2008
2008
2008 8 28
2008
2008 8 26
2008 4 30 2008 6 30
22008
............................................................................................................4
.........................................................................6
...................................................................... 6
.............................................................................................. 6
........................................................................................................7
.......................................................................................... 7
.............................................................................................. 8
...................................................................... 8
.............................................. 8
.............................................................................. 9
............................................................................................... 10
.................................................................................................. 11
.................................................................11
........ 13
............................................................................ 26
.................................................................................................. 29
................................................................ 29
.................................................... 29
............................ 30
.................................................... 30
................................................ 31
32
.................................................................................... 32
............................................................... 33
.................................................................................................. 33
.................................................................................................. 34
.................................................................................................. 36
32008
340007
2008 4 30
1,440,748,506.38
65%-95% 0%-30% 0%-20% 0% 3% 5% 80%
80% 300 20%
368
500 20
200122
42008
021-58368998
021-58368858
dujx@xyfunds.com.cn
25
1 1
100032
010- 67595003
010- 67595853
yindong@ccb.cn
www.xyfunds.com.cn
500 20
989
52008
2008 4 30 2008 6 30 1
-149,743,598.11
2
-8,007,624.26
3
-0.1062
4
-151,949,946.66
5
-0.1055
6
1,288,798,559.72
7
0.895
8
-11.12%
9
-10.50%
10
-10.50%
1 2008 4 30 2008
6 30
2 1 < >
3
1
-7.25% 1.02% -17.54% 2.69% 10.29% -1.67%
-10.50% 0.86% -20.91% 2.37% 10.41% -1.51%
-10.50% 0.86% -20.91% 2.37% 10.41% -1.51%
62008
2
2008 4 30 2008 6 30
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
08-4-30 08-5-12 08-5-24 08-6-5 08-6-17 08-6-29
1 2008 6 30
2 2008
4 30
3 2008 4 30 2008 6 30
[2003]100 2003 9 30 2008 1 2008 4 1.2 51% 49%
2008 6 30 72008
LOF
1972
1
2008 A 47.99% 4 24 5 6 3000 20%
2
4 30 3000
3
82008
A AH
92008
2008 8 26
102008
1
2008 6 30
589,967,136.64
5,301,517.51
701,184,736.94
330,478,184.94
370,706,552.00
593,712.00
2,835,140.43
68,054.40
2,068,838.10
1,302,019,136.02
10,303,218.07
1,626,590.72
271,098.45
678,938.26
112008
340,730.80
13,220,576.30
1,440,748,506.38
-151,949,946.66
1,288,798,559.72
1,302,019,136.02
1,440,748,506.38
0.895
2
2008 4 30 2008 6 30
-144,091,125.33
1
2,768,564.09
972,327.29
1,767,486.80
28,750.00
2
-5,123,715.57
-6,804,716.30
1,681,000.73
3
-141,735,973.85
4
5,652,472.78
1
3,367,214.73
2
561,202.43
3
4
1,625,837.99
5
6
98,217.63
-149,743,598.11
122008
3
2008 4 30
2008 6 30
1,388,696,479.84 1,388,696,479.84
-149,743,598.11 -149,743,598.11
52,052,026.54 -2,206,348.55 49,845,677.99
1.
52,052,026.54 -2,206,348.55 49,845,677.99
2.
1,440,748,506.38 -151,949,946.66 1,288,798,559.72
1
( ) [2008]356 2008 3 28 2008 4 25 1,388,444,274.71 252,205.13 2008 4 30 1,388,696,479.84
65%-95% 0%-30% 0%-20% 0% 3% 132008
5% 80% 80% 300 20%
2
1
1 1 12 31 2008 4 30 2008 6 30
2
3
a.
b.
142008
( )
4
A.
B.
a.
b.
c.
d.
C. A B A B
D.
A.
B.
152008
C.
D.
E.
F. A E A
E
G.
A.
B. A A
C.
5
162008
2007 7 1
2007
7 1
2007 7 1
2007 7 1
2007 7 1
172008
2007 7 1
6
2007 7 1
2007 7 1
182008
7
1.50%
0.25%
2007 7 1
2007 7 1
8
9
/( )
2007 7 1 /( )
10
6 50% 3
192008
3
4
A.
[2005]11 2005 1 24 2 1
[2007]84 2007 5 30 1 3
2008 4 24 3‰ 1‰
[2005]103
B.
[2004]78 2004 1 1
[2005]103
C.
[2002]128 20%
[2005]107 2005 6 13 [2005]102 50%
202008
[2005]103
5
1
2
2008 4 30 2008 6 30
792,502,254.69 98.70%
2,250,476.00 69.31%
2,250,476.00 69.31%
668,686.89 98.69%
212008
3
4
2008-6-30
589,967,136.64
2008 4 30 2008 6 30
963,844.66
5
A.
——
a. 1.50%
H=E×1.50%/
H
E
b.
2008 4 30 2008 6 30 3,367,214.73 1,740,624.01 1,626,590.72
B.
——
a. 0.25%
H=E×0.25%/
H
E
b.
2008 4 30 2008
6 30
561,202.43 290,103.98 271,098.45
222008
6
2008 4 30 2008 6 30
37,304,663.21
37,304,663.21
2.59
1000
2008
232008
6
1
a.
( // )
( // )
002245 2008/05/28 2008/09/05 16.38 16.02 10,566 173,071.08 169,267.32
002246 2008/05/29 2008/09/05 6.95 8.22 37,754 262,390.30 310,337.88
002247 2008/05/30 2008/09/12 16.05 14.65 13,026 209,067.30 190,830.90
002248 2008/06/05 2008/09/12 9.80 10.97 18,001 176,409.80 197,470.97
002249 2008/06/10 2008/09/19 25.60 24.21 9,321 238,617.60 225,661.41
002250 2008/06/10 2008/09/19 10.52 12.8 19,320 203,246.40 247,296.00
002251 2008/06/11 2008/09/19 26.08 48.55 22,142 577,463.36 1,074,994.10
002252 2008/06/13 2008/09/23 12.81 24.87 27,141 347,676.21 674,996.67
002253 2008/06/13 2008/09/23 14.75 21.11 11,905 175,598.75 251,314.55
002254 2008/06/18 2008/09/25 18.59 27.41 36,308 674,965.72 995,202.28
002257 2008/05/30 21.81 21.81 43,974 959,072.94 959,072.94
3,997,579.46 5,296,445.02
b.
2008
c.
( / / )
( / / )
002254 2008/06/30 27.41 2008/07/01 28.28 36,308 674,965.72 995,202.28
674,965.72 995,202.28
2
( / / )
( / / )
126016 08 2008/06/20
2008/07/04 76.27 75.08
31,000 2,364,415.02 2,327,480.00
2,364,415.02 2,327,480.00 3
( / / )
( / / )
580024 CWB1 2008/06/20 2008/07/04 1.4830 1.1970 496,000 735,584.98 593,712.00
735,584.98 593,712.00 252008
1
2
10% 10%
3
6
4
2008
(a)
65%-95% 0%-30% 0%-3% 5% 2008 6 30
2008 6 30
701,184,736.94 54.40%
-
330,478,184.94 25.64%
-
370,706,552.00 28.76%
593,712.00 0.05%
701,778,448.94 54.45%
/
%
2008 6 30
+10.00 40,995.30 300 80% 20%
-10.00 -40,995.30
CAPM
(b)
2008 6 30 1 1 5 5
589,967,136.64 589,967,136.64
5,301,517.51 5,301,517.51
272008
365,104,000.003,275,072.002,327,480.00 330,478,184.94 701,184,736.94
593,712.00 593,712.00
2,835,140.43 2,835,140.43
68,054.40 68,054.40
2,068,838.10 2,068,838.10
960,372,654.153,275,072.002,327,480.00336,043,929.87 1,302,019,136.02
10,303,218.07 10,303,218.07
1,626,590.72 1,626,590.72
271,098.45 271,098.45
678,938.26 678,938.26
340,730.80 340,730.80
13,220,576.30 13,220,576.30
960,372,654.15 3,275,072.00 2,327,480.00 322,823,353.57 1,288,798,559.72
/
2008 6 30
+1% -2,969.28
-1% 3,022.7
1. Nelson-siegel
2.
(c)
282008
1
330,478,184.94 25.38%
2
370,706,552.00 28.47%
3
593,712.00 0.05%
4
595,268,654.15 45.72%
5
4,972,032.93 0.38%
1,302,019,136.02 100.00%
A
B
C
129,245,271.91 10.02%
C0
C1
C2
C3
C4
63,055,357.36 4.89%
C5
959,072.94 0.07%
C6
20,185,716.20 1.57%
C7
43,307,622.84 3.36%
C8
674,996.67 0.05%
C99
1,062,505.90 0.08%
D
E
F
41,253,215.32 3.20%
G
251,314.55 0.02%
H
20,352,689.86 1.58%
I
137,412,020.28 10.66%
J
147,863.30 0.01%
K
169,267.32 0.01%
L
M
1,646,542.40 0.13%
330,478,184.94 25.64%
292008
1
600036 2,801,994 65,622,699.48 5.09%
2 600176 2,697,479 61,502,521.20 4.77%
3 600016 6,805,144 38,789,320.80 3.01%
4 600000 1,500,000 33,000,000.00 2.56%
5 600686 3,309,631 26,642,529.55 2.07%
6 600270 2,200,196 17,315,542.52 1.34%
7 600616 1,199,950 15,695,346.00 1.22%
8 600019 1,790,000 15,590,900.00 1.21%
9 601006 1,000,000 13,610,000.00 1.06%
10 600798 1,397,520 10,327,672.80 0.80%
www.xyfunds.com.cn
1 2%
1 600036 88,883,108.76 6.90%
2 600176 78,587,802.97 6.10%
3 600016 60,237,503.13 4.67%
4 600686 50,262,631.38 3.90%
5 600000 43,500,539.61 3.38%
6 600270 29,725,944.31 2.31%
7 600019 27,429,878.00 2.13%
8 600616 23,655,246.47 1.84%
9 600009 21,955,522.30 1.70%
10 601628 20,786,533.47 1.61%
11 601898 19,287,539.40 1.50%
12 600798 17,807,069.42 1.38%
13 601006 17,316,915.84 1.34%
14 000800 16,830,063.20 1.31%
15 000759 16,599,664.20 1.29%
16 600761 16,313,822.87 1.27%
17 000708 14,705,688.44 1.14%
18 600500 14,456,802.79 1.12%
302008
19 600320 13,479,974.45 1.05%
20 000898 11,207,596.93 0.87%
2 2%
1 600009
21,577,834.28 1.67%
2 601898
21,350,187.34 1.66%
3 601628
19,632,557.74 1.52%
4 600500
15,190,590.32 1.18%
5 000708
14,430,315.63 1.12%
6 000759
12,369,637.16 0.96%
7 000800
11,895,413.51 0.92%
8 000898
9,043,002.45 0.70%
9 600236
6,998,998.32 0.54%
10 600376
5,728,232.78 0.44%
11 600320
5,553,009.44 0.43%
12 600019
2,295,500.00 0.18%
13 002247
2,200,979.00 0.17%
14 000002
2,016,181.10 0.16%
15 600176
1,833,403.00 0.14%
16 600048
1,465,840.00 0.11%
17 600016
1,398,619.00 0.11%
18 002236
1,219,766.00 0.09%
19 600325
1,062,607.25 0.08%
20 002233
1,058,576.33 0.08%
3 644,557,292.20 165,709,477.71
365,104,000.00 28.33% 2,327,480.00 0.18% 3,275,072.00 0.25% 370,706,552.00 28.76% 312008
1
08 52 288,240,000.00 22.37% 2
08 31 76,864,000.00 5.96% 3
3,275,072.00 0.25% 4
08 2,327,480.00 0.18%
1
2
3
1
68,054.40
2
2,835,140.43
3
2,068,838.10
4
4,972,032.93
4
1 110971
3,275,072.00 0.25%
5
580024 CWB1 496,000.00 735,584.98 593,712.00 0.05%
6
7
322008
12,342 11.6735 653,251,483.20 45.34% 787,497,023.18 54.66%
3,721,392.30 0.26
1
1,388,696,479.84
2
1,388,696,479.84
3
52,052,026.54
4
5
1,440,748,506.38
332008
1 2008 Marc
van Weede Imaad Zuberi
2
1 2008 5 6
2 2008 5 19
3 2008 5 27 2005 6 17
4 2008 6 12 2008 7 21
5 2008 6 13
342008
1
2008-3-27
2
2008-4-12
3
2008-4-14
4
2008-5-5
5
2008-5-12
6
2008-5-14
7
2008-5-24
8
2008-5-24
9
2008-5-24
10
2008-5-24
11
2008-5-27
12
2008-5-28
13
2008-5-29
14
2008-5-30
1 2008
1
2 792,502,254.69 98.70% 668,686.89 98.69%
2
1 10,413,375.76 1.30% 8,851.37 1.31%
3 802,915,630.45100.00% 677,538.26 100.00%
2 2008
1
2,250,476.00 69.31% 100,000,000.00 100.00%
2
996,288.90 30.69%
3,246,764.90100.00%100,000,000.00 100.00%
3 2008
2008
4
1 1
352008
1
2
3
4
5
6
400-678-0099 021-38824536
2008 8 28
36
