2008
2008
2
—— “ ” 2008 8 18
2008
3
..............................................................................................................................................2
......................................................................................................................................4
..................................................................................................5
..................................................................................................................................6
..................................................................................................................................9
............................................................................................................................10
............................................................................................................................24
........................................................................................26
....................................................................................................................27
............................................................................................................................27
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
55
2008
5
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
(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
2008
6
-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
17
2008
7
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
- -4.41% 1.56%
- 0.0003 -0.0061
(1) (2)
2008
8
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
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
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
- -
5,921,090.71
14,990,176.45
- -
- -
- -
1,742,887.37
1,702,520.32
52,294,150.69 448,820,047.79
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
11
2008 1 1 ――2008 6 30
2008.1.1-2008.6.30
2007.1.1-2007.6.30
-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
-2,542,803,485.79
1,566,382,575.11
9 ,0 7 1, 43 1. 6 8
-
-
-
-
-
-58,866,676.35
18,441,882.19
104,038,856.16
18,601,852.48
3 "-"
-13,943,062,127.46
489,704,078.02
4 "-"
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
57,121,451.03
23,571,190.42
5
-
-
-
-
6
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
538,744,587.52
694,946,842.09
2008
12
"-"
156,202,254.57
1
1,365,327,518.67
2,726,982,699.70
4,092,310,218.37
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
1
[2007]56 2 3
2
1 1 12 31
3
4
5
A.
a
b
2008
13
c
d
B.
a
b
c
C.
D.
E.
F.
G.
6
2008
14
7
A.
a
b
B.
a
b
2008
15
a
b
C.
“ 2 5 ”
D.
( )
E.
( )
a
b
c
d
e
f
2008
16
g
h
i
8
9
1.5%
0.25%
10
100% 3
2008
17
11
12
1.00
13
14
15
16
1.0000
2.
1
2007 5 30 [2005]11 2005 1 24 1‰ 2007 5 30 [2007]84
2007 5 30 3‰
2008
18
2008 4 24
2
[2002]128 [2004]78 2004 1 1
3
[2002]128 20% [2005]102 [2005]107 , 2005 6 13 50
3
4
1
2
2008
19
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
-
79,923,156.65
27.65% - 35.63%
2,240,182.95
27.10%
2,472,383,010.01
-
93,044,900.26
24.13% - 41.48%
2,018,163.46
24.41%
2007 1 1 -2007 6 30
= * - - -
3
A.
1.5 %
H=E×1.5%÷
H
E
243,348,089.32 212,347,732.56 31,000,356.76
2008
20
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 2006 1,033,243.61
5
2008
2007
6
2008 6 30
2008-6-30
282,114,249.52
0.74%
2007 6 30
2007-6-30
2008
21
59,558,100.60 3.66%
5
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
6.
1
2008
22
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/ ”
A600
3
2008
23
5
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 i
CDay i i
MTM i n n 5 20
4
AAA
2008
24
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%
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
25
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%
www.gffunds.com.cn
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
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
2008
26
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 , 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
2008
27
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 3 9 2008 1) 2)
2008 6 6 2008 1) ;2)
2008
28
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 1 15 1 31 33
2008 1 16 2008 1 16
2008 1 18 2008 1 18 2008 7 18
2008 1 22
2008
29
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 3 12
2008 3 13 2008 3 14
2008 3 17
2008
30
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 3 29 2008 3 31
2008 4 1 2008 4 1 —2009 3 31 ( )
2008 4 8 2008 4 8
2008
31
2008 4 11 2008 4 11 “ ”
2008 5 6 2008 5 6
2008 5 8 2008 5 8 2008 12 31 ( )
2008 5 24 002024 200 200 400 200 200
2008 5 27 2008 5 27 LOF
2008
32
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 6 13 2008 6 16
2008 6 23
2008 6 25 2008 6 25 2009 5 5 LOF
2008
33
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%
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% - -
2008
34
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 - -
1 - -
1 - -
1 - -
66,856,007.54 100%
4
a
b
c
d
e
5
2008
35
a b c d
2
