERS CORP 1,381,800.00 1.26%
ACADIA REALTY TRUST 1,313,070.00 1.19%
UDR INC 1,262,400.00 1.15%
ESSEX PROPERTY TRUST INC 1,104,850.00 1.00%
GENERAL GROWTH
PROPERTIES 1,059,000.00 0.96%
NATIONWIDE HEALTH PPTYS 908,480.00 0.83%
CRYSTAL RIVER CAPITAL 337,492.00 0.31%
5.
a.
2007
31
b.
6 29 LEHMAN BROTHERS STRATEGIC COMMODITIES
MASTER FUND 1,919,807,455.56 GMSF .
LEHMAN BROTHERS STRATEGIC COMMODITIES MASTER FUND
LEHMAN
BROTHERS
STRATEGIC
COMMODITIES
MASTER FUND CHF FX - 265-11344
FX CONTRACTS
FFX: CHF / USD 07/03/07 612,565 205.06 0.00%
20066 Settles 7/3/2007 -501,117.00
FFX: CHF / USD 07/20/07 121,200,000 1,603,222.88 0.08%
20066 Settles 7/20/2007 -97,717,973.02
Euro Fx - 11122202
FX CONTRACTS
FFX: EUR / USD 07/03/07 295,253 -29.52 0.00%
23803 Settles 7/3/2007 -399,625.00
FFX: EUR / USD 07/20/07 15,269,100 359,714.55 0.02%
23803 Settles 7/20/2007 -20,317,064.46
2007
32
GBP FX - GBP FX
FX CONTRACTS
FFX: GBP / USD 07/03/07 325,998 -260.79 0.00%
20060 Settles 7/3/2007 -654,735.00
FFX: GBP / USD 07/20/07 8,550,000 167,152.50 0.01%
20060 Settles 7/20/2007 -16,993,980.00
JGBJPY - JGBJPY
FIXED INCOME
JGTB 0 03/21/08 419
650,000,000 5,249,335.19 0.27%
1278180 FI_C504191733 Per Par
JGTB 0 05/20/08 421
500,000,000 4,031,911.01 0.21%
1339422 FI_C504211754 Per Par
JGTB 0 09/20/07 409
1,050,000,000 8,514,229.22 0.44%
1081950 FI_C504091693 Per Par
JGTB 0 12/20/07 415
1,550,000,000 12,544,811.82 0.65%
1189053 FI_C5041516C6 Per Par
JPY FX - JPY FX
FX CONTRACTS
FFX: JPY / USD 07/03/07 22,663,888 37.35 0.00%
20059 Settles 7/3/2007 -183,990.00
FFX: JPY / USD 07/20/07 250,000,000 1,612.95 0.00%
20059 Settles 7/20/2007 -2,032,850.87
Lehman Futures (FIN 75) - 80321501
FUTURES
CATTLE AUG 07
2,384 -1,562,367.42 -0.08%
1047910 LC_20070801 Per Contract
CATTLE OCT 07
1,791 -1,365,427.04 -0.07%
1103671 LC_20071001 Per Contract
COFFEE SEP 07
483 -177,731.25 -0.01%
768085 KC_20070901 Per Contract
CORN DEC 07
1,408 -2,858,344.38 -0.15%
529802 C_20071201 Per Contract
CORN SEP 07
1,571 -2,836,353.64 -0.15%
612900 C_20070901 Per Contract
COTTON DEC 07
402 1,618,355.00 0.08%
839511 CT_20071201 Per Contract
COTTON MAR 08
410 950,950.00 0.05%
937214 CT_20080301 Per Contract
CRUDE OIL (NY) NOV 07 2,833 6,224,030.00 0.32%
1360059 CL_20071101 Per Contract
CRUDE OIL (NY) SEP 07 2,717 10,661,320.00 0.56%
2007
33
562909 CL_20070901 Per Contract
FEEDER CATTLE AUG 07 795 333,064.90 0.02%
1103728 FC_20070801 Per Contract
GASOLINE RBOB NOV07 684 559,864.20 0.03%
1369452 RBOB_20071101 Per Contract
GASOLINE RBOB SEP 07 674 2,591,647.80 0.13%
1326093 RBOB_20070901 Per Contract
GOLD FUTURE DEC 07 1,233 108,310.00 0.01%
271545 GC_20071201 Per Contract
HEATING OIL NOV 07
459 1,276,367.40 0.07%
988319 HO_20071101 Per Contract
HEATING OIL SEP 07
988 4,620,025.20 0.24%
916815 HO_20070901 Per Contract
LEAN HOGS AUG 07
1,448 -1,888,495.62 -0.10%
1103619 LH_20070801 Per Contract
LEAN HOGS OCT 07
1,291 -2,259,326.76 -0.12%
1103646 LH_20071001 Per Contract
LME ALUMINUM NOV 21 07 648 149,537.50 0.01%
1360100 LMEALF_20071121 Per Contract
LME ALUMINUM SEP 19 07 1,371 -1,261,575.00 -0.07%
1290559 LMEALF_20070919 Per Contract
LME COPPER AUG 15 07 668 4,748,850.00 0.25%
1337056 LMECOF_20070815 Per Contract
LME COPPER SEP 19 07 715 4,226,775.00 0.22%
1344789 LMECOF_20070919 Per Contract
LME NICKEL NOV 21 07 113 -3,359,850.00 -0.18%
1365657 LMENICF_20071121 Per Contract
LME NICKEL SEP 19 07 155 -10,277,070.00 -0.54%
1312754 LMENICF_20070919 Per Contract
LME ZINC NOV 21 07
325 -2,103,750.00 -0.11%
1291469 LMEZNF_20071121 Per Contract
LME ZINC SEP 19 07
301 -3,624,125.00 -0.19%
1257129 LMEZNF_20070919 Per Contract
NATURAL GAS NOV 07 545 -4,812,790.00 -0.25%
170255 NG_20071101 Per Contract
NATURAL GAS SEP 07 843 -9,650,350.00 -0.50%
170355 NG_20070901 Per Contract
OJ SEP 07
232 -804,397.50 -0.04%
881384 OJ_20070901 Per Contract
PALLADIUM SEP 07
97 -142,600.00 -0.01%
958635 PA_20070901 Per Contract
PLATINUM OCT 07
180 95,100.00 0.00%
1052423 PL_20071001 Per Contract
SILVER SEP 07
314 -1,166,555.00 -0.06%
2007
34
784700 SI_20070901 Per Contract
SOYBEAN MEAL DEC 07 975 1,592,279.32 0.08%
529803 SM_20071201 Per Contract
SOYBEANS JAN 08
802 1,057,075.00 0.06%
1103647 S_20080101 Per Contract
SOYBEANS NOV 07
761 2,126,039.42 0.11%
1017752 S_20071101 Per Contract
SUGAR OCT 07
3,048 252,280.00 0.01%
778557 SB_20071001 Per Contract
WHEAT DEC 07
1,507 2,608,380.79 0.14%
641419 Z_20071201 Per Contract
WHEAT SEP 07
1,179 4,453,681.08 0.23%
947149 Z_20070901 Per Contract
2007
35
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http://www.huaan.com.cn
2007 8 29
