2008
2008
2
2008
3
.............................................................................................................................. 2
...................................................................................................................... 4
.................................................................................. 5
.................................................................................................................. 6
.................................................................................................................. 8
.............................................................................................................. 9
............................................................................................................ 28
........................................................................ 32
.................................................................................................... 32
............................................................................................................ 33
............................................................................................................ 40
2008
4
“ ”
270002
2004 7 26
6,847,021,407.29
65%* 300 +35%*
19 1208
1 31-33
510308
020-89899117
020-89899158
dxj@gffunds.com.cn
55
100032
010-66106912
010-66106904 2008
5
custody@icbc.com.cn
http://www.gffunds.com.cn
:
2008 1 1 —2008 6 30
1
-5,434,822,369.63
2
261,831,384.99
3
-0.8220
4
776,485,859.25
5
0.1134
6
8,492,748,785.26
7
1.2404
8
-44.44%
9
-36.95%
10
273.56%
2004 7 26
1
(1)
(2)
(3)
(4)
(1)-(3) (2)-(4)
1 -15.97% 0.0249 -14.07% 0.0219 -1.90% 0.0030
3 -20.86% 0.0242 -16.52% 0.0213 -4.34% 0.0029
6 -36.95% 0.0231 -29.34% 0.0199 -7.61% 0.0032
-13.73% 0.0202 -14.63% 0.0170 0.9% 0.0032
247.90% 0.0156 151.57% 0.0134 96.33% 0.0022
273.56% 0.0144 111.53% 0.0126 162.03% 0.0018
22008
6
1 65%* 300 +35%*
2 2004 7 23 2008 6 30
[2003]91 2003 8 5 1.2
17
2008 6 30 --- 824.54
4 2004 2 2006 12008
7
2006 1 2006 6 2006 7 2007 2 2007 3 2008 2
9 1999 7 2002 8 2002 8 2008 2 2008 2
2 4 1 1
A B C
-36.95% -42.15% -39.97% -33.92%
0.0231 0.0243 0.0248 0.0212
-29.34% -34.70% -35.20% -36.68%
0.0199 0.0233 0.0232 0.0244
- -7.61% -7.45% -4.77% 2.76%
- 0.0032 0.0010 0.0016 -0.0032
(1) (2) A B C
A 5.2% 65%
2008
8
1.
CPI
A 300 47.7%
2.
36.95% 300
3.
2008
2008 ——2008
9
2008
2008 8 18
2008 6 30
2008-06-30
2007-12-31
701,179,160.67
1,818,267,541.71
1,204,034.08
31,402,504.59
3,351,168.5
2,134,092.72
4(1) 7,771,639,324.06
14,034,208,810.49
5,433,145,811.97
10,257,220,001.75
2,338,493,512.09
3,776,988,808.74
--
--
- 305,104,349.97
--
- 960,973.21
4(2) 34,889,619.97
49,266,494.11
-
-
12,362,850.19
41,591,525.77
--
8,524,626,157.47 16,282,936,292.57
--
--
--
- 1,290,996,045.00
- 183,027,800.712008
10
15,693,124.41
54,445,055.54
11,370,302.17
18,031,978.00
1,895,050.39
3,005,329.65
-
-
4(3)
1,650,985.1
2,176,802.9
--
- 363,187.09
--
4(4)
1,267,910.14
1,354,657.01
31,877,372.21
1,553,400,855.9
4(5)
6,847,021,407.29
6,272,502,573.86
1,645,727,377.97
8,457,032,862.81
8,492,748,785.26
14,729,535,436.67
8,524,626,157.47
16,282,936,292.57
2008 1 1 2008 6 30
2008.1.1 ―2008.6.30
2007.1.1 ―2007.6.30
-5,287,148,251.61 3,358,962,371.80
1
50,564,637.47 25,136,332.40
6 833 166.87 2,957,823.49
43,731,470.60 22,178,508.91
-
-
-
-
2 "-"
355,674,982.02 1,795,766,169.94
4(6) 276,574,161.28 1,743,857,343.71
4(7) 97,618,296.67 -13,067,937.94
-
-
-
-
4(8)
-53,500,833.22
52,204,983.27
34,983,357.29 12,771,780.90
3 "-"
4(9) -5,696,653,754.62 1,530,063,256.39
4 "-"
4(10) 3,265,883.52 7,996,613.07
147,674,118.02 90,264,855.09
1
91,900,091.64 50,382,355.66
2
15,316,681.95 8,397,059.31
3
-
-
4
4(11) 23,346,726.83 22,513,440.38
5
16,884,958.38 8,782,725.40
16,884,958.38 8,782,725.40
6
5(12) 225,659.22 189,274.34
-5,434,822,369.63 3,268,697,516.71
2008
11
2008 1 1 2008 06 30
2008 1 1 -2008 06 30
6,272,502,573.86 8,457,032,862.81 14,729,535,436.67
- -5,434,822,369.63 -5,434,822,369.63
“-”
574,518,833.43 494,771,332.14 1,069,290,165.57
1. 2,202,739,167.28 1,920,915,431.11 4,123,654,598.39
2. -1,628,220,333.85 -1,426,144,098.97 -3,054,364,432.82
- -1,871,254,447.35 -1,871,254,447.35
6,847,021,407.29 1,645,727,377.97 8,492,748,785.26
20 07 1 1 -2007 06 30
5,624,139,619.27 928,499,601.63 6,552,639,220.90
- 3,268,697,516.71 3,268,697,516.71
“-”
-1,072,748,227.26
-167,647,137.80
-1,240,395,365.06
1.
3,650,377,430.59 1,578,354,257.42 5,228,731,688.01
2. -4,723,125,657.85 -1,746,001,395.22 -6,469,127,053.07
-
-770,047,471.86 -770,047,471.86
4,551,391,392.01 3,259,502,508.68 7,810,893,900.69
1
“ ” [2004]78 2004 6 21 2004 7 26 2,297,041,086.19
2004 6 21 2004 7 21 2,297,041,086.19 217,690.82
2008
12
2.
1
[2007]56 2 3
2
1 1 12 31
3
4
5
A.
a
b
c2008
13
d
B.
a
b
c
C.
D.
E.
F.
G.
6
2008
14
7
A.
a
b
B.
a
b
a
b
C.
“ 2 5 ” 2008
15
D.
( )
E.
( )
a
b
c
d
e
f
g
h
i 2008
16
8
9
1.5%
0.25%
10
100%
3 4
2008
17
11
12
1.00
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
18
2008 4 24
2
[2002]128 [2004]78 2004 1 1
3
[2002]128 20% [2005]102 [2005]107 , 2005 6 13 50
4
1
2008-6-30
6,887,720,657.95 5,433,145,811.97 -1,454,574,845.98
2,449,458,770.7 2,338,493,512.09 -110,965,258.61
859,105,215.91 745,629,512.09 -113,475,703.82
1,590,353,554.79 1,592,864,000.00 2,510,445.21
9,337,179,428.65 7,771,639,324.06 -1,565,540,104.59
2
2008-6-30
177,867.93
487.622008
19
40.05
14,739.20
8,013,698.65
806,396.81
10,387,267.76
15,489,121.95
34,889,619.97
3
2008-6-30
4,131.56
14,730.15
610,392.58
433,675.88
39,073.69
121,356.2
134,784.71
33,530.06
242,340.22
15,470.05
1,500.00
1,650,985.10
4
2008-6-30
74,448.64
1,000,000.00
1,000,000.00
193,461.50
39,781.56
149,179.94
4,500.00 2008
20
1,267,910.,14
5
2008-6-30
6,272,502,573.86
2,202,739,167.28
1,628,220,333.85
6,847,021,407.29
6
2008.1.1 ―2008.6.30
3,385,679,103.32
3,109,104,942.04
276,574,161.28
7
2008.1.1 ―2008.6.30
2,476,143,820.08
2,319,157,050.85
59,368,472.56
97,618,296.67
8
A.
2008.1.1 ―2008.6.30
-43,228,246.15
-10,272,587.07
-53,500,833.22
B.
2008.1.1 ―2008.6.302008
21
82,859,150.35
126,087,396.50
-43,228,246.15
C.
2008.1.1 ―2008.6.30
109,928,016.00
120,200,603.07
-10,272,587.07
9
2008.1.1 ―2008.6.30
-5,610,040,831.21
-5,306,381,836.47
-303,658,994.74
-86,612,923.41
-86,612,923.41
-5,696,653,754.62
10
2008.1.1 ―2008.6.30
2,933,069.8
332,813.72
-
3,265,883.52
11
2008.1.1 ―2008.6.30
23,342,476.83
4,250.00
23,346,726.832008
22
12
2008.1.1 ―2008.6.30
149,179.94
39,781.56
13,500.00
23,197.72
225,659.22
13
1 1,871,254,447.35
2008 4 30 770,047,471.86
2008 4 28 10 3.00 2008 4 30 1,871,254,447.35 588,898,053.02 1,282,356,394.33
14
0
5
1
2008
23
2
2008 1 1 6 30
2008 1 1 6 30
1,001,892,638.13 1,928,880.05 -15.94% 0.14% - 814,043.14 15.51%
1,123,831,367.33 527,965,597.7 32,920,019.5817.88% 38.9%39.73% 945,746.35 18.02%
2,125,724,005.46 529,894,477,75 32,920,019.58 33.82% 39.04% 39.73% 1,759,789,.49 33.53%
2008 1 1 6 30 , .
B 2007 1 1 6 30 ,
2007 1 1 6 30 ,
2,213,708,753.36 408,246,738.61 184,179,721.93 23.09% 18.55% 34.48% 1,758,129.68 22.98%
1,609,374,569.35 204,599,250.88 161,991,668.75- 16.78% 9.30% 30.33%- 1,279,744.66 16.72%
3,823,083,322.71 612,845,989.49 346,171,390.68 39.87% 27.85% 64.81% 3,037,874.34 39.70%
2007 1 1 6 30
1,201,000,000.00 9.88%
1,200,000,000.00 9.87%
2,401,000,000.00 19.75%
= * - - -
2008
24
3
A.
1.5 %
H=E×1.5%÷
H
E
91,900,091.64 , 80,529,789.47 , 11,370,302.17 . 07 50,382,355.66
B.
0.25%
H=E×0.25%÷
H
E
15,316,681.95 , 13,421,631.56 , 1,895,050.39 . 07 8,397,059.31
4
2008 6 30 701,179,160.67
6,678,738.98 . 07 6 30 852,464,639.45 07 2,434,229.70
5
2008 1 1 6 30 ,
2007 1 1 6 30 2008
25
6
2008 6 30
2007 6 30
6
1 2008 6 30 :
600383
07-7-4 08-07-4 13.00 9.07 11,540,000
150,020,000.00 104,667,800.00
600087
07-12-20 08-12-20 9.33 7.32 9,000,000
84,000,000.00 65,880,000.00
002024
08-5-22 09-5-22 45.00 41.30 2,000,000
90,000,000.00 82,600,000.00
601899
08-4-18 08-7-25
7.13 7.80 4,115,687
29,344,848.31 32,102,358.60
601958
08-4-11 08-7-17
16.57 17.02 592,752
9,821,900.64 10,088,639.04
002251
08-6-11 08-9-19
26.08 48.55 22,142
577,463.36 1,074,991.10
363,764,212.31 296,413,788.74
7
2008 6 30
8
2008 6 30
9
1
2
2008
26
, , ,
60% 80%
VaR VaR/ (%)
8,492,748,785.26331,813,481 3.91 1.0621 1.0548 0.0231
- 280,977,9073.31 1 1 0.0199
( )
2,338,493,512.09
0.1246 0.1202 0.1860 0.1247
300 ×80%+ ×20%
Va R 95 1 Va R “VaR/ ”
300
3 2008
27
6
(%)
(%)
34.92%
1.7044 50.36 90.03
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
28
10
11
12
13
A
--
B
707,539,001.80 8.33%
C
1,856,553,541.96 21.86%
C 0
32,115,284.98 0.38%
C 1
80,198,171.44 0.94%
C 2
34,348,653.48 0.40%
C 3
--
C 4
--
C 5
18,401,819.04 0.22%
C 6
655,802,458.75 7.72%
C 7
1,005,890,294.38 11.84%
C 8
29,796,859.89 0.35%
C 99
--
D
--
5,433,145,811.97 63.73%
2,338,493,512.09 27.43%
--
702,383,194.75 8.24%
50,603,638.66 0.59%
8,524,626,157.47 100.00% 2008
29
E
--
F
296,205,871.86 3.49%
G
342,366,314.04 4.03%
H
353,363,019.10 4.16%
I
854,162,426.44 10.06%
J
917,357,077.45 10.80%
K
--
L
--
M
105,598,559.32 1.24%
5,433,145,811.97 63.97%
%
601166
17,058,513 434,480,326.11 5.12%
002024
8,500,000 351,050,000.00 4.13%
600048
24,050,000 324,434,500.00 3.82%
601699
8,091,792 311,614,909.92 3.67%
600000
13,608,637 299,390,014.00 3.53%
600585
7,000,000 279,930,000.00 3.30%
600383
30,566,500 277,238,155.00 3.26%
000839
19,400,052 253,558,679.64 2.99%
000960
9,056,019 225,042,072.15 2.65%
600026
10,520,074 209,244,271.86 2.46%
600997
4,051,983 161,998,280.34 1.91%
000002
17,552,213 158,145,439.13 1.86%
000024
10,544,778 157,538,983.32 1.85%
000338
3,569,100 143,834,730.00 1.69%
600031
5,025,935 139,771,252.35 1.65%
600685
5,500,000 138,930,000.00 1.64%
000651
4,425,095 138,505,473.50 1.63%
600582
5,300,000 125,504,000.00 1.48%
600169
4,903,136 109,830,246.40 1.29%
600858
3,589,346 105,598,559.32 1.24%
601666
2,700,000 101,142,000.00 1.19%
600150
1,223,589 92,466,620.73 1.09%
600087
11,880,000 86,961,600.00 1.03%
600022
8,500,000 87,295,000.00 1.03%
600295
4,999,886 80,198,171.44 0.94%
000001
3,799,901 73,452,086.33 0.86%
000063
1,069,858 66,973,110.80 0.79%
000709
5,965,764 63,535,386.60 0.75%
002122
1,300,000 62,400,000.00 0.73%
600188
2,999,880 59,457,621.60 0.70%
000527
4,573,052 54,647,971.40 0.64%
600036
2,000,000 46,840,000.00 0.55%
600978
7,499,706 34,348,653.48 0.40%2008
30
601899
4,115,687 32,102,358.60 0.38%
000937
704,735 31,135,192.30 0.37%
000538
1,099,921 29,796,859.89 0.35%
600406
1,099,976 21,834,523.60 0.26%
002214
1,296,816 18,401,819.04 0.22%
600779
879,931 18,355,360.66 0.22%
600597
1,999,989 13,759,924.32 0.16%
601958
592,752 10,088,639.04 0.12%
002251
47,642 2,313,019.10 0.03%
20 :
(%)
000960
368,987,022.14 2.51%
600026
347,819,412.99 2.36%
000839
336,545,621.36 2.28%
000878
294,360,394.34 2.00%
000822
211,346,401.50 1.43%
600997
185,051,321.41 1.26%
601666
180,371,082.03 1.22%
601088
151,984,496.19 1.03%
601186
146,892,091.99 1.00%
601600
143,438,925.64 0.97%
601699
139,629,528.31 0.95%
600357
127,145,014.06 0.86%
000858
109,928,016.00 0.75%
002024
90,000,000.00 0.61%
000969
84,036,703.12 0.57%
600295
78,807,205.75 0.54%
600978
78,007,864.94 0.53%
600188
73,076,848.21 0.50%
000063
59,281,081.20 0.40%
600585
57,380,000.00 0.39%
20 2% :
(%)
600048
284,539,395.29 1.93%
600005
241,770,769.03 1.64%
000568
219,159,835.05 1.49%
600000
205,784,807.02 1.40%
000822
205,001,825.48 1.39%
600036
196,581,149.56 1.33%
000858
143,022,618.81 0.97%
000717
135,208,809.08 0.92%
000878
129,861,043.62 0.88%
601088
126,313,782.30 0.86%
601186
122,078,091.73 0.83%
600030
118,753,910.97 0.81%
000969
111,596,922.80 0.76% 2008
31
601600
109,215,640.61 0.74%
600761
105,259,402.87 0.71%
600019
97,941,045.16 0.66%
600357
81,915,545.49 0.56%
000402
77,848,733.64 0.53%
600806
77,825,237.95 0.53%
601666
76,273,072.92 0.52%
3,591,412,588.73
3,385,679,103.32
499,750,000.00 5.88%
439,814,000.00 5.18%-
1,153,050,000.00 13.58%
--
--
245,879,512.09 2.90%
--
2,338,493,512.09 27.54%
08 34 6,000,000 576,480,000.00 6.79%
21 5,000,000 499,750,000.00 5.88%
03 06 3,000,000 299,940,000.00 3.53%
08 13 3,000,000 288,300,000.00 3.39%
08 16 3,000,000 288,270,000.00 3.39%
.
1. 10
2.
3.
4. 3,351,168.50 , 34,889,619.97 12,362,850.19 50,603,638.66
5. 2008 6 30 :
125960
74,071,800.00 0.87%
128031
17,076,033.52 0.20% 2008
32
125709
154,731,678.57 1.82%
6
( ) ( )
580019 CWB1 1,327,847 3,075,387.41
- -
7.
577,987
11,846.32
699,233,564.84
10.21%
6,147,787,842.45
89.79%
32,545.31 0.000475%
2,297,041,086.19
6,272,502,573.86
2,202,739,167.28
1,628,220,333.85
6,847,021,407.29
2008
33
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 1 16 2008 1 15 1 31 33
2008 1 162008
34
2008 1 16
2008 1 18 2008 1 18 2008 7 18
2008 1 22 2008 1 23
2008 1 23 2008 1 24
2008 2 15
2008 2 25 ( ) 2008 2 29 2008 3 31
2008 3 7 2008 3 10 2008
35
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 262008
36
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 4 24 10 3.0 2008 4 28 2008 4 30
2008 5 6 2008 5 6 2008
37
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 5 30 2008 5 30 LOF
2008 5 30 2008 5 30
2008 5 30 2008 5 30 2008
38
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
1 2008
39
1
2 1,001,892,638.13 15.94% 814,043.14 15.50%
2 1,123,831,367.33 17.88% 945,746.35 18.01%
2 831,773,356.33 13.23% 675,824.42 12.86%
1 510,210,612.73 8.12% 433,675.88 8.26%
1 1,059,413,873.98 16.85% 900,497.61 17.15%
2 788,742,083.19 12.55% 657,346.94 12.52%
1 645,502,489.58 10.27% 548,676.06 10.45%
1
39,447,118.00 0.63% 33,530.06 0.64%
1
285,107,165.96 4.54% 242,340.22 4.61%
13
6,285,920,705.23 100.00% 5,251,680.68 100.00%
2
2 1,928,880.05 0.14% --
2 527,965,597.70 38.90% --
2 39,729,616.75 2.93% --
1 11,619,484.30 0.86% --
1 560,573,997.80 41.31% 62,600,000.00 13.29%
2 199,928,253.70 14.73% --
1 15,344,789.50 1.13% 408,600,000.00 86.71%
1
- - --
1
- - --
13
1,357,090,619.8 100.00% 471,200,000.00 100.00%
3
2 - -
2 32,920,019.58 39.73%
2 - -
1 - -
1 - -
2 49,939,130.77 60.27%
1 - -
1
- -
1
- -
13
82,859,150.35 100.00%
2
2008
40
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1.
2.
3.
4.
5.
6.
1 31-33
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