2008
2008
2
—— “ ” 2008 8 18
2008
3
.............................................................................................................................................. 2
...................................................................................................................................... 4
.................................................................................................. 5
.................................................................................................................................. 5
.................................................................................................................................. 9
.............................................................................................................................. 9
............................................................................................................................ 28
........................................................................................ 32
.................................................................................................................... 33
............................................................................................................................ 34
............................................................................................................................ 41
2008
4
“ ”
270005
2005 12 23
37,881,739,554.55
80%* A600 +20%*
19 1208
1 31-33
510308
020-89899117
020-89899158
dxj@gffunds.com.cn
2008
5
55
100032
010-66106912
010-66106904
custody@icbc.com.cn
http://www.gffunds.com.cn
2008 1 1 --6 30
1
-16,740,262,196.15
2
-2,797,200,068.69
3
-0.4365
4
5,827,446,355.59
5
0.1538
6
23,053,366,711.37
7
0.6086
8
-51.62%
9
-41.59%
10
267.22%
2005 12 23
1
2008
6
(1)
(2)
(3)
(4)
(1)-(3)
(2)-(4)
1 -17.61% 0.0263 -17.91% 0.0282 0.3% -0.0019
3 -24.54% 0.0273 -21.56% 0.0269 -2.98% 0.0004
6 -41.59% 0.0252 -37.18% 0.0249 -4.41% 0.0003
-12.24 0.0216 -20.74 0.0211 8.50 0.0005
267.22% 0.0193 166.16% 0.0176 101.06% 0.0017
2
1. 80%* A600 +20%*
2. 2005 12 23 2005 12 23 2008 6 30
[2003]91 2003 8 5 1.2
2008
7
17
2008 6 30 --- 824.54
12 1997 1 2002 11 2002 11 2003 11 2003 12 2007 3 2005 5 2005 12 2006 9 2008 4 2008 4 17
2 4 1 1
-41.59% -41.81%
0.0252 0.0281
-37.18% -43.37%
0.0249 0.0342
2008
8
- -4.41% 1.56%
- 0.0003 -0.0061
(1) (2)
1.
2008
5261.56 2736.10 48% 2007
2008 50%
8000 10000 15 2500 2200 1800
2.
2008
9
2008
2008 ——
2008
2008 8 18
2008
10
2008 6 30
: 2008-6-30 2007-12-31
5,214,376,494.55
9,905,897,625.53
9,136,157.55
36,065,236.49
6,896,048.95
2,809,637
4(1)
17,403,290,462.88
30,035,810,562.46
17,403,290,462.88
29,992,966,865.04
- 42,843,697.42
- -
- -
-
300,622,082.93
- -
453,080,940.00
112,518,801.36
4(2)
1,417,084.15
2,675,155.13
6,546,197.28
-
10,917,476.70
70,744,233.07
- - :
23,105,660,862.06 40,467,143,333.97
-
- -
- -
- -
-
302,464,539.84
8,463,089.71
73,116,243.20
31,000,356.76
48,468,486.85
5,166,726.14
8,078,081.13
- - 4(3)
5,921,090.71
14,990,176.45
- -
- -
- - 4(4)
1,742,887.37
1,702,520.32
52,294,150.69 448,820,047.79
4(5)
8,368,169,220.82
8,484,101,982.29
14,685,197,490.55 31,534,221,303.89
23,053,366,711.37 40,018,323,286.18
23,105,660,862.06 40,467,143,333.97
2008 1 1 ――2008 6 30
2008.1.1-2008.6.30
2007.1.1-2007.6.30
2008
11
-16,399,013,023.74
2,098,631,441.30
1
27,658,326.93
1,486,007.01
27,588,729.33
1,486,007.01
6 9 ,5 97 .6 0
-
-
-
-
-
2 "-"
-2,488,559,874.30
1,603,426,309.78
4 6
-2,542,803,485.79
1,566,382,575.11
4 7
9 ,0 7 1, 43 1. 6 8
-
-
-
-
-
4 8
-58,866,676.35
18,441,882.19
104,038,856.16
18,601,852.48
3 "-" 4 9 -13,943,062,127.46
489,704,078.02
4 "-"
4 10
4,950,651.09
4,015,046.49
341,249,172.41
57,902,925.94
1
243,348,089.32
29,271,838.04
2
40,558,014.93
4,878,639.64
3
-
-
4
4 11
57,121,451.03
23,571,190.42
5
-
-
-
-
6
4 12
221,617.13
181,257.84
-16,740,262,196.15
2,040,728,515.36
2008 1 1 2008 6 30
2008
8,484,101,982.29
31,534,221,303.89
40,018,323,286.18
-16,740,262,196.15
-16,740,262,196.15
"-"
-115,932,761.47
-108,761,617.19
-224,694,378.66
1
977,910,167.56
3,072,685,459.51
4,050,595,627.07
2
-1,093,842,929.03
-3,181,447,076.70
-4,275,290,005.73
- - -
8,368,169,220.82
14,685,197,490.55
23,053,366,711.37
2007
1,470,284,026.01 1,696,357,391.23 3,166,641,417.24
2,040,728,515.36
2,040,728,515.36
"-"
156,202,254.57
538,744,587.52
694,946,842.09
1
1,365,327,518.67
2,726,982,699.70
4,092,310,218.37
2008
12
2
-1,209,125,264.10
-2,188,238,112.18
-3,397,363,376.28
-
-556,817,893.50
-556,817,893.50
1,626,486,280.58
3,719,012,600.61
5,345,498,881.19
1
“ ” [2005]180 2005 12 23 [2005]293
2005 11 21 2005 12 21 1,315,856,024.96 15,026 175,370.72 175,370.72 2005 12 23
1,315,856,024.96
2007 9 4 2007 9 11 —— 2007 9 11 1 4.526975258 1.0000 1 4.526975258
2
2008
13
1
[2007]56 2 3
2
1 1 12 31
3
4
5
A.
a
b
c
d
2008
14
B.
a
b
c
C.
D.
E.
F.
G.
6
2008
15
7
A.
a
b
B.
a
b
a
b
C.
“ 2 5 ”
D.
( )
2008
16
E.
( )
a
b
c
d
e
f
g
h
i
8
2008
17
9
1.5%
0.25%
10
100% 3
11 12
1.00
2008
18
13
14
15
16
1.0000
3.
1
2007 5 30 [2005]11 2005 1 24 1‰ 2007 5 30 [2007]84
2007 5 30 3‰ 2008 4 24
2
[2002]128 [2004]78 2004 1 1
3
[2002]128
2008
19
20% [2005]102 [2005]107 , 2005 6 13 50
4
1
2008-6-30
27,643,590,830.89 17,403,290,462.88 -10,240,300,368.01
- - -
- - -
- - -
27,643,590,830.89 17,403,290,462.88 -10,240,300,368.01
2
2008-6-30
1,401,762.14
3,700.17
11,621.84
-
1,417,084.15
3
2008-6-30
757,419.18
-
349,818.27
235,664.50
1,197,061.09
792,464.17
2008
20
1,011,707.14
623,206.19
202,293.66
624,039.59
127,416.92
5,921,090.71
4
2008-6-30
49,296.44
1,500,129.43
1,500,000.00
129.43
193,461.50
39,781.56
149,179.94
4,500.00
1,742,887.37
5
2008.1.1-6.30
8,484,101,982.29
977,910,167.56
1,093,842,929.03
8,368,169,220.82
6
2008.1.1-6.30
7,011,252,248.16
9,554,055,733.95
- 2 , 54 2, 80 3, 4 85 . 79
7
2008.1.1-6.30
2008
21
70,482,750.45
61,331,600.00
79,718.77
9,071,431.68
8
A.
2008.1.1-6.30
-806,262.78
-58,060,413.57
-58,866,676.35
B.
2008.1.1-6.30
66,856,007.54
67,662,270.32
-806,262.78
C.
2008.1.1-6.30
124,478,056.12
182,538,469.69
-58,060,413.57
9
2008.1.1-6.30
-13,892,640,784.54
-13,879,025,687.12
-13,615,097.42
-50,421,342.92
-50,421,342.92
-13,943,062,127.46
10
2008
22
2008.1.1-6.30
4,721,345.56
229,305.53
-
4,950,651.09
11
2008.1.1-6.30
57,121,451.03
-
57,121,451.03
12
2008.1.1-6.30
149,179.94
39,781.56
19,155.63
13,500.00
221,617.13
13
0
5
1
2008
23
2
A.2008 1 1 -2008 6 30
4,632,221,253.78
12,026,375.90
-
- 27.74%
17.06
%-
- 3,943,192.66 27.96%
2,330,118,372.63 28,128,983.00 56207834.44 13.95%
39.91
%
84.07% 1,893,232.86 13.42%
6,962,339,626.41 40,155,358.90 56207834.44 41.69%
56.97
%
84.07% 5,836,425.52 41.38%
2008 1 1 -2008 6 30
B.2007 1 1 -2007 6 30
2,833,005,008.95
-
79,923,156.6527.65% - 35.63% 2,240,182.95 27.10%
2,472,383,010.01 - 93,044,900.2624.13% - 41.48% 2,018,163.46 24.41%
2007 1 1 -2007 6 30
= * - - -
3
A.
1.5 %
H=E×1.5%÷
H
E
2008
24
243,348,089.32 212,347,732.56 31,000,356.76
2007 29,271,838.04
B.
0.25%
H=E×0.25%÷
H
E
40,558,014.93 35,391,288.79 5,166,726.14
2007 4,878,639.64
4
2008 6 30 5,214,376,494.55 27,361,739.31 2007 6 30 328,521,550.20 2007 1,033,243.61
5
2008
2007
6
2008 6 30
2008-6-30
282,114,249.52
0.74%
2008
25
2007 6 30
2007-6-30
59,558,100.60 3.66%
6
1 2008 6 30
600087
2007-12-20 2008-12-20 9.33 7.32 9,000,000.00 84,000,000.00 65,880,000.00
600383
2007-7-4 2008-7-4 13.00 9.07 7,700,000.00100,100,000.00 69,839,000.00
600888
200-1-31 2009-1-29 19.50 11.44 5,000,000.00 97,500,000.00 57,200,000.00
600360
2008-1-7 2009-1-7 8.25 5.13 8,000,000.00 66,000,000.00 41,040,000.00
002024
2008-5-22 2009-5-22 45.00 41.30 4,000,000.00 180,000,000.00 165,200,000.00
002225
2008-4-17 2008-7-25
4.79 6.50 46,153.00 221,072.87 299,994.50
002234
2008-5-8 2008-8-16
10.61 20.24 16,147.00 171,319.67 326,815.28
002251
2008-6-11 2008-9-19
26.08 48.55 22,142.00 577,463.36 1,074,994.10
002252
2008-6-13 2008-9-23
12.81 24.87 27,141.00 347,676.21 674,996.67
002257
2008-6-30 -
21.81 21.81 26,000.00 567,060.00 567,060.00
601899
2008-4-18 2008-7-25
7.13 7.80 5,879,553 41,921,212.89 45,860,513.4
2 2008 6 30
000792
2008-6-26
88.12 - - 7,195,194477,725,543.86 634,040,495.28
7
2008 6 30
8
2008 6 30
2008
26
9.
1
2
, , ,
60% 80%
VaR VaR/ (%)
23,053,366,711.37 962,352,366 4.17
0.9678 1.0276 0.0252
- 950,812,831 4.12
1 1 0.0249
A600 ×80%+ ×20%
Va R 95 1 Va R “VaR/ ”
2008
27
A600
3
6
5
(%)
(%)
35.41%
3.5664 31.07 78.04
5 = / 10 (
) 5 5 10
Cash-cability =
i
i i
MTM
MTM CDay n min * ) 1 , / (
, i i
2008
28
i
CDay i i
MTM i n n 5 20
4
AAA
10
11.
12.
13.
17,403,290,462.88 75.32%
- -
- -
5,223,512,652.10 22.61%
478,857,747.08 2.07%
23,105,660,862.06 100%
2008
29
A
118,651,615.28 0.51%
B
2,742,166,101.21 11.89%
C
5,819,358,159.20 25.25%
C 0
775,364,474.36 3.36%
C 1
40,540,163.04 0.18%
C 2
0.00 0.00%
C 3
159,090,079.50 0.69%
C 4
1,213,959,235.92 5.27%
C 5
147,821,166.21 0.64%
C 6
1,640,250,637.93 7.12%
C 7
1,699,820,334.02 7.37%
C 8
118,849,946.52 0.52%
C 99
23,662,121.70 0.10%
D
- -
E
- -
F
533,792,418.92 2.32%
G
125,393,136.80 0.54%
H
1,275,599,796.55 5.53%
I
4,013,890,898.89 17.41%
J
2,504,039,674.69 10.86%
K
179,951,544.06 0.78%
L
36,449,413.92 0.16%
M
53,997,703.36 0.23%
17,403,290,462.88 75.49%
600000
58,796,666 1,293,526,652.00 5.61%
002024
26,142,857 1,079,699,994.10 4.68%
000002
112,759,315 1,015,961,428.15 4.41%
601166
36,147,690 920,681,664.30 3.99%
601666
20,210,355 757,079,898.30 3.28%
600048
52,539,700 708,760,553.00 3.07%
000792
7,195,194 634,040,495.28 2.75%
600036
26,590,248 622,743,608.16 2.70%
601939
100,546,137 594,227,669.67 2.58%
600519
3,871,930 536,572,059.40 2.33%
600123
18,930,961 478,953,313.30 2.08%
600031
16,047,747 446,287,844.07 1.94%
000709
41,533,278 442,329,410.70 1.92%
000001
20,000,000 386,600,000.00 1.68%
601088
9,767,958 366,982,182.06 1.59%
600456
14,300,000 349,778,000.00 1.52%
600089
21,219,984 317,450,960.64 1.38%
000983
5,807,183 290,359,150.00 1.26%
600585
7,061,406 282,385,625.94 1.22%
2008
30
600325
23,198,090 246,595,696.70 1.07%
601919
12,364,506 244,198,993.50 1.06%
000157
15,978,690 221,304,856.50 0.96%
600383
24,168,470 219,208,022.90 0.95%
000024
14,227,545 212,559,522.30 0.92%
601898
13,106,033 209,434,407.34 0.91%
600169
8,752,275 196,050,960.00 0.85%
600117
18,855,748 194,402,761.88 0.84%
600997
4,795,195 191,711,896.10 0.83%
002128
7,905,403 178,424,945.71 0.77%
601006
11,952,598 162,674,858.78 0.71%
000718
9,641,823 159,090,079.50 0.69%
600150
2,079,793 157,169,957.01 0.68%
600309
8,206,050 153,699,316.50 0.67%
000069
13,902,290 140,552,151.90 0.61%
601699
3,600,000 138,636,000.00 0.60%
600596
2,279,778 137,789,782.32 0.60%
600307
13,906,506 132,529,002.18 0.57%
600779
6,299,836 131,414,578.96 0.57%
600685
5,174,757 130,714,361.82 0.57%
600087
17,338,602 126,918,566.64 0.55%
600075
11,880,000 118,324,800.00 0.51%
002018
4,298,499 116,919,172.80 0.51%
002122
2,425,548 116,426,304.00 0.51%
600195
7,405,368 107,377,836.00 0.47%
601328
14,098,829 105,459,240.92 0.46%
600694
2,556,224 87,678,483.20 0.38%
600271
3,140,000 83,838,000.00 0.36%
002092
6,879,562 82,623,539.62 0.36%
600022
8,000,000 82,160,000.00 0.36%
002008
7,041,477 79,779,934.41 0.35%
000028
4,846,050 79,232,917.50 0.34%
000667
14,903,230 72,131,633.20 0.31%
600360
13,152,860 67,474,171.80 0.29%
600432
2,945,699 65,600,716.73 0.28%
600888
5,000,000 57,200,000.00 0.25%
600858
1,835,408 53,997,703.36 0.23%
601628
2,089,802 49,988,063.84 0.22%
601899
5,879,553 45,860,513.40 0.20%
600348
1,000,000 45,110,000.00 0.20%
600030
1,700,000 40,664,000.00 0.18%
002202
1,000,000 40,030,000.00 0.17%
002183
1,752,642 39,399,392.16 0.17%
600188
1,970,000 39,045,400.00 0.17%
600037
2,773,928 36,449,413.92 0.16%
002153
517,524 35,295,136.80 0.15%
600328
3,507,478 32,935,218.42 0.14%
2008
31
002068
3,788,463 31,292,704.38 0.14%
600761
2,349,700 30,146,651.00 0.13%
600641
3,309,164 28,822,818.44 0.13%
002177
1,933,582 25,426,603.30 0.11%
002029
1,500,000 24,585,000.00 0.11%
000422
1,404,260 24,097,101.60 0.10%
600085
1,193,844 23,769,434.04 0.10%
002017
3,429,293 23,662,121.70 0.10%
600511
857,610 23,241,231.00 0.10%
600531
1,600,000 21,904,000.00 0.10%
600327
1,660,652 17,021,683.00 0.07%
002152
573,872 16,607,855.68 0.07%
000712
2,402,886 15,955,163.04 0.07%
600280
1,201,478 15,631,228.78 0.07%
600535
1,298,739 14,662,763.31 0.06%
600660
1,842,200 11,661,126.00 0.05%
600729
611,090 11,610,710.00 0.05%
000417
1,448,799 11,242,680.24 0.05%
600697
560,384 10,406,330.88 0.05%
600361
490,681 8,856,792.05 0.04%
000987
295,594 7,921,919.20 0.03%
000063
100,000 6,260,000.00 0.03%
002251
47,142 2,288,744.10 0.01%
002242
54,500 2,203,980.00 0.01%
002252
47,641 1,184,831.67 0.01%
600971
22,290 568,395.00 0.00%
002257
26,000 567,060.00 0.00%
002254
20,500 561,905.00 0.00%
002234
16,147 326,815.28 0.00%
002225
46,153 299,994.50 0.00%
20
(%)
000002
949,988,111.88 2.37
601166
691,388,791.23 1.73
601919
541,289,323.45 1.35
600048
507,367,252.17 1.27
002024
405,365,853.17 1.01
601898
296,192,690.04 0.74
000878
296,021,921.74 0.74
600031
292,024,867.54 0.73
600123
274,052,521.73 0.68
600325
252,635,921.33 0.63
600362
238,727,965.90 0.60
2008
32
600000
232,509,721.80 0.58
600019
219,083,355.80 0.55
000960
203,839,417.25 0.51
000046
182,954,721.49 0.46
600456
180,334,176.09 0.45
600005
178,719,516.59 0.45
000667
176,085,453.06 0.44
000157
170,173,147.14 0.43
000792
165,683,874.81 0.41
20
(%)
600019
475,543,910.56 1.19
601857
421,156,527.91 1.05
600900
363,504,635.56 0.91
601318
298,294,389.18 0.75
000063
277,666,450.90 0.69
600362
270,062,130.50 0.67
000060
261,411,514.34 0.65
000755
214,175,986.69 0.54
600875
205,421,895.90 0.51
000878
193,674,465.86 0.48
600331
185,494,920.24 0.46
000858
183,803,044.61 0.46
600357
149,809,254.76 0.37
600219
144,553,996.64 0.36
600005
142,061,549.59 0.35
000792
122,078,902.00 0.31
600886
113,427,939.62 0.28
000960
105,546,708.93 0.26
601601
99,811,966.36 0.25
000089
94,748,013.32 0.24
10,843,405,018.91
7,011,252,248.16
1 10
2
3
4 6,896,048.95 ,
2008
33
1,417,084.15 453,080,940.00 10,917,476.70 6,546,197.28 478,857,747.08
5
6
7
3,220,736
11,761.83
1,195,441,365.60
3.16%
36,686,298,188.95
96.84%
128,508.32 0.000339%
1,315,856,024.96
38,406,547,831.83
4,426,876,919.30
4,951,685,196.58
37,881,739,554.55
2008
34
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 11 LOF 600360 300 400 300
2008 1 12
2008 1 16
2008
35
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 2 25 ( )
2008 2 29 2008 3 31
2008 3 7 2008 3 10
2008
36
2008 3 12
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
37
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 5 8 2008 12 31 ( )
2008
38
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 5 30
2008 6 11 2008 6 13
2008
39
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
1
1
2
4,632,221,253.78 27.74% 3,943,192.66 27.96%
1
2,421,252,419.68 14.50% 1,967,294.65 13.95%
2
2,330,118,372.63 13.95% 1,893,232.86 13.42%
2008
40
1
1,408,316,763.41 8.43% 1,197,061.09 8.49%
1
1,387,830,478.16 8.31% 1,179,646.93 8.36%
1
1,361,937,939.02 8.16% 1,157,653.65 8.21%
1
962,133,113.69 5.76% 945,188.28 6.70%
1
898,233,938.45 5.38% 763,494.63 5.41%
1
768,041,413.69 4.60% 624,039.59 4.42%
1
290,046,185.01 1.74% 235,664.50 1.67%
1
149,905,559.17 0.90% 127,416.92 0.90%
1
88,053,353.11 0.53% 71,543.15 0.51%
16,698,090,789.80 100.00% 14,105,428.91 100.00%
2
2
12,026,375.90 17.06% - -
1
1,827,088.78 2.59% - -
2
28,128,983.00 39.91% - -
1
-- - -
1
-- - -
1
-- - -
1
28,500,211.40 40.44% - -
1
-- - -
1
-- - -
1
-- - -
1
-- - -
1
- --
70,482,659.08
100.00%
- -
3
2 - -
1 10,648,173.10 15.93%
2 56,207,834.44 84.07%
1 - -
1 - -
1 - -
1 - -
1 - -
1 - -
2008
41
1 - -
1 - -
1 - -
66,856,007.54 100%
4
a
b
c
d
e
5
a b c d
2
1.
2.
3.
4.
5.
6.
1 31-33
1. 8:30-11:30 13:30-17:00
2008
42
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