2008
2008
2008
2008 8 25
2008 1 1 2008 6 30
1
2008
1
2 ETF
3 510880 510881
4
5 2006 11 17
6 1,696,675,703
7
8
9 2007 1 18
1
2
3
4
1
2 88 40 3 88 40 4 200121
5 http://www.aig-huatai.com
6
7
8 021-3860 1777
9 021-5047 8668
10 cs4008880001@aig-huatai.com
1
2
2008
2 7088
3 7088
4 518040
5 http://www.cmbchina.com
6
7
8 0755-8319 5226
9 0755-8319 5201
10 jiangran@cmbchina.com
1
2 http://www.aig-huatai.com
3 88 40
1
2 27 22-23
2008
1
-3,827,717,985.80
2
-1,496,116,807.11
3
-2.3242
4
1,308,567,465.70
5
0.7713
6
3,897,808,702.58
7
2.297
8
-66.50%
9
-50.49%
10
50.50%
1
3
2008
-25.86% 3.64% -26.78% 3.70% 0.92% -0.06%
-26.66% 3.60% -27.89% 3.62% 1.23% -0.02%
-50.49% 3.37% -51.15% 3.38% 0.66% -0.01%
-27.65% 2.96% -28.15% 2.97% 0.50% -0.01%
10.70% 2.94% 9.75% 2.96% 0.95% -0.02%
50.50% 2.86% 70.62% 2.90% -20.12% -0.04%
2
ETF
----
2006/11/17-2008/06/30
0.00%
40.00%
80.00%
120.00%
160.00%
200.00%
240.00%
280.00%
320.00%
06-11-16
06-12-10
07-1-3
07-1-27
07-2-20
07-3-16
07-4-9
07-5-3
07-5-27
07-6-20
07-7-14
07-8-7
07-8-31
07-9-24
07-10-18
07-11-11
07-12-5
07-12-29
08-1-22
08-2-15
08-3-10
08-4-3
08-4-27
08-5-21
08-6-14
ETF
---- 4
2008
2007/01/10-2008/06/30
-20.00%
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
07-1-10
07-2-6
07-3-5
07-4-1
07-4-28
07-5-25
07-6-21
07-7-18
07-8-14
07-9-10
07-10-7
07-11-3
07-11-30
07-12-27
08-1-23
08-2-19
08-3-17
08-4-13
08-5-10
08-6-6
1
2004 11 18 2 AIG Global Investment Corp. 49% 49%
2% 2008 6 30 195.59
2
MBA Danzas-AEI SunGard Energy
2004 2006 11
5
2008
1
2008 51.15% 48%
2008 0.66% 0.03% 0.06%
2
2.297 1.505 50.49% 51.15 % 10.70% 9.75%
6
2008
2008 M1 5 6 CPI
7
2008
2008 8 25
1 ( )
2008 6 30 2007 12 31
4 1 39,444,112.95 9,901,565.17
4 2 820,000.00 450,000.00
4 3 3,803,248,302.38 6,590,197,886.94
3,803,248,302.38 6,581,465,570.94
8,732,316.00
4 4 3,978,010.20
57,279,775.99 61,772,727.42
4 5 21,589.60 7,697.06
605,287.77
3,901,419,068.69 6,666,307,886.79
2008 6 30 2007 12 31
1,816,837.44 2,619,073.76
363,367.49 523,814.75
4 6 181,369.20 2,818,129.40
4 7 1,248,791.98 898,520.26
8
2008
3,610,366.11 6,859,538.17
4 8 2,589,241,236.88 2,190,937,682.68
1,308,567,465.70 4,468,510,665.94
3,897,808,702.58 6,659,448,348.62
3,901,419,068.69 6,666,307,886.79
2.297 1,696,675,703
2 ( )
2008 2007
-3,798,995,388.56 1,688,248,044.68
1
230,687.64 200,228.48
201,648.66 188,569.82
4,833.98 3,024.66
24,205.00 8,634.00
2
-1,466,197,085.501,929,946,913.73
4 9 -1,546,164,488.14 1,883,179,141.61
4 10 630,844.47 203,661.69
4 11 1,729,370.20 1,433,503.00
77,607,187.97 45,130,607.43
3 4 12 -2,331,601,178.69 -243,491,601.43
4 4 13 -1,427,812.01 1,592,503.90
28,722,597.24 13,384,930.13
1
14,375,539.12 8,004,597.43
2
2,875,107.88 1,600,919.49
3
4 4 14 11,219,917.68 3,517,961.43
5
6 4 15 252,032.56 261,451.78
-3,827,717,985.801,674,863,114.55
3 ( )
2008
2,190,937,682.684,468,510,665.94 6,659,448,348.62
-3,827,717,985.80 -3,827,717,985.80
398,303,554.20
667,774,785.56
1,066,078,339.76
3,513,769,859.88 4,179,355,018.84
7,693,124,878.72
9
2008
-3,115,466,305.68 -3,511,580,233.28
-6,627,046,538.96
2,589,241,236.88 1,308,567,465.70 3,897,808,702.58
2007
2,222,985,094.00 428,495,223.05 2,651,480,317.05
1,674,863,114.55 1,674,863,114.55
-563,118,816.94-310,290,032.00 -873,408,848.94
3,779,305,562.50 3,419,472,495.22 7,198,778,057.72
-4,342,424,379.44 -3,729,762,527.22 -8,072,186,906.66
1,659,866,277.061,793,068,305.60 3,452,934,582.66
1
2
3
1
AIG Global Investment Corp.(AIGGIC)
2
1
2008 2007
( ) (%) ( )
(%)
1
1,890,833,047.08 65.78 311,740,098.03 19.41
2
10
2008
3
4
5
1,607,183.6065.78 255,626.17 19.41
2
0.50%
H = E × 0.50% ÷
H
E
2008 2007
( ) 14,375,539.12 8,004,597.43
0.10%
H = E × 0.10% ÷
H
E
2008 2007
( ) 2,875,107.88 1,600,919.49
3 ( )
( )
4
( ) (%)
11
2008
29 29 0.00 0.00
5
( ) ( )
2008
2007
39,444,112.95 9,901,565.17 170,705.31 123,229.82
5
1
(a)
600096
2008/03/24
61.60 1,783,486 101,648,447.47 109,862,737.60
2
3
4
6
7
8
9
12
2008
(a)
(b)
95% 2008 6 30
2008 6 30 2007 12 31
3,803,248,302.38 97.57%6,590,197,886.94 98.96%
-
3,803,248,302.38 97.57%6,581,465,570.94 98.83%
-
- - 8,732,316.00 0.13%
- - 3,978,010.20 0.06%
3,803,248,302.38 97.57%6,594,175,897.14 99.02%
(i)
VAR Beta
2008 6 30 99% VAR 12.10
(2007 12 31 19.63 ) 12.10 1% VAR 250
2008 6 30 Beta 1.0095 (2007 12 31 0.9990) 5% 1.92 (2007 12 31 3.29 ) 5% 1.92 (2007 12 31 3.29 ) 13
2008
Beta 250
(ii)
2008 6 30 1 1 5 5
39,444,112.95 - - - 39,444,112.95
820,000.00 - - - 820,000.00
- - -3,803,248,302.38 3,803,248,302.38
- - - - -
- - -57,279,775.99 57,279,775.99
- - - 605,287.77 605,287.77
- - - 21,589.60 21,589.60
40,264,112.95 - -3,861,154,955.74 3,901,419,068.69
- - - - -
- - -1,816,837.44 1,816,837.44
- - - 363,367.49 363,367.49
- - - 181,369.20 181,369.20
- - -1,248,791.98 1,248,791.98
- - -
3,610,366.11 -3,610,366.11
40,264,112.95 - -3,857,544,589.63 3,897,808,702.58
2007 12 31 1 1 5 5
9,901,565.17 - - - 9,901,565.17
450,000.00 - - - 450,000.00
- -8,732,316.006,581,465,570.94 6,590,197,886.94
- - -3,978,010.20 3,978,010.20
- - -61,772,727.42 61,772,727.42
- - - 7,697.06 7,697.06
10,351,565.17 -8,732,316.006,647,224,005.62 6,666,307,886.79
- - -
- -
- - -2,619,073.76 2,619,073.76
- - - 523,814.75 523,814.75
- - -2,818,129.40 2,818,129.40
- - - 898,520.26 898,520.26
14
2008
- - -6,859,538.17 6,859,538.17
10,351,565.17 -8,732,316.006,640,364,467.45 6,659,448,348.62
2008 6 30 20% (2007
12 31 )
(iii)
0.1%
(iv)
(c)
10% 10%
(d)
5 ( )
10
15
2008
2007 38
2007 6 30 2007
2007 1 1
2007 2007 6 30
2,651,480,317.05 1,918,354,715.98 3,452,934,582.66
- -243,491,601.4 -
2,651,480,317.05 1,674,863,114.55 3,452,934,582.66
/( ) /( ) /( ) /( ) /( ) /( )
%
1
3,803,248,302.38 97.48
-168.00 0.00
2
3 4
5
40,264,112.95 1.03
6
57,906,653.36 1.48
3,901,419,068.69 100.00
%
A
76,189,744.00 1.95
B
640,727,344.37 16.44
C
1,886,987,254.51 48.41
C0
41,921,013.45 1.08
C1
137,615,602.08 3.53
C2
16
2008
C3
C4
109,862,737.60 2.82
C5
C6
1,264,388,738.22 32.44
C7
204,313,040.48 5.24
C8
87,445,857.72 2.24
C99
41,440,264.96 1.06
D
454,252,301.96 11.65
E
F
244,333,080.77 6.27
G
21,646,452.53 0.56
H
125,100,441.35 3.21
I
189,021,816.10 4.85
J
51,232,039.30 1.31
K
113,757,995.49 2.92
L
M
3,803,248,470.38 97.57
( ) ( )
(%)
1 600019
51,287,433446,713,541.43 11.46
2 600028
34,890,383354,137,387.45 9.09
3 600005
30,288,470295,615,467.20 7.58
4 600015
20,479,070189,021,816.10 4.85
5 600011
26,375,639185,420,742.17 4.76
6 600642
14,088,107127,215,606.21 3.26
7 600026
6,051,342120,361,192.38 3.09
8 600177
10,867,107111,279,175.68 2.85
9 600096
1,783,486109,862,737.60 2.82
10 600997
2,744,685109,732,506.30 2.82
1 2 20
17
2008
1 600005
165,776,490.20 2.49
2 600026
113,190,603.12 1.70
3 600015
112,135,440.20 1.68
4 600010
76,671,177.25 1.15
5 600019
75,190,279.36 1.13
6 600500
64,399,181.09 0.97
7 600348
63,021,988.67 0.95
8 600642
60,817,786.14 0.91
9 600196
57,452,144.15 0.86
10 600997
54,393,048.00 0.82
11 600028
44,646,238.43 0.67
12 600236
41,132,891.44 0.62
13 600008
40,282,965.90 0.60
14 600808
36,463,920.97 0.55
15 600177
34,921,659.79 0.52
16 600011
34,869,105.92 0.52
17 600096
32,604,901.15 0.49
18 600569
32,494,715.27 0.49
19 600087
30,143,569.24 0.45
20 600598
29,247,913.02 0.44
2 2 20
1 600028
1,029,533,400.33 15.46
2 600688 S 92,746,293.57 1.39
3 600104
24,580,556.42 0.37
4 600383
17,516,366.09 0.26
5 600151
11,370,217.80 0.17
6 600675
11,215,130.00 0.17
7 600019
6,884,721.59 0.10
8 600001
6,738,217.14 0.10
9 600005
3,246,314.80 0.05
10 600011
2,926,427.44 0.04
11 600015
2,590,569.22 0.04
12 600317
2,550,678.95 0.04
13 600189
2,410,744.30 0.04
14 600563
1,901,173.25 0.03
15 600327
1,761,070.50 0.03
16 600323
1,690,119.06 0.03
17 600569
1,679,054.88 0.03
18 600026
1,414,150.00 0.02
19 600642
1,385,446.29 0.02
20 600303
1,361,327.12 0.02
18
2008
3
( ) ( )
1,641,168,262.78 1,233,260,743.27
1
2
1 580019 CWB1 1,385,922 3,941,117.54
1
2
3
57,279,775.99
605,287.77
21,589.60
57,906,653.36
4
1 ( ) 91,654
2 ( ) 18,512
( )
(%)
19
2008
1,696,675,703 100.00
1
532,524,188 31.39
2
1,164,151,515 68.61
( )
(%)
1
192,295,024
11.33
2
65,528,946
3.86
3
26,632,213
1.57
4
23,412,919
1.38
5
16,999,941
1.00
6
15,999,934
0.94
7
14,999,982
0.88
8
14,030,000
0.83
9 FOF
11,999,934
0.71
10
11,794,673
0.70
( )
(%)
( )
1
2,222,985,094
2
1,435,675,703
3
2,302,500,000
4
2,041,500,000
5
1,696,675,703
2008 6 5 2008 20
2008
2008 753
1
1
2
3
4
5
2
3
( )
1 2
2 1
3 1
4 1
5 1
6
21
2008
4
2008
/
( ) (%)
1
283,110,775.18 9.85
1,890,833,047.08 65.78
487,108,872.58 16.95
124,248,465.05 4.32
89,127,846.16 3.10
2,874,429,006.05 100.00
2
8,591,490.20 45.01
10,495,423.60 54.99
19,086,913.80 100.00
3
4,949,466.84 54.00
4,215,440.28 46.00
9,164,907.12 100.00
4
310,000,000.00 100.00
310,000,000.00 100.00
5
240,643.95 9.85
1,607,183.60 65.78
414,038.81 16.95
105,610.33 4.32
75,758.87 3.10
2,443,235.56 100.00
5
ETF 2007
4
2008-01-21
ETF2007
2008-03-28
ETF 2008
1
2008-04-19
ETF 2008
2008-06-27
22
2008
1
2
3
4
5
6
88 40
400-888-0001 021-3878 4638
www.aig-huatai.com
23
