1
2009
2009 6 30
2009 8 25
2
§1
1.1
2009 8
24
2009 1 1 6 30
1.2
§1
.......................................................................................................................2
1.1 ............................................................................................................................2
1.2
...................................................................................................................................2
§2
...................................................................................................................................4
2.1 ....................................................................................................................4
2.2 ....................................................................................................................4
2.3 ................................................................................................4
2.4 ....................................................................................................................5
2.5 ....................................................................................................................5
§3 .................................................................................................5
3.1 ................................................................................................5
3.2 ....................................................................................................................6
§4 .................................................................................................................................7
4.1 ............................................................................................7
4.2 ....................................................8
4.3 ................................................................8
4.4 ................................................9
3
4.5 ................................................9
4.6 ............................................................9
4.7 ..............................................................10
§5 ...............................................................................................................................10
5.1 ..................................................................10
5.2 ..
.................................................................................................................................10
5.3 ..............10
§6 .......................................................................................10
6.1 .......................................................................................................................10
6.2 ..............................................................................................................................11
6.3 ..................................................................................12
6.4 ..........................................................................................................................13
§7
.........................................................................................................................27
7.1 ..................................................................................................27
7.2 ..................................................................................27
7.3 ......................28
7.4 ..............................................................................29
7.5 ..........................................................................31
7.6 ..................32
7.7 ..32
7.8 ..................32
7.9 ..........................................................................................................32
§8 ................................................................................................................33
8.1 ......................................................................33
8.2 ..............................................33
§9
.............................................................................................................33
§10 .........................................................................................................................33
10.1 ............................................................................................33
10.2 ............................34
10.3 ................................................34
10.4 ....................................................................................................34
10.5 ........................................................................34
10.6 ........................................34
10.7 ....................................................................34
10.8 ................................................................................................................35
§11
.......................................................................................35
§12
.......................................................................................................................36
4
§2
2.1
377020
2007 4 13
11,858,755,286.65
2.2
1
“ ” “ ”
2
300 ×80% ×20
2.3
5
021-38794999 010-66105799
peter.zhu@jpmf-siti
co.com
custody@icbc.com.cn
400-889-4888
021-38794888
95588
021-68881170 010-66105798
99
20
55
99
20
55
200120 100140
2.4
www.51fund.com
2.5
§3
3.1
3.1.1
2009 1 1 -2009 6 30
1,628,611,209.13
4,537,196,881.87
0.3892
42.03% 6
52.58%
3.1.2
2009 1 1 -2009 6 30
169,882,596.45
0.0143
13,375,336,703.00
1.1279
3.1.3
2009 1 1 -2009 6 30
22.98%
1.
2.
3.2
3.2.1
11.04% 1.03% 11.76% 0.98% -0.72% 0.05%
22.64% 1.39% 21.08% 1.24% 1.56% 0.15%
52.58% 1.57% 59.37% 1.57% -6.79% 0.00%
20.67% 1.81% 12.13% 2.06% 8.54% -0.25%
- - - - - -
22.98% 1.80% 1.51% 2.09% 21.47% -0.29%
300 ×80% ×20
3.2.2
7
1. 2007 4 13 2007 4 13 2009
6 30
2. 2007 4 13 2007 10 12
§4
4.1
4.1.1
8
4.1.2
2007-04-
13
2009-7-6
11
1968 1992 1997 2003 2003
3 2005 6 2005 11 2007 4
2008-09-
27
-
10
11 2007 4
12 2008 4 24 2008 5
1. 2009 7 5 2009 7 6
2.
4.2
4.3
4.3.1
9
,
4.3.2
2009
4.3.3
4.4
A
4.5
A A
4.6
10
4.7
§5
5.1
2009
5.2
2009
5.3
§6
6.1
2009 6 30
2009 6 30
2008 12 31
6.4.7.1 928,448,676.73655,697,121.97
36,696,047.38 11,213,243.43
10,630,997.44 1,647,652.90
6.4.7.2 12,473,936,087.047,671,770,530.58
12,150,381,087.046,581,444,888.87
--
323,555,000.001,090,325,641.71
-- 11
6.4.7.3 - -
6.4.7.4 - -
91,614,265.49 77,804,985.15
6.4.7.5 8,283,957.0514,202,643.40
583,200.00 -
23,102,448.69 3,360,493.55
--
6.4.7.6 - -
13,573,295,679.828,435,696,670.98
2009 6 30
2008 12 31
--
--
--
--
99,048,772.10 8,675,883.83
61,016,703.86 4,952,424.53
15,589,320.03 10,737,810.68
2,598,219.97 1,789,635.12
--
6.4.7.7 18,937,068.73 5,125,704.36
-
-
-
-
6.4.7.8 768,892.13 673,699.48
197,958,976.8231,955,158.00
6.4.7.9 11,858,755,286.6511,368,078,504.34
6.4.7.10 1,516,581,416.35-2,964,336,991.36
13,375,336,703.008,403,741,512.98
13,573,295,679.82 8,435,696,670.98
2009 6 30 1.1279
11,858,755,286.65
6.4
6.2
2009 1 1 2009 6 30
12
2009 1 1 2009 6 30
2008 1 1 2008 6 30
4,685,904,119.68 -5,453,687,802.71
1.
13,966,386.66 21,580,037.29
6.4.7.11 3,424,163.88 6,210,526.17
10,542,222.78 15,092,903.62
- -
- 276,607.50
- -
2. “-”
1,762,005,027.89 -88,644,895.35
6.4.7.12 1,709,459,260.15 -158,271,370.14
- -
6.4.7.13 5,470,526.24 4,725,808.14
- -
6.4.7.14 - 12,497,950.99
6.4.7.15 47,075,241.50 52,402,715.66
3. “-”
6.4.7.16 2,908,585,672.74 -5,390,331,765.33
4. “ ” - -
5. “-” 6.4.7.17 1,347,032.39 3,708,820.68
“-”
-148,707,237.81 -148,013,205.05
1
-79,622,506.06 -106,541,619.64
2
-13,270,417.68 -17,756,936.61
3
- -
4 6.4.7.18 -55,581,195.09 -20,515,483.16
5
- -2,953,301.57
- -2,953,301.57
6 6.4.7.19 -233,118.98 -245,864.07
“-”
4,537,196,881.87 -5,601,701,007.76
“-”
- -
“-” 4,537,196,881.87 -5,601,701,007.76
6.4
6.3
2009 1 1 2009 6 30
2009 1 1 2009 6 30
13
11,368,078,504.34 -2,964,336,991.36 8,403,741,512.98
- 4,537,196,881.87 4,537,196,881.87
“-”
490,676,782.31 -56,278,474.16 434,398,308.15
1. 2,313,449,848.91 -101,262,019.67 2,212,187,829.24
2. “-”
-1,822,773,066.60 44,983,545.51 -1,777,789,521.09
“-”
-- -
11,858,755,286.65 1,516,581,416.35 13,375,336,703.00
2008 1 1 2008 6 30
11,195,819,255.25 5,829,296,591.26 17,025,115,846.51
- -5,601,701,007.76 -5,601,701,007.76
“-”
785,467,020.89 103,067,976.34 888,534,997.23
1. 3,347,549,666.06 698,262,506.55 4,045,812,172.61
2. “-”
-2,562,082,645.17 -595,194,530.21 -3,157,277,175.38
“-”
-
-1,112,462,649.85 -1,112,462,649.85
11,981,286,276.14 -781,799,090.01 11,199,487,186.13
6.4
6.4
14
6.4.1
( “ ”) ( “ ”) [2007] 091 9,884,050,624.48 (2007) 046 2007 4 13 9,884,799,607.98 748,983.50
60%-95% 0-40% 5% 80% 300 X80% X20%
2009 8 24
6.4.2
2006 2 15 38 ( “ ”) [2009]4 XBRL 3 < > 2007 5 15 6.4.4
6.4.3
2009 1 1 2009 6 30 2009 6 30 2009 1 1 2009 6 30
6.4.4
6.4.5
6.4.5.1
15
6.4.5.2
6.4.5.3
6.4.6
[2002]128 [2004]78 [2005]102
(1)
(2)
(3) 20% 50% 20%
(4) 2008 4 24 0.3% 2008 4 24 2008 9 18 0.1% 2008 9 19 0.1%
(5)
6.4.7
6.4.7.1
2009 6 30
928,448,676.73
-
-
928,448,676.73
6.4.7.2
2009 6 30
16
10,252,793,549.1412,150,381,087.041,897,587,537.90
---
322,681,420.00 323,555,000.00 873,580.00
322,681,420.00323,555,000.00 873,580.00
---
---
---
10,575,474,969.1412,473,936,087.041,898,461,117.90
6.4.7.3 /
6.4.7.4
6.4.7.5
2009 6 30
242,668.52
-
-
12,843.60
7,974,591.77
-
53,853.16
-
8,283,957.05
6.4.7.6
6.4.7.7
2009 6 30
18,936,556.23
512.50
18,937,068.73
6.4.7.8
17
2009 6 30
500,000.00
45,740.85
223,151.28
768,892.13
6.4.7.9
2009 1 1 2009 6 30
11,368,078,504.3411,368,078,504.34
2,313,449,848.912,313,449,848.91
-1,822,773,066.60-1,822,773,066.60
11,858,755,286.6511,858,755,286.65
:
6.4.7.10
-1,405,689,270.97 -1,558,647,720.39 -2,964,336,991.36
1,628,611,209.13 2,908,585,672.74 4,537,196,881.87
-53,039,341.71 -3,239,132.45 -56,278,474.16
-211,188,142.98 109,926,123.31 -101,262,019.67
158,148,801.27 -113,165,255.76 44,983,545.51
-
-
-
169,882,596.451,346,698,819.901,516,581,416.35
6.4.7.11
2009 1 1 2009 6
30
3,198,487.14
-
-
153,476.72
72,200.02
3,424,163.88
6.4.7.12 ——
18
2009 1 1 2009
6 30
17,951,835,994.06
-16,242,376,733.91
1,709,459,260.15
6.4.7.13
2009 1 1 2009
6 30
768,995,390.89
-746,926,630.00
-16,598,234.65
5,470,526.24
6.4.7.14 ——
2009 1 1 2009 6 30
-
-
-
6.4.7.15
2009 1 1 2009 6 30
47,075,241.50
-
47,075,241.50
6.4.7.16
2009 1 1 2009 6
30
1.
—— 2,928,429,684.45 19
—— -19,844,011.71
—— -
—— -
2.
—— -
3. -
2,908,585,672.74
6.4.7.17
2009 1 1 2009 6 30
1,159,368.60
110,100.32
71,919.70
5,643.77
1,347,032.39
:
1. 25%
2. 25%
6.4.7.18
2009 1 1 2009 6
30
55,578,782.59
2,412.50
55,581,195.09
6.4.7.19
2009 1 1 2009 6
30
148,767.52
74,383.76
967.70
9,000.00
233,118.98 20
6.4.8
6.4.8.1
6.4.8.2
6.4.9
J.P. Morgan investment management
limited
J.P. Morgan Asset management London limited
J.P. Morgan Asset management Real Estate
Advisers limited
6.4.10
6.4.10.1
6.4.10.1.1
6.4.10.1.2
6.4.10.1.3
21
6.4.10.2
6.4.10.2.1
2009 1 1 2009
6 30
2008 1 1 2008
6 30
79,622,506.06
106,541,619.64
64,033,186.03
91,764,178.89
15,589,320.03
14,777,440.75
: 1.5%
X 1.5% /
6.4.10.2.2
2009 1 1 2009
6 30
2008 1 1 2008
6 30
13,270,417.68 17,756,936.61
10,672,197.71 15,294,029.82
2,598,219.97 2,462,906.79
: 0.25%
X 0.25% /
6.4.10.3 ( )
6.4.10.4
6.4.10.4.1
2009 1 1 2009
6 30
2008 1 1 2008
6 30
3,869,639.31 -
--
/ - 3,869,639.31
--
/ --
3,869,639.31 3,869,639.31
0.03% 0.03%
:
22
6.4.10.4.2
6.4.10.5
2009 1 1 2009 6 30
2008 1 1 2008 6 30
928,448,676.73 3,198,487.14 426,627,867.35 5,978,360.61
:
6.4.10.6
6.4.11
6.4.12 2009 6 30
6.4.12.1 /
6.4.12.2
000400
09/06/05 18.28 09/07/06 20.11 8,006,975 119,954,811.69 146,367,503.00
6.4.12.3
6.4.12.3.1
6.4.12.3.2
6.4.13
6.4.13.1
“ ”
23
6.4.13.2
10% 10%
6.4.13.3
24
( )
6.4.13.4
6.4.13.4.1
6.4.13.4.1.1
2009 6 30
1 1-5 5
928,448,676.73
- - -
928,448,676.73
36,696,047.38
- - -
36,696,047.38
-
- - 10,630,997.44
10,630,997.44
25
193,240,000.00 120,300,000.00 10,015,000.00 12,150,381,087.04
12,473,936,087.04
-
- - 91,614,265.49
91,614,265.49
-
- - 8,283,957.05
8,283,957.05
-
- - 583,200.00 583,200.00
8,140,856.46
- - 14,961,592.23
23,102,448.69
1,177,156,578.01 120,300,000.00 10,015,000.00 12,265,824,101.81
13,573,295,679.82
-
- - 99,048,772.10
99,048,772.10
-
- - 61,016,703.86
61,016,703.86
-
- - 15,589,320.03
15,589,320.03
-
- - 2,598,219.97
2,598,219.97
-
- - 18,937,068.73
18,937,068.73
-
- - 768,892.13 768,892.13
-
- - 197,958,976.82
197,958,976.82
1,177,156,578.01 120,300,000.00 10,015,000.00 12,067,865,124.99
13,375,336,703.00
2008 12 31
1 1-5 5
655,697,121.97 - - - 655,697,121.97
11,213,243.43 - - - 11,213,243.43
- - - 1,647,652.90 1,647,652.90
628,938,500.00 294,536,331.71 166,850,810.00 6,581,444,888.87 7,671,770,530.58
- - - 77,804,985.15 77,804,985.15
- - - 14,202,643.40 14,202,643.40
2,036,061.57 - -
1,324,431.98 3,360,493.55
1,297,884,926.97 294,536,331.71 166,850,810.00 6,676,424,602.30 8,435,696,670.98
- - - 8,675,883.83 8,675,883.83
- - - 4,952,424.53 4,952,424.53
- - - 10,737,810.68 10,737,810.68
- - - 1,789,635.12 1,789,635.12
- - - 5,125,704.36 5,125,704.36
- - - 673,699.48 673,699.48
- - - 31,955,158.00 31,955,158.00
1,297,884,926.97 294,536,331.71 166,850,810.00 6,644,469,444.30 8,403,741,512.98
6.4.13.4.1.2
2009 6 30 2.42%(2008 12 31 12.97%)
6.4.13.4.2
26
6.4.13.4.3
“ ”
VaR(Value at Risk)
60%-95% 0-40% 5% 2009 6 30
6.4.13.4.3.1
2009 6 30
2008 12 31
%
%
- 12,150,381,087.04 90.84 6,581,444,888.87 78.32
-- --
12,150,381,087.0490.846,581,444,888.8778.32
6.4.13.4.3.2
300
2009 6 30
2008 12
31
1. 300 5% 58,450 30,131
2. 300 5% 58,450 30,131
27
6.4.14
§7
7.1
% 1
12,150,381,087.04 89.52
12,150,381,087.04 89.52
2
323,555,000.00 2.38
323,555,000.00 2.38
--
3
--
4
--
--
5
965,144,724.11 7.11
6
134,214,868.67 0.99
7
13,573,295,679.82 100.00
2009 6 30
7.2
A
45,896,188.80 0.34
B
--
C
4,672,912,221.4434.94
C0
366,554,877.71 2.74
C 1
425,555,786.32 3.18
C 2
--
C 3
86,650,803.82 0.65
C 4
511,685,880.40 3.83
C 5
--
C 6
484,365,895.30 3.62
C 7
1,884,643,517.70 14.09
C 8
701,383,251.84 5.24
C 99
212,072,208.35 1.59
D 69,086,645.11 0.52
E
--
28
F
--
G
58,796,330.83 0.44
H
1,053,315,068.10 7.88
I
4,188,710,918.34 31.32
J
1,222,628,031.08 9.14
K
31,845,468.40 0.24
L
--
M
807,190,214.946.03
12,150,381,087.04 90.84
7.3
29
7.4
7.4.1 2% 20
30
1 600036 1,016,774,822.82 12.10
2 601166 978,159,920.68 11.64
3 601318 970,447,810.19 11.55
4 600030 892,616,561.12 10.62
5 002024 888,059,258.60 10.57
6 000858
817,511,294.27 9.73
7 000002
706,963,326.20 8.41
8 600016 691,977,139.78 8.23
9 601328 513,847,775.02 6.11
10 600031 490,442,796.52 5.84
11 002202 450,324,612.63 5.36
12 600216 441,234,107.30 5.25
13 600895 329,703,990.23 3.92
14 601628 319,312,778.81 3.80
15 600177 302,554,781.29 3.60
16 000651 298,774,180.84 3.56
17 600518 287,648,507.22 3.42
18 600690 276,843,510.19 3.29
19 600585 271,208,286.45 3.23
20 601009 269,685,210.06 3.21
21 600875 264,285,185.41 3.14
22 601699 258,285,819.67 3.07
23 000983 247,684,940.89 2.95
24 000009 240,540,524.64 2.86
25 600582 223,266,758.55 2.66
26 000800 219,379,947.19 2.61
27 600660 206,821,659.59 2.46
28 600005 198,742,934.67 2.36
29 000069 189,311,472.46 2.25
30 600208 184,117,620.72 2.19
31 601857 182,445,421.74 2.17
32 600748 180,702,743.57 2.15
“ ” “ ” “ ” “ ”
7.4.2 2% 20
1 600030
952,884,929.75 11.33
2 600089
714,390,949.82 8.49 31
3 000425
678,786,857.57 8.07
4 600031
675,163,243.51 8.02
5 000983
633,439,241.53 7.53
6 000858
625,832,970.89 7.44
7 002202
600,900,212.62 7.14
8 601328
589,878,521.24 7.01
9 600036
585,665,471.03 6.96
10 600395
560,063,278.50 6.66
11 600519
529,023,906.03 6.29
12 600585
434,871,253.86 5.17
13 000063
415,591,564.41 4.94
14 601166
388,449,059.42 4.62
15 601318
376,093,374.41 4.47
16 000002
333,854,506.45 3.97
17 601628
326,521,666.33 3.88
18 600216
321,200,186.56 3.82
19 600547
308,527,894.13 3.67
20 601699
301,242,919.96 3.58
21 000895
266,171,758.69 3.16
22 600518
258,961,762.70 3.08
23 601088
249,041,280.35 2.96
24 000069
245,904,622.21 2.92
25 600517
214,645,276.22 2.55
26 600900
212,879,748.78 2.53
27 600582
206,664,340.98 2.46
28 600005
199,112,129.23 2.37
29 002007
198,821,976.36 2.36
30 600348
185,935,487.38 2.21
31 601857
175,108,892.80 2.08
“ ” “ ” “ ” “ ”
7.4.3
18,883,319,447.63
17,951,835,994.06
7.5
1
-- 32
2
193,240,000.00 1.44
3
130,315,000.00 0.97
130,315,000.00 0.97
4
--
5
--
6
--
7
--
8
323,555,000.00 2.42
7.6
1 080221 1,200,000 120,300,000.00 0.90
2 0801104 1,000,000 96,650,000.00 0.72
3 0801101 1,000,000 96,590,000.00 0.72
4 080225 100,000 10,015,000.00 0.07
7.7
7.8
7.9
7.9.1
7.9.2
7.9.3
1
10,630,997.44
2
91,614,265.49
3
583,200.00
4
8,283,957.05
5
23,102,448.69
6
-
7
-
8
- 33
9
134,214,868.67
7.9.4
7.9.5
7.9.6
§8
8.1
( )
1,106,262 10,719.66 1,639,314,187.34 13.82% 10,219,441,099.31 86.18%
8.2
125,163.36 0.00%
§9
2007 4 13 9,884,799,607.98
11,368,078,504.34
2,313,449,848.91
1,822,773,066.60
11,858,755,286.65
§10
10.1
34
10.2
10.3
10.4
10.5
10.6
10.7
1
4,103,350,232.78 11.14 3,487,839.86 11.32
1
9,085,298,828.98 24.66 7,722,457.97 25.06
2
7,719,726,364.90 20.96 6,435,546.32 20.88
1
3,018,480,420.56 8.19 2,452,542.25 7.96
1
6,210,914,200.65 16.86 5,279,263.59 17.13
35
1
2,563,992,021.32 6.96 2,083,265.57 6.76
1
4,133,393,372.50 11.22 3,358,410.85 10.90
8 36,835,155,441.69 100.00 30,819,326.41 100.00
- - - - - -
10,823,690.30 57.28 - - - -
6,410.93 0.03 - - - -
- - - - - -
8,066,820.24 42.69 - - - -
- - - - - -
- - - - - -
18,896,921.47 100.00 - - - -
1.
2.
3.
4.2009 ( )
10.8
1.
000792
2009 1 6 2.
000792
2009 1 9 3.
2009 3 25
4.
§11
36
§12
1
2
3
4
5
6
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