2008
2008 8 25
350001
2004 6 29
480,762,485.58
, VaR
ValueatRisk , 300 ×40%+ ×60%
83 501-503
159
200031
021-64371155
021-64713618
zhanglh@chinanature.com.cn
500
12
200120
021-61618888 021-63602540
zhouqz@spdb.com.cn
www.chinanature.com.cn
159
2008 1 1 2008 6 30
-148,813,225.84
-121,563,513.50
-0.3002
-142,247,514.57
-0.2959
338,514,971.01
0.7041
-35.12%
-29.83%
123.44%
1
1
2
3
4
1 -
3
2 -
4
-9.44% 1.27% -13.84% 2.02% 4.40% -0.75% -13.56% 1.52% -16.56% 2.05% 3.00% -0.53%
-29.83% 1.61% -32.93% 2.01% 3.10% -0.40%
-15.43% 1.43% -14.97% 1.76% -0.46% -0.33%
139.51% 1.32% 74.11% 1.24% 65.40% 0.08%
123.44% 1.18% 72.48% 1.11% 50.96% 0.07%
2
: 0-70% 20%-100% 2004 6 29 17
1 -- 2003 5 1.3 6000 46.16% 5000 38.46% 2000 15.38% — LOF 2005 1 12 2006 1 20 2006 7 5 2008 5 8
2 ZealandPublicTrust 2003 3 2008 7 1 , 2003 1 2008 7 1
1
2
3
2008 4 PPI “ ” 50% 2008 -29.83%
2008
“ ”
2008
2008
( : )
2008 6 30 2007 12 31
1 48,470,955.72 15,610,719.49
433,485.01 3,344,697.03
2,618,083.87 2,311,171.88
2 284,495,220.20 469,497,074.27
:
93,482,528.90 223,245,148.89
191,012,691.30 246,251,925.38
0.00 219,801.25
0.00 0.00
979,541.96 17,936,019.29
35,100.00 0.00
3 3,488,144.89 3,184,459.64
11,891.12 377,516.97
0.00 0.00
340,532,422.77 512,481,459.82
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 5,853,076.85
286,352.42 3,763,311.70
434,252.50 627,644.26
72,375.40 104,607.35
0.00 0.00
4 516,343.57 1,125,017.03
0.00 15,934.80
0.00 0.00
0.00 0.00
5 708,127.87 650,498.03
2,017,451.76 12,140,090.02
6 480,762,485.58 498,634,657.38
7 -142,247,514.57 1,706,712.42
338,514,971.01 500,341,369.80
340,532,422.77 512,481,459.82
( : )
2008 2007
-135,316,277.87 52,452,514.14
1.
2,736,032.18 684,598.16
:
262,422.77 104,529.50
2,473,609.41 580,068.66
0.00 0.00
2.
-110,909,579.80 62,274,313.71
: 8 -108,849,199.48
59,229,354.39
9 -2,940,733.20 2,580,643.12
0.00 0.00
10 47,680.80 0.00
832,672.08 464,316.20
3. 11 -27,249,712.34 -10,768,846.97
4. 12 106,982.09 262,449.24
13,496,947.97 4,575,070.21
1
3,169,258.67 1,178,841.58
2
528,209.77 196,473.54
3.
0.00 0.00
4. 13 9,423,328.83 3,006,472.08
5.
227,209.00 49,023.71
:
227,209.00 49,023.71
6.
0.00 0.00
7. 14 148,941.70 144,259.30
-148,813,225.84 47,877,443.93
( : )
2008
498,634,657.38 1,706,712.42 500,341,369.80
0.00
-148,813,225.8
4
-148,813,225.84
-17,872,171.80 4,858,998.85 -13,013,172.95
1. 62,415,223.25 -2,010,229.36 60,404,993.89
2. -80,287,395.05 6,869,228.21 -73,418,166.840.00 0.00 0.00
480,762,485.58
-142,247,514.5
7
338,514,971.01
2007
37,562,300.05 25,462,813.94 63,025,113.99
0.00 47,877,443.93 47,877,443.93
79,435,390.09 22,654,492.57 102,089,882.66
1. 224,757,335.49 56,983,702.61 281,741,038.10
2.
-145,321,945.4
0
-34,329,210.04 -179,651,155.44
0.00 -53,361,075.13 -53,361,075.13
116,997,690.14 42,633,675.31 159,631,365.45
1
2004 70 2004 5 25 6 25 2004 6 29 952,004,756.57
951,828,301.88 176,454.69
2
2.1
2006 < > 3 3
[2006]23 < > 2007 7 1 2006 38 —— 2.12
2008 6 30 2008
2.2
1 1 12 31 2008 1 1 2008 6 30
2.3
2.4
1
A.
B. 4
2
3
4
( )
5
2.5
1
2
A.
B. 2007 7 1 2007 7 1
C.
[2006]37 2006 11 13 2006 11 13
a. b.
3
4
5 2007 7 1 2007 7 1
6
7
8 2007 7 1 2007 7 1
9 (3) (4) (6)
10
11
2.6
1
2007 7 1 2007 7 1
2
2007 7 1 2007 7 1 2007 7 1 2007 7 1
2007 7 1 2007 7 1
3
2007 7 1 2007 7 1
4
(2) (3)
5
2007 7 1 2007 7 1
2.7
1
2
3
4 2007 7 1 2007 7 1
5
6
2007 7 1 2007 7
1
7
8 9
10
2.8
1 1.50%
2 0.25%
3 2007 7 1 2007 7 1
4 2007 7 1
2007 7 1
2.9
2.10
/( )
2007 7 1 “ /( )” “ /( )” 2007 7 1 “ ” “ /( )”
2.11
90%
4 3 4 2%
2.12
2.1 2007 7 1
1
A.
B.
2
1 2.5 2.10
3
4
1
[2005]11 2005 1 24 1‰ [2007]84 2007 5 30 1‰ 3‰
‰ ‰ ‰
[2005]103 2
[2004]78 2004 1
1
[2005]103
3
[2002]128 20%
[2005]107 2005 6 13 [2005]102
50%
[2005]103
5
5.1
5.2
5.2.1
5.2.2
1.5%
H E×1.5%÷
H
E
3,169,258.67 5 2008
6 30 2,735,006.17 434,252.50 2007 1 1 2007 6 30 1,178,841.58
5.2.3
0.25%
H E×0.25%÷
H
E
528,209.77 , 5 , 2008 6 30 455,834.37 , 72,375.40 2007 1 1 2007 6 30 196,473.54 ,
5.2.4 2007 2008
5.2.52007 2008 5.2.6
:
2008 6 30 2007 6 30
48,470,955.72 5,879,614.09
:
2008 2007
225,870.83 83,079.20
6
1
48,470,955.72
2
2008-06-30
101,985,172.17 93,482,528.90 -8,502,643.27
191,973,729.54 191,012,691.30 -961,038.24
191,973,729.54 191,012,691.30 -961,038.24
3
( )
16,401.11
175.50
3,471,029.63
538.65
3,488,144.89 4
( )
332,686.55
183,657.02
516,343.57
5
( )
17,892.17
515,934.80
174,300.90
708,127.87
6
( )
498,634,657.38
62,415,223.25
-80,287,395.05
480,762,485.58
7
2008 1 1 -2008 6 30
1,706,712.42
-148,813,225.84
-121,563,513.50
-27,249,712.34
- -10,745,465.38
-2,971,460.49
-7,774,004.89
- 1,866,007.81
961,231.13
904,776.68
0.00
-142,247,514.57
8
2008 1 1 -2008 6 30
1,246,291,246.89
1,355,140,446.37
-108,849,199.48
9
2008 1 1 -2008 6 30
309,232,482.10
: 30,327,000.00
1,401,186.02
306,875,692.92
: 29,454,220.00
2,302,625.63
5,297,522.38
: 885,000.00
17,594.52
-2,940,733.20
10
2008 1 1 -2008 6 30
444,254.81
396,574.01
47,680.80
11
2008 1 1 -2008 6 30
-27,222,991.98
—— -25,469,680.37
—— -1,753,311.61
—— 0.00
-26,720.36
—— -26,720.36
0.00
-27,249,712.34
12
2008 1 1 -2008 6 30
104,825.69
2,156.40
106,982.09
13
2008 1 1 -2008 6 30
9,423,178.83
150.00
9,423,328.83
14
2008 1 1 -2008 6 30
104,335.14
39,781.56
325.00
4,500.00
148,941.70
15
7
1
a.
b.
( / / )
600655
2008/2/25
32.44
2008/07/
28
29.20
400,0
00
12,864,142.7
1
12,976,000.0
0
000792
2008/6/26
88.12
105,4
00
9,171,367.4
4
9,287,848.0
0
505,4
00
22,035,510.1
5
22,263,848.0
0
2
3 8
1
2
10% 10%
3
7
4
(a)
0%-70% 20%-100% 2008 6 30
2008 6 30 2007 12 31
-
93,482,528.90 27.62% 223,245,148.89 44.62%
-
191,012,691.30 56.43% 246,251,925.38 49.22%
-
0.00 0.00% 219,801.25 0.04%
284,495,220.20 84.04% 469,716,875.52 93.88%
2008 6 30 /
%
300 *40%+ *60% +5.00 12,086.47
300 *40%+ *60% -5.00 -12,086.47
2007 12 31 /
%
300 *40%+ *60% +5.00 24,037.97
300 *40%+ *60% -5.00 -24,037.97
(b)
2008 6 30 1 1 5 5
48,470,955.72 - - - 48,470,955.72
433,485.01 - - - 433,485.01
1,330,000.00 - - 1,288,083.87 2,618,083.87
65,967,000.00 115,036,996.30 10,008,695.00 93,482,528.90 284,495,220.20
- - - 979,541.96 979,541.96
- - - 3,488,144.89 3,488,144.89
35,100.00 35,100.00
- - - 11,891.12 11,891.12
116,201,440.73 115,036,996.30 10,008,695.00 99,285,290.74 340,532,422.77
- - - - -
- - - 286,352.42 286,352.42
- - - 434,252.50 434,252.50
- - - 72,375.40 72,375.40
- - - 516,343.57 516,343.57
- - - 708,127.87 708,127.87
- - - 2,017,451.76 2,017,451.76
116,201,440.73 115,036,996.30 10,008,695.00 97,267,838.98 338,514,971.01
2007 12 31 1 1 5 5
15,610,719.49 - - - 15,610,719.49
3,344,697.03 - - - 3,344,697.03
1,330,000.00 - - 981,171.88 2,311,171.88
94,942,305.60 146,205,623.78 5,103,996.00 223,245,148.89 469,497,074.27
- - - 219,801.25 219,801.25
- - - 17,936,019.29 17,936,019.29
- - - 3,184,459.64 3,184,459.64
- - - 377,516.97 377,516.97
115,227,722.12 146,205,623.78 5,103,996.00 245,944,117.92 512,481,459.82
- - - 5,853,076.85 5,853,076.85
- - - 3,763,311.70 3,763,311.70
- - - 627,644.26 627,644.26
- - - 104,607.35 104,607.35
- - - 1,125,017.03 1,125,017.03
15,934.80 15,934.80
- - - 650,498.03 650,498.03
- - - 12,140,090.02 12,140,090.02
115,227,722.12 146,205,623.78 5,103,996.00 233,804,027.90 500,341,369.80
/
2008 6 30
+25 -1,243.55
-25 1,243.55
/
2007 12 31
+25 -956.33
-25
956.33
(c)
9 :
2007
2007
2007
63,025,113.99 58,646,290.90 159,631,365.45
- -10,768,846.97 -
63,025,113.99 47,877,443.93 159,631,365.45
10
11
( )
93,482,528.90 27.45%
191,012,691.30 56.09%
0.00 0.00%
0.00 0.00%
48,904,440.73 14.36%
7,132,761.84 2.09%
340,532,422.77 100.00%
( )
A
11,733,554.70 3.47%
B
18,145,437.50 5.36%
C
28,433,585.10 8.40%
C0
6,756,037.10 2.00%
C1
0.00 0.00%
C2
0.00 0.00%
C3
0.00 0.00%
C4
15,407,648.00 4.55%
C5
2,605,900.00
0.77%
C6
3,664,000.00 1.08%
C7
0.00 0.00%
C8
0.00 0.00%
C99
0.00 0.00%
D
0.00 0.00%
E
0.00 0.00%
F
0.00 0.00%
G
3,750,992.00 1.11%
H
19,088,559.60 5.64%
I
7,014,400.00 2.07%
J
5,316,000.00 1.57%
K
0.00 0.00%
L
0.00 0.00%
M
0.00 0.00%
93,482,528.90 27.62%
1 600655
400,000.00 12,976,000.00 3.83%
2 600251
169,830.00 11,733,554.70 3.47%
3 000792
105,400.00 9,287,848.00 2.74%
4 600997
170,000.00 6,796,600.00 2.01%
5 000895
181,127.00 6,756,037.10 2.00%
6 000983
100,000.00 5,000,000.00 1.48%
7 000063
59,920.00 3,750,992.00 1.11%
8 601939
600,000.00 3,546,000.00 1.05%
9 600028
330,250.00 3,352,037.50 0.99%
10 002024
80,000.00 3,304,000.00 0.98%
11 600426
140,000.00 3,103,800.00 0.92%
12 600352
200,000.00 3,016,000.00 0.89%
13 601666
80,000.00 2,996,800.00 0.89% 14 000987
104,797.00 2,808,559.60 0.83%
15 000002
300,000.00 2,703,000.00 0.80%
16 600641
300,000.00 2,613,000.00 0.77%
17 002008
230,000.00 2,605,900.00 0.77%
18 600005
200,000.00 1,952,000.00 0.58%
19 601628
80,000.00 1,913,600.00 0.57%
20 002080
100,000.00 1,712,000.00 0.51%
21 600030
65,000.00 1,554,800.00 0.46%
1 2%
1 000001
57,217,008.42 11.44%
2 600005
37,710,172.84 7.54%
3 000002
27,369,054.68 5.47%
4 600030
26,528,671.56 5.30%
5 600036
25,754,825.25 5.15%
6 600997
24,962,770.03 4.99%
7 600028
24,627,434.10 4.92%
8 601088
23,113,677.09 4.62%
9 000983
22,923,190.36 4.58%
10 601318
21,595,189.78 4.32%
11 600547
21,595,075.60 4.32%
12 000858
21,024,941.95 4.20%
13 000969
20,763,333.76 4.15%
14 000707
18,585,470.73 3.71%
15 000581
17,827,083.10 3.56%
16 600048
17,723,121.25 3.54%
17 000422
17,353,503.56 3.47%
18 000792
17,249,865.64 3.45%
19 600426
15,850,886.18 3.17%
20 600029
15,461,896.11 3.09%
21 000895
15,184,127.54 3.03%
22 600600
14,768,278.03 2.95%
23 002074
14,585,892.10 2.92%
24 000898
14,442,465.99 2.89%
25 000831
14,334,442.54 2.86%
26 000401
14,135,441.80 2.83%
27 000680
14,127,152.48 2.82% 28 600100
14,077,931.81 2.81%
29 600879
13,621,585.13 2.72%
30 601666
13,428,230.64 2.68%
31 600282
13,268,139.74 2.65%
32 000159
13,106,823.28 2.62%
33 600655
12,864,142.71 2.57%
34 600019
12,814,435.11 2.56%
35 601169
12,161,586.23 2.43%
36 601601
12,089,157.42 2.42%
37 600325
12,071,247.66 2.41%
38 000677
12,067,955.03 2.41%
39 600856
11,995,361.54 2.40%
40 000878
11,886,371.68 2.38%
41 600690
11,515,458.80 2.30%
42 000755
11,479,430.52 2.29%
43 000157
11,324,728.10 2.26%
44 000612
11,243,379.83 2.25%
45 600616
11,229,680.78 2.24%
46 600641
11,201,562.48 2.24%
47 000917
11,139,772.97 2.23%
48 601186
11,071,247.16 2.21%
49 601166
11,014,074.13 2.20%
50 600251
10,948,698.87 2.19%
51 002018
10,672,301.75 2.13%
52 600266
10,616,568.66 2.12%
53 600685
10,514,926.49 2.10%
54 600832
10,354,176.70 2.07%
55 600895
10,169,092.17 2.03%
56 000932
10,168,696.97 2.03%
57 600739
10,166,244.68 2.03%
58 000800
10,126,490.75 2.02%
2 2%
1 000001
50,977,760.21 10.19%
2 600005
37,683,438.28 7.53%
3 600036
35,138,602.02 7.02%
4 000858
32,172,361.60 6.43%
5 600030
29,071,118.30 5.81%
6 000002
27,571,438.14 5.51%
7 601088
25,762,237.75 5.15% 8 600547
24,250,511.40 4.85%
9 601318
22,024,030.21 4.40%
10 000422
20,549,040.48 4.11%
11 000969
20,093,594.38 4.02%
12 600028
19,896,468.99 3.98%
13 600019
19,464,759.89 3.89%
14 000983
18,960,593.24 3.79%
15 600104
18,826,662.74 3.76%
16 000680
18,084,858.18 3.61%
17 600266
17,894,191.59 3.58%
18 600997
17,308,202.66 3.46%
19 000707
15,769,440.92 3.15%
20 600048
14,578,170.61 2.91%
21 000581
14,355,298.58 2.87%
22 600600
14,261,919.66 2.85%
23 600690
13,757,497.20 2.75%
24 000898
13,440,351.82 2.69%
25 000159
13,150,965.99 2.63%
26 600685
12,688,839.60 2.54%
27 601390
12,343,422.63 2.47%
28 600426
12,313,558.59 2.46%
29 600282
11,887,057.44 2.38%
30 002074
11,857,124.32 2.37%
31 000831
11,578,430.05 2.31%
32 002018
11,532,819.19 2.30%
33 600029
11,488,193.06 2.30%
34 600879
11,147,743.64 2.23%
35 000677
11,114,511.34 2.22%
36 600856
11,106,546.88 2.22%
37 601601
11,089,980.64 2.22%
38 000800
10,958,073.36 2.19%
39 601186
10,886,257.00 2.18%
40 601666
10,788,107.65 2.16%
41 601166
10,699,728.98 2.14%
42 601169
10,682,555.13 2.14%
43 000755
10,246,007.10 2.05%
44 000157
10,208,676.70 2.04%
45 000878
10,159,457.93 2.03%
3 1,250,847,506.75 , 1,246,291,246.89
191,012,691.30 56.43%
191,012,691.30 56.43%
21 65,967,000.00 19.49%
99 (8) 41,911,769.10 12.38%
20 (4) 28,551,194.20 8.43%
21 (10) 19,232,000.00 5.68%
02 (10) 15,692,033.00 4.64%
1
2
3
2,618,083.87
35,100.00
3,488,144.89
979,541.96
11,891.12
7,132,761.84
4
5
CWB1 580019
21,715 61,750.49
CWB1 580019
61,206 141,742.63
1
20128
23,885.26
46,352,450.21 9.64%
434,410,035.37 90.36%
2
0.00 0.00
( )
952,004,756.57
498,634,657.38
62,415,223.25
80,287,395.05
480,762,485.58
2008 7 1
1
1 914,135,530.08 36.66% 777,009.36 39.79%
1 651,764,336.94 26.14% 399,209.91 20.44%
1 412,019,065.61 16.52% 350,214.56 17.93%
1 321,580,186.52 12.90% 261,287.39 13.38%
1 194,138,355.63 7.79% 165,015.52 8.45%
5 2,493,637,474.78 100.00% 1,952,736.74 100.00%
:
2
( )
( )
273,318,708.50 53.97% 75,000,000.00 35.71% 444,254.81 100.00%
116,678,472.30 23.04% 75,000,000.00 35.71% 0.00 0.00%
114,846,464.50 22.68% 60,000,000.00 28.57% 0.00 0.00%
1,604,199.00 0.32% 0.00 0.00 0.00 0.00%
506,447,844.30 100.00% 210,000,000.00 100.00% 444,254.81 100.00%
3
1 2008 1 18 2007 4
2 2008 1 23
3 2008 2 13 400-886-4800 4 2008 2 14 2008 2
5 2008 2 23
6 2008 2 29
7 2008 3 27
8 2008 3 28 2007
9 2008 3 31
10 2008 6 3
11 2008 6 6
12 2008 6 12
13 2008 6 13
14 2008 6 18
1
2
3 4
5
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1 8:30-11:30,13:00-17:00
2 www.chinanature.com.cn
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