2008
1
2008
2008
2
—— “ ” 2008 8 18
2008
3
........................................................................................................................................2
...............................................................................................................................1
......................................................................................2
...........................................................................................................................3
...........................................................................................................................6
......................................................................................................................6
....................................................................................................................24
...........................................................................28
...........................................................................................................28
....................................................................................................................29
....................................................................................................................36
2008
1
“ ”
270007
2007 6 13
17,628,637,865.92
“ ”
75%* 300 +25%*
19 1208
1 31-33
510308
020-89899117
020-89899158
dxj@gffunds.com.cn
2008
2
55
100032
010-66106912
010-66106904
custody@icbc.com.cn
http://www.gffunds.com.cn
:
2008 1 1 —2008 6 30
1
-8,877,000,611.53
2
-420,903,674.72
3
-0.4782
4
-4,796,102,312.67
5
-0.2721
6
12,832,535,553.25
7
0.7279
8
-47.40%
9
-39.97%
10
-27.21%
2008
3
1
(1)
(2)
(3)
(4)
(1)-(3) (2)-(4)
1 -17.75% 0.0259 -17.04% 0.0256 -0.71% 0.0003
3 -24.18% 0.0260 -19.69% 0.0249 -4.49% 0.0011
6 -39.97% 0.0248 -35.20% 0.0232 -4.77% 0.0016
1 -26.01% 0.0205 -18.50% 0.0198 -7.51% 0.0007
-27.21%
0.0200
-22.42% 0.0198 -4.79% 0.0002
2
75%* 300 +25%*
[2003]91 2003 8 5 1.2
2008
4
17
2008 6 30 --- 824.54
8 2000 7 2002 8 2002 8 2007 6 2007 6
2 4 1 1
A B C
-39.97% -42.15% -33.92% -36.95%
0.0248 0.0243 0.0212 0.0231
-35.20% -34.70% -36.68% -29.34%
0.0232 0.0233 0.0244 0.0199
- -4.77% -7.45% 2.76% -7.61%
- 0.0016 0.0010 -0.0032 0.0032
(1)
2008
5
(2) A B C
B 6.05% 75%
2008
PPI 7 17.5%
5262 2736 48% 17701 9371 47% 60-70% 30-40%
35 15
2008
6
2008
2008 ——
2008
2008 8 18
( )
2008 6 30
2008 6 30 2007 12 31
2008
7
3,826,041,112.52 2,822,370,464.78
9,650,278.25 5,768,262.05
5,619,387.23 9,452,231.23
4(1) 8,992,384,723.05 22,307,753,956.09
8,992,384,723.05 22,289,471,489.09
- 18,282,467.00
- -
- -
--
- -
26,253,390.69 220,517,868.66
4(2) 939,086.25 793,368.72
324,926.03 341,480.80
- -
12,861,212,904.02 25,366,997,632.33
--
--
--
--
--
3,725,675.24 150,852,623.07
17,307,318.5 31,059,629.80
2,884,553.06 5,176,604.98
- -
4(3)
3,047,406.8 7,349,450.06
- -
- -
--
4(4)
1,712,397.17 2,054,230.91
28,677,350.77 196,492,538.82
4(5)
17,628,637,865.92 20,758,957,541.55
-4,796,102,312.67 4,411,547,551.96
12,832,535,553.25 25,170,505,093.51
12,861,212,904.02 25,366,997,632.33
2008 1 1 2008 6 30
2008 1 1 2008 6 30
-8,678,439,587.41
1
16,078,996.46
16,036,527.29
2008
8
42,469.17
-
-
2 "-"
-242,816,771.42
4(6) -310,282,507.47
4(7) 1,682,646.61
-
-
-
65,783,089.44
3 "-" 4(8) -8,456,096,936.81
4 "-" 4(9) 4,395,124.36
198,561,024.12
1
140,582,874.27
2
23,430,479.01
3
4
4(10) 34,315,549.92
5
-
-
6
4(11) 232,120.92
-8,877,000,611.53
2008 1 1 2008 6 30
2008 1 1 2008 6 30
20,758,957,541.55 4,411,547,551.96 25,170,505,093.51
- -8,877,000,611.53 -8,877,000,611.53
“-”
-3,130,319,675.63
-330,649,253.10
-3,460,968,928.73
1.
79,312,475.04
6,296,253.06
85,608,728.10
2. -3,209,632,150.67
-336,945,506.16
-3,546,577,656.83
-
-
-
2008
9
17,628,637,865.92
-4,796,102,312.67
12,832,535,553.25
1
“ ” [2007]158
2007 6 13 [2007]153
2007 6 11 14,851,700,203.40 608,933 0 0 2007 6
13 14,851,700,203.40
, ,
2.
1
[2007]56 2 3
2008
10
2
1 1 12 31 2008 1 1 2008 6 30
3
4
5
A.
a
b
c
d
B.
a
2008
1 1
b
c
C.
D.
E.
F.
G.
6
2008
12
7
A.
a
b
B.
a
b
a
b
C.
“ 2 5 ”
D.
( )
2008
13
E.
( )
a
b
c
d
e
f
g
h
i
8
2008
14
9
1.5%
0.25%
10
11
2008
15
12
1.00
13
14
15
3
1
[2007]84 2007 5 30 -2008 4 23 3‰ 2008 4 24
2
[2002]128 [2004]78 2004 1 1
3
[2002]128 , , 20% [2005]102
2008
16
[2005]107 , 2005 6 13 50
4
:
1
2008 6 30
14,140,260,236.27 8,992,384,723.05 -5,147,875,513.22
---
---
14,140,260,236.27 8,992,384,723.05 -5,147,875,513.22
2
2008 6 30
934,811.65
3,908.34
366.26
939,086.25
3
2008 6 30
21,638.18
179,392.30
126,183.56
15,018.31
868,571.55
243,068.14
510,979.86
482,264.85
600,290.05
2008
17
3,047,406.80
4
2008 6 30
18,935.67
1,500,000.00
1,500,000.00
193,461.50
39,781.56
149,179.94
4,500.00
1,712,397.17
5
2008 1 1 2008 6 30
20,758,957,541.55
79,312,475.04
3,209,632,150.67
17,628,637,865.92
6
2008 1 1 2008 6 30
7,440,120,027.88
7,750,402,535.35
-310,282,507.47
7
2008 1 1 2008 6 30
19,375,937.90
17,647,000.00
46,291.29
1,682,646.61
2008
18
( 8 )
2008 1 1 2008 6 30
-8,456,096,936.81
-8,449,924,469.81
-6,172,467.00
9
2008 1 1 2008 6 30
4,359,552.55
35,571.81
4,395,124.36
10
2008 1 1 2008 6 30
34,315,549.92
-
34,315,549.92
11
2008 1 1 2008 6 30
149,179.94
39,781.56
29,659.42
13,500.00
232,120.92
12
.
13
0
5
1
2008
19
2
A.2008 1 1 -6 30
1,737,072,125.49
- - 17.18% - -
1,476,508.12 17.43%
1,737,072,125.49
- - 17.18% - -
1,476,508.12 17.43%
= * - - -
B.2008 1 1 -6 30
3
A.
1.5 %
H=E×1.5%÷
H
E
2008
20
140,582,874.27 123,275,555.77 17,307,318.50
B.
0.25%
H=E×0.25%÷
H
E
23,430,479.01 20,545,925.95 2,884,553.06
4
2008 6 30 3,826,041,112.52
15,989,079.64
5
6
2008 6 30
6
1 2008 6 30
600087
07.12.20 08.12.20 9.33
7.32
9,000,000 84,000,000.00
65,880,000.00
2008
21
600383
07.07.04 08.07.04 13.00
9.07
15,360,000 199,680,000.00
139,315,200.00
002251
08.6.11 08.9.19
26.08
48.55
22,142 577,463.36
1,074,994.10
002024
08.5.22 09.5.22 45.00
41.30
2,000,000 90,000,000.00
82,600,000.00
2 2008 6 30
600900
08.05.08
14.65 - - 5,364,66687,615,617.59 78,592,356.90
7
2008 6 30 0
8
2008 6 30
9
1
2
2008
22
, , ,
60% 80%
VaR VaR/ (%)
12,832,535,553.25 515,380,928 4.02
0.9690 1.0399 0.0249
- 491,316,9313.82
1 1 0.0232
300 ×75%+ ×25%
VaR 95 1 Va R “VaR/ ”
300
3
2008
23
6
5
(%)
(%)
32.03%
2.0341 42.42 89.20
5 = / 10 (
) 5 5 10
Cash-cability =
i
i i
MTM
MTM CDay n min * ) 1 , / (
, i i i
CDay i i
MTM i n n 5 20
4
AAA
10
2008
24
11
12
13
A
62,985,775.08 0.49%
B
1,505,115,743.59 11.73%
C
2,749,546,740.89 21.43%
C 0
374,547,452.82 2.92%
C 1
95,284,209.60 0.74%
C 2
--
C 3
97,132,117.50 0.76%
C 4
308,897,214.07 2.41%
C 5
37,795,645.03 0.29%
C 6
828,916,534.59 6.46%
C 7
989,360,726.97 7.71%
C 8
17,612,840.31 0.14%
C 99
--
D
78,592,356.90 0.61%
E
96,596,373.56 0.75%
F
559,908,738.93 4.36%
8,992,384,723.05 69.92%
--
--
3,835,691,390.77 29.82%
33,136,790.20 0.26%
12,861,212,904.02 100.00%
2008
25
G
162,353,413.00 1.27%
H
756,281,246.58 5.89%
I
1,758,246,983.95 13.70%
J
1,244,117,575.77 9.70%
K
--
L
13,140,000.00 0.10%
M
5,499,774.80 0.04%
8,992,384,723.05 70.07%
600000
29,736,978 654,213,516.00 5.10%
601666
14,066,215 526,920,413.90 4.11%
601166
19,657,105 500,666,464.35 3.90%
000001
25,379,646 490,588,557.18 3.82%
002024
10,194,384 421,028,059.20 3.28%
600383
41,529,466 376,672,256.62 2.94%
000002
41,006,998 369,473,051.98 2.88%
600997
6,818,082 272,586,918.36 2.12%
600048
19,257,937 259,789,570.13 2.02%
600087
32,512,592 237,992,173.44 1.85%
600031
8,337,084 231,854,306.04 1.81%
600519
1,613,245 223,563,492.10 1.74%
600694
5,739,212 196,854,971.60 1.53%
601699
4,900,713 188,726,457.63 1.47%
000024
11,917,302 178,044,491.88 1.39%
000709
16,006,419 170,468,362.35 1.33%
600089
11,293,653 168,953,048.88 1.32%
600026
8,265,170 164,394,231.30 1.28%
000063
2,593,505 162,353,413.00 1.27%
000937
3,386,780 149,627,940.40 1.17%
600150
1,972,267 149,044,217.19 1.16%
600596
2,244,349 135,648,453.56 1.06%
600456
5,391,794 131,883,281.24 1.03%
600022
12,765,952 131,106,327.04 1.02%
600685
5,011,451 126,589,252.26 0.99%
601006
9,015,729 122,704,071.69 0.96%
000012
7,597,653 112,521,240.93 0.88%
000528
5,075,332 97,700,141.00 0.76%
000718
5,886,795 97,132,117.50 0.76%
600036
4,139,635 96,950,251.70 0.76%
000758
6,919,511 96,596,373.56 0.75%
600439
6,616,959 95,284,209.60 0.74%
600102
9,592,394 94,772,852.72 0.74%
600489
1,839,650 91,669,759.50 0.71%
2008
26
000157
6,568,550 90,974,417.50 0.71%
601088
2,297,954 86,334,131.78 0.67%
600169
3,706,892 83,034,380.80 0.65%
600508
4,605,766 79,817,924.78 0.62%
600900
5,364,666 78,592,356.90 0.61%
600426
3,387,905 75,109,853.85 0.59%
600005
7,200,000 70,272,000.00 0.55%
601898
4,100,000 65,518,000.00 0.51%
600075
6,323,873 62,985,775.08 0.49%
600432
2,825,144 62,915,956.88 0.49%
000987
2,268,586 60,798,104.80 0.47%
600533
7,526,684 60,138,205.16 0.47%
600779
2,768,227 57,745,215.22 0.45%
600195
3,676,327 53,306,741.50 0.42%
600725
1,552,224 50,074,746.24 0.39%
600631
4,143,072 48,639,665.28 0.38%
000729
2,376,905 39,932,004.00 0.31%
002008
3,335,891 37,795,645.03 0.29%
601919
1,762,950 34,818,262.50 0.27%
600391
2,006,710 32,568,903.30 0.25%
600352
2,028,648 30,592,011.84 0.24%
600585
722,281 28,884,017.19 0.23%
600859
695,570 26,695,976.60 0.21%
600569
5,346,823 26,092,496.24 0.20%
002128
1,067,532 24,094,197.24 0.19%
600188
1,000,000 19,820,000.00 0.15%
600535
1,560,039 17,612,840.31 0.14%
000755
1,615,114 16,910,243.58 0.13%
600015
1,714,864 15,828,194.72 0.12%
600037
1,000,000 13,140,000.00 0.10%
600858
186,940 5,499,774.80 0.04%
002122
100,000 4,800,000.00 0.04%
600806
200,000 2,366,000.00 0.02%
002251
46,642 2,264,469.10 0.02%
002242
36,500 1,476,060.00 0.01%
002254
20,500 561,905.00 0.00%
20 2%
000002
328,583,913.45 1.31%
600026
285,446,578.54 1.13%
002024
218,314,775.00 0.87%
600005
190,067,958.98 0.76%
000001
187,678,633.19 0.75%
000157
183,042,527.51 0.73%
2008
27
601919
118,267,432.63 0.47%
600439
117,038,875.65 0.46%
600031
112,457,625.59 0.45%
601699
94,181,663.57 0.37%
601898
93,713,312.18 0.37%
600075
93,242,670.87 0.37%
000024
85,889,497.85 0.34%
600426
78,556,414.15 0.31%
600489
75,632,586.44 0.30%
600195
74,607,599.24 0.30%
600048
64,454,314.59 0.26%
601166
60,741,901.47 0.24%
000718
59,749,274.60 0.24%
600997
45,734,478.20 0.18%
20 2%
000792
743,335,328.26 2.95%
000651
420,685,565.98 1.67%
600519
398,814,245.51 1.58%
600036
392,689,283.41 1.56%
600596
338,459,152.40 1.34%
600000
323,497,781.60 1.29%
600900
289,213,324.93 1.15%
600331
261,944,792.00 1.04%
601318
236,844,404.24 0.94%
000568
228,772,523.88 0.91%
601628
215,072,473.34 0.85%
600001
201,360,694.01 0.80%
000060
198,061,909.97 0.79%
000878
191,913,377.92 0.76%
000063
186,167,862.22 0.74%
000001
182,347,811.88 0.72%
000717
182,344,920.04 0.72%
600549
152,228,805.46 0.60%
601666
118,976,051.50 0.47%
000937
114,187,879.51 0.45%
2,865,762,662.17
7,440,120,027.88
.
( )
.
1 10
2008
28
2
3
4 . 5,619,387.23 939,086.25 324,926.03 26,253,390.69 33,136,790.20
5 2008 6 30
6
7.
774,089
22,773.40
303,949,185.92
1.72%
17,324,688,680.00
98.28%
57,767.68 0.000328%
14,851,700,203.40
20,758,957,541.55
2008
29
79,312,475.04
3,209,632,150.67
17,628,637,865.92
2008 3 9 2008 1) 2)
2008 6 6 2008 1) ;2)
1) 2008 2 14 ;2) 2008 2 14 ;3) 2008 2 14
2008 1 12
2008
30
2008 1 16 2008 1 15 1 31 33
2008 1 16 2008 1 16
2008 1 18 2008 1 18 2008 7 18
2008 1 22 2008 1 23
2008 1 29 2008 1 29 “ ”,
2008 3 7 2008 3 10 2008 7 18
2008 3 12
2008
31
2008 3 13 2008 3 14
2008 3 17 2008 3 18
2008 3 17 2008 3 18
2008 3 17 2008 3 18 “ ”
2008 3 24 2008 3 24
2008 3 25 2008 3 26
2008
32
2008 3 29 2008 3 31
2008 4 1 2008 4 1 —2009 3 31 ( )
2008 4 8 2008 4 8
2008 4 11 2008 4 11 “ ”
2008 5 6 2008 5 6
2008 5 8
2008
33
2008 5 8 2008 12 31 ( )
2008 5 24 002024 200 200 400 200 200
2008 5 27 2008 5 27 LOF
2008 5 30 2008 5 30 LOF
2008 5 30 2008 5 30
2008 5 30
2008
34
2008 5 30
2008 6 11 2008 6 13
2008 6 13 2008 6 16
2008 6 23
2008 6 25 2008 6 25 2009 5 5 LOF
2008 6 26 2008 6 26
2008
35
1
1
2 1,737,072,125.4917.18%1,476,508.12 17.43%
1 211,050,672.502.09% 179,392.30 2.12%
1 1,055,768,139.7610.44% 929,071.48 10.97%
1 380,814,298.143.77% 309,412.58 3.65%
1 461,176,296.774.56% 374,708.52 4.42%
1
1,384,540,287.79 13.69% 1,176,852.95 13.89%
1
937,027,033.48 9.27% 761,339.66 8.99%
1
1,730,260,351.49 17.11% 1,405,841.21 16.60%
1
912,477,329.59 9.03% 775,608.67 9.16%
1
593,551,696.31 5.87% 482,264.85 5.69%
1
706,223,451.30 6.99% 600,290.05 7.09%
1
-- - -
13
10,109,961,682.62 100.00% 8,471,290.39 100.00%
2
2 -- - -
1 -- - -
1 -- - -
1 -- - -
1 -- - -
1
-- --
1
-- --
1
19,375,937.90 100% - -
1
-- --
1
-- --
1
-- --
1
-- --
13 19,375,937.90 100% - -
3
2008
36
a
b
c
d
e
4
a b c d
2
1.
2.
3.
4.
5.
6.
1 31-33
1 8:30-11:30 13:30-17:00
2 http://www.gffunds.com.cn
2008
37
95105828 020-83936999 services@gffunds.com.cn
OO
