1
2009
2009 12 31
2010 3 31
2
...................................................................................................................................2
.........................................................................................................................................2
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3
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4
2005 10 11 (Barbell Approach) “ ” “ ”
“Dynamic Fund” “ ” A ×80 ×20 021-38794999 010-67595003 peter.zhu@jpmf-sitico.com yindong@ccb.cn 5
400-889-4888 021-38794888 010-67595096 021-68881170 010-66275853 99 20 25 99 20 1
1 200120 100033
www.51fund.com
651,513,440.46 -1,450,735,350.22 4,979,060,812.79
2,964,804,342.26 -6,727,233,583.02 7,445,204,592.58
2.0981 -3.1317 3.7659
47.37% 80.84%
57.57% -46.62% 139.91%
3,082,848,017.20 4,674,505,309.20 5,994,572,473.96
2.9138 2.2373 2.9121
5,766,027,344.05 7,226,414,025.63 13,337,891,687.80
5.4498 3.4587 6.4794 6
256.68% 568.19%
15.00% 1.45% 17.11% 1.41% -2.11% 0.04%
15.94% 1.66% 13.15% 1.69% 2.79% -0.03%
57.57% 1.53% 81.42% 1.64% -23.85% -0.11%
101.78% 1.86% 69.85% 2.02% 31.93% -0.16%
- - - - - -
462.01% 1.69% 246.39% 1.80% 215.62% -0.11%
=80%× A +20%×
7
2005 10 11 2005 10 11 2009
12 31
2005 10 11 2006 4 10
2005 2005 10 11 2005 12 31
8
10
2009 --- - -
2008 --- - -
2007 --- - -
--- - -
2009 2010 1 18
2010 1 29 , 10 18.8
2,384,504,773.73 2004 5 12
2007 10 8 “ ” 2.5
2009 12 2004 9 15 1,669,305,034.88 2005 4 13 991,360,522.73 2005 10 11 767,620,088.15 2006 04 26 6,435,738,977.50 2006 09 20 5,480,692,618.04 2007 04 13 9,884,799,607.98 2007 10 22 29,572,160,439.53 2008 5 21 1,423,318,139.20 2009
1 21 826,057,598.05 2009 6 24 1,801,237,418.78 A 423,047,194.30 B 1,378,190,224.48
9
2009-4-28 - 11 2007 4 2008
4 2008 5
2008 9 2009-9-17 - 9 2001 2006
2006 4 2008 12 10
1. 2009 7 5 2009 7 6
2.
11
,
2009
2009 2009 2009 2008
2009 12 31 5.4498 5.4898 57.57% 81.42%
12
2010 2010
1
2
3
4
5
,
13
2009 2010 1 18 2010 1 29 , 10 18.8
2,384,504,773.73
20254 14
( ) 2009 12 31 2009 ( )
(1) (2)
(3)
2009 12 31 2009
·
2010 3 30
15
2009 12 31
7.4.7.1 659,678,232.67 923,215,148.27
13,311,964.65 3,472,798.84
2,851,393.70 703,839.16
7.4.7.2 5,213,935,138.87 6,348,500,447.16
4,961,710,138.87 5,244,473,643.16
--
252,225,000.00 1,104,026,804.00
--
7.4.7.3 - -
7.4.7.4 - -
--
7.4.7.5 6,649,329.38 21,718,032.52
--
1,166,417.61 3,317,267.90
--
7.4.7.6 - -
5,897,592,476.88 7,300,927,533.85
--
--
7.4.7.3 - -
--
97,763,475.69 5,224,938.67
18,322,631.65 55,537,127.14
7,264,734.78 9,334,476.79
1,210,789.12 1,555,746.14
--
7.4.7.7 5,525,940.78 1,551,476.89 16
--
--
- -
--
7.4.7.8 1,477,560.81 1,309,742.59
131,565,132.83 74,513,508.22
7.4.7.9 1,058,027,346.14 2,089,358,790.42
7.4.7.10 4,707,999,997.91 5,137,055,235.21
5,766,027,344.05 7,226,414,025.63
5,897,592,476.88 7,300,927,533.85
2009 12 31 5.4498 1,058,027,346.14
2009 1 1 2009 12 31
3,118,045,602.87 -6,517,149,106.53
1. 18,884,632.59 36,654,013.14
7.4.7.114,707,599.47 10,443,161.21
14,177,033.12 26,210,851.93
- -
- -
- -
2. - 780,745,627.60 -1,282,906,180.74
7.4.7.12738,709,618.94 -1,404,623,863.34
- -
7.4.7.132,680,997.46 5,855,213.96
- -
7.4.7.14 - 46,957,553.87
7.4.7.1539,355,011.20 68,904,914.77
3. - 7.4.7.16 2,313,290,901.80 -5,276,498,232.80
4. - -
5. - 7.4.7.17 5,124,440.88 5,601,293.87
153,241,260.61 210,084,476.49 17
1 93,946,536.27 150,298,537.10
2 15,657,756.06 25,049,756.26
3 - -
4 7.4.7.1843,137,393.94 30,353,996.16
5 18,867.64 3,860,165.16
18,867.64 3,860,165.16
6 7.4.7.19480,706.70 522,021.81
2,964,804,342.26 -6,727,233,583.02
- -
2,964,804,342.26 -6,727,233,583.02
2009 1 1 2009 12 31
2009 1 1 2009 12 31
2,089,358,790.42 5,137,055,235.21 7,226,414,025.63
-2,964,804,342.26 2,964,804,342.26
- -1,031,331,444.28-3,393,859,579.56 -4,425,191,023.84
1. 436,990,302.651,433,810,721.15 1,870,801,023.80
2. -1,468,321,746.93-4,827,670,300.71 -6,295,992,047.64
- -- -
1,058,027,346.14 4,707,999,997.91 5,766,027,344.05
2008 1 1 2008 12 31
2,058,514,359.29 11,279,377,328.51 13,337,891,687.80
--6,727,233,583.02 -6,727,233,583.02
30,844,431.13584,911,489.72 615,755,920.85 18
-
1. 1,187,710,562.844,493,441,084.17 5,681,151,647.01
2. -1,156,866,131.71-3,908,529,594.45 -5,065,395,726.16
- -- -
2,089,358,790.42 5,137,055,235.21 7,226,414,025.63
( ) ( ) [2005] 155 ( ) 767,319,308.57 (2005) 150 2005 10
11 767,620,088.15 300,779.58
60% - 95% 5% - 40% 5% A X 80% X 20%
2010 3 30
2006 2 15 38 19
( ) [2010]5 XBRL 3 < > 2007 5 15 7.4.4
2009 2009
12 31 2009
1 1 12 31
(1)
( )
(2)
20
( )
(1)
(2)
(3)
/( )
21
( ) ( )
(1) (2) (3)
(1)
22
(2)
(a) [2008]38
(b) [2006]37
(c) [2007]21 < >
[2002]128 [2004]78 [2005]102 [2005]107 [2008]1
23
(1)
(2)
(3) 20% 50% 20%
(4) 0.1%
659,678,232.67 923,215,148.27
- -
--
659,678,232.67 923,215,148.27
3,947,330,141.94 4,961,710,138.87 1,014,379,996.93
-- -
252,238,850.00252,225,000.00 -13,850.00 252,238,850.00252,225,000.00 -13,850.00
-- -
-- -
-- -
4,199,568,991.94 5,213,935,138.87 1,014,366,146.93
6,557,756,710.19 5,244,473,643.16 -1,313,283,067.03
16,333,848.64 16,798,304.00 464,455.36 1,073,334,643.201,087,228,500.00 13,893,856.80 24
1,089,668,491.841,104,026,804.00 14,358,312.16
-- -
-- -
-- -
7,647,425,202.03 6,348,500,447.16 -1,298,924,754.87
1. 2009 12 31 (2008 12 31 177,374,078.88 2008 94,819,243.60 )
2. 13,907,706.80 (2008 13,893,452.69 )
139,799.10 237,914.38
--
--
5,125.12 1,684.24
6,503,863.01 21,478,288.15
--
516.52 113.42
25.63 32.33
6,649,329.38 21,718,032.52
5,524,865.78 1,547,639.39
1,075.00 3,837.50 25
5,525,940.78 1,551,476.89
1,000,000.00 1,000,000.00
37,560.81 149,742.59
440,000.00 160,000.00
1,477,560.81 1,309,742.59
2009 1 1 2009 12 31 2,089,358,790.42 2,089,358,790.42
436,990,302.65 436,990,302.65
-1,468,321,746.93 -1,468,321,746.93
1,058,027,346.14 1,058,027,346.14
4,674,505,309.20 462,549,926.01 5,137,055,235.21
651,513,440.46 2,313,290,901.80 2,964,804,342.26
-2,243,170,732.46 -1,150,688,847.10 -3,393,859,579.56
982,056,701.13 451,754,020.02 1,433,810,721.15
-3,225,227,433.59 -1,602,442,867.12 -4,827,670,300.71
---
3,082,848,017.20 1,625,151,980.71 4,707,999,997.91
2009 1 1
2009 12 31 2008 1 1
2008 12 31 4,569,405.97
10,267,570.61
--
--
121,204.72 86,822.06 26
16,988.78 88,768.54
4,707,599.47 10,443,161.21
2009 1 1
2009 12 31 2008 1 1
2008 12 31
15,258,026,522.09 4,839,102,274.62
14,519,316,903.15 6,243,726,137.96
738,709,618.94 -1,404,623,863.34
2009 1 1
2009 12 31 2008 1 1
2008 12 31 1,628,202,216.04 2,272,024,879.94
1,582,925,691.84 2,226,983,769.00
42,595,526.74 39,185,896.98
2,680,997.46 5,855,213.96
2009 1 1
2009 12 31 2008 1 1
2008 12 31 - 146,677,723.54
- 99,720,169.67
- 46,957,553.87
2009 1 1
2009 12 31 2008 1 1
2008 12 31 39,355,011.20 68,904,914.77
--
39,355,011.20 68,904,914.77
27
2009 1 1
2009 12 31 2008 1 1
2008 12 31 2,313,290,901.80 -5,165,138,081.26
2,327,663,063.96 -5,159,776,281.07
-14,372,162.16 -5,361,800.19
--
--
- -111,360,151.54
- -111,360,151.54
--
2,313,290,901.80 -5,276,498,232.80
2009 1 1
2009 12 31 2008 1 1
2008 12 31 4,227,169.56 4,302,057.80
854,987.93 1,282,086.15
38,614.94 17,149.92
3,668.45 -
5,124,440.88 5,601,293.87
1. 25%
2. 25%
2009 1 1
2009 12 31 2008 1 1
2008 12 31 43,129,931.44 30,340,758.66
7,462.50 13,237.50
43,137,393.94 30,353,996.16
2009 1 1
2009 12 31 2008 1 1
2008 12 31 28
140,000.00 160,000.00
300,000.00 300,000.00
22,706.70 44,021.81
18,000.00 18,000.00
480,706.70 522,021.81
2010 1 26 2010 1 28 10 18.8
( )
( )
( )
J.P. Morgan Investment Management Limited ( )
J.P. Morgan Asset Management
(London) Limited
( )
J.P. Morgan 8CS Investments (GP) Limited
(2009 10 27 J.P.Morgan Asset
Management Real Estate Advisers Limited)
( )
29
2009 1 1
2009 12 31 2008 1 1
2008 12 31 93,946,536.27 150,298,537.10
7,888,336.93 9,528,066.56
2009 1 1 2009 12 31 2008 1 1
2008 12 31 15,657,756.06 25,049,756.26
2009 1 1 2009 12 31
- 10,103,106.85 - - 60,800,000.00 18,867.64
2008 1 1 2008 12 31
- - - - 1,377,500,000.00 843,490.93
30
2009 1 1
2009 12 31
2008 1 1
2008 12 31
659,678,232.67 4,569,405.97 923,215,148.27 10,267,570.61
( 7.4.8.2)
601888 09-09-25 10-01-15 11.78 20.94 89,359 1,052,649.02 1,871,177.46 - 300015 09-10-15 10-02-01 28.00 48.80 38,568 1,079,904.00 1,882,118.40 - 300027 09-10-19 10-02-01 28.58 55.43 55,467 1,585,246.86 3,074,535.81 -
3,717,799.88 6,827,831.67
000709
09-12-16 7.09 10-01-25 6.60 62 705.74 439.58
31
2009 12 31
32
2009 12 31 (2008 12 31 0.23%)
10% 10% 7.4.12
( )
33
2009 12 31 3 3 1 1 5 5
659,678,232.67 - - - - 659,678,232.67
13,311,964.65 - - - - 13,311,964.65
66,666.00 - - - 2,784,727.70 2,851,393.70
- 98,250,000.00153,975,000.00 -4,961,710,138.87 5,213,935,138.87
- - - -6,649,329.38 6,649,329.38
88,456.44 - - - 1,077,961.17 1,166,417.61
673,145,319.76 98,250,000.00153,975,000.00 4,972,222,157.12 5,897,592,476.88
- - - -97,763,475.69 97,763,475.69
- - - -18,322,631.65 18,322,631.65
- - - -7,264,734.78 7,264,734.78
- - - -1,210,789.12 1,210,789.12
- - - -5,525,940.78 5,525,940.78
- - - -1,477,560.81 1,477,560.81
- - - - 131,565,132.83 131,565,132.83
673,145,319.76 98,250,000.00153,975,000.00 - 4,840,657,024.29 5,766,027,344.05
2008 12 31 3 3 1 1 5 5
923,215,148.27 - - - - 923,215,148.27
3,472,798.84 - - - - 3,472,798.84
66,666.00 - - - 637,173.16 703,839.16
275,079,500.00 654,854,000.00146,061,046.0028,032,258.005,244,473,643.16 6,348,500,447.16
- - - - 21,718,032.52 21,718,032.52
201,673.79 - - - 3,115,594.11 3,317,267.90
1,202,035,786.90 654,854,000.00 146,061,046.0028,032,258.005,269,944,442.95 7,300,927,533.85
- - - -5,224,938.67 5,224,938.67
- - - -55,537,127.14 55,537,127.14
- - - -9,334,476.79 9,334,476.79
- - - -1,555,746.14 1,555,746.14 34
- - - -1,551,476.89 1,551,476.89
- - - -1,309,742.59 1,309,742.59
- - - -74,513,508.22 74,513,508.22
1,202,035,786.90 654,854,000.00146,061,046.0028,032,258.005,195,430,934.73 7,226,414,025.63
2009 12 31 4.37%(2008 12 31 15.28%) (2008 12 31 )
60%-95% 5%-40% VaR(Value at Risk)
4,961,710,138.87 86.05 5,244,473,643.16 72.57
--- - 35
--- -
4,961,710,138.87 86.05 5,244,473,643.16 72.57
A 1. A 5% 22,591 23,467
2. A 5% 22,591 23,467
4,961,710,138.87 84.13
4,961,710,138.87 84.13
252,225,000.00 4.28
252,225,000.00 4.28
- -
- -
- -
- -
672,990,197.32 11.41
10,667,140.69 0.18
5,897,592,476.88 100.00
36
17,509,795.05 0.30
78,429,322.36 1.36
3,016,623,796.80 52.32
551,877,818.00 9.57
--
388.50 0.00
--
112,174,221.37 1.95
19,010,035.65 0.33
297,422,942.51 5.16
1,615,076,480.98 28.01
421,061,909.79 7.30
--
63,699,752.86 1.10
4,221.98 0.00
33,990,549.78 0.59
3,739.08 0.00
505,605,597.25 8.77
812,347,362.92 14.09
58,359,631.86 1.01
93,039,259.26 1.61
3,074,535.81 0.05
279,022,573.86 4.84
4,961,710,138.87 86.05
1 600036
21,800,750 393,503,537.50 6.82
2 000527
15,578,398 361,418,833.60 6.27
3 600519
2,026,483344,137,343.06 5.97
4 600031
7,359,556270,905,256.36 4.70
5 600517
12,282,648 229,071,385.20 3.97
6 601169
11,399,757 220,471,300.38 3.82 37
7 600089
8,945,452212,901,757.60 3.69
8 000895
3,527,570187,313,967.00 3.25
9 600582
5,313,290184,636,827.50 3.20
10 600660
11,283,569 168,576,520.86 2.92
11 000800
6,316,174164,346,847.48 2.85
12 600153
12,586,103 163,115,894.88 2.83
13 600518
14,399,779 153,069,650.77 2.65
14 000759
11,392,269 149,808,337.35 2.60
15 600858
5,373,406139,601,087.88 2.42
16 600415
2,896,013129,538,661.49 2.25
17 600315
3,409,493112,172,319.70 1.95
18 002024
5,389,549111,994,828.22 1.94
19 600258
3,860,180 89,285,963.40 1.55
20 600479
3,124,509 83,986,801.92 1.46
21 000878
2,687,227 82,256,018.47 1.43
22 000417
5,499,864 80,683,004.88 1.40
23 600329
3,713,808 80,218,252.80 1.39
24 600664
4,125,598 76,199,795.06 1.32
25 601628
2,257,236 71,531,808.84 1.24
26 600121
4,999,940 63,699,235.60 1.10
27 601009
3,142,985 60,816,759.75 1.05
28 600590
3,920,290 60,490,074.70 1.05
29 601318
1,075,760 59,263,618.40 1.03
30 600006
8,599,773 58,994,442.78 1.02
31 000060
1,669,819 46,587,950.10 0.81
32 601958
2,227,854 42,462,897.24 0.74
33 600162
4,779,723 42,157,156.86 0.73
34 600761
2,942,101 41,807,255.21 0.73
35 000983
901,61835,965,542.02 0.62
36 601006
3,300,000 33,990,000.00 0.59
37 601989
3,900,000 30,459,000.00 0.53
38 002038
594,38826,390,827.20 0.46
39 002179
902,21919,009,754.33 0.33
40 600354
964,72717,509,795.05 0.30
41 000918
1,009,500 16,202,475.00 0.28
42 000858
500,36715,841,619.22 0.27
43 600622
805,371 9,881,902.17 0.17
44 601166
167,655 6,758,173.05 0.12
45 600737
273,630 4,583,302.50 0.08
46 300027
55,467 3,074,535.81 0.05
47 300015
38,568 1,882,118.40 0.03 38
48 601888
89,359 1,871,177.46 0.03
49 000999
59,949 1,196,582.04 0.02
50 600875
882 39,769.38 0.00
51 600631
196 3,531.92 0.00
52 601668
534 2,520.48 0.00
53 601988
500 2,165.00 0.00
54 600406
39 1,909.44 0.00
55 600104
69 1,802.97 0.00
56 600266
90 1,610.10 0.00
57 600690
63 1,561.77 0.00
58 000568
27 1,054.08 0.00
59 600117
100 1,049.00 0.00
60 600657
89 998.58 0.00
61 000009
84 922.32 0.00
62 002109
80 874.40 0.00
63 600050
114 831.06 0.00
64 000707
73 761.39 0.00
65 600019
75 724.50 0.00
66 600495
35 716.45 0.00
67 600997
26 655.46 0.00
68 600377
77 549.78 0.00
69 000869 A 7 532.14 0.00
70 002050
22 494.78 0.00
71 601766
80 455.20 0.00
72 000709
62 439.58 0.00
73 600978
50 388.50 0.00
74 600027
65 349.05 0.00
75 002008
26 281.32 0.00
76 000659
34 265.88 0.00
77 000898
15 240.00 0.00
78 601808
14 227.64 0.00
79 600011
21 168.21 0.00
80 601186
10 91.40 0.00
2% 20
1 600030 413,675,787.19 5.72 39
2 601318 325,839,316.30 4.51
3 601186 315,961,528.22 4.37
4 600031 293,665,320.08 4.06
5 000527 246,009,625.22 3.40
6 601958 238,440,289.02 3.30
7 601857 224,651,749.98 3.11
8 600153 222,714,196.86 3.08
9 000069 221,880,515.87 3.07
10 000002 A 216,633,829.34 3.00
11 601009 211,999,511.75 2.93
12 000878 208,049,418.90 2.88
13 601169 204,769,738.62 2.83
14 000983 185,347,252.49 2.56
15 600162 176,752,153.69 2.45
16 600016 160,201,082.58 2.22
17 601699 157,485,651.82 2.18
18 601918 155,201,566.03 2.15
19 000060 152,655,233.99 2.11
20 601628 148,983,550.07 2.06
21 600415 148,932,784.15 2.06
22 601668 148,118,558.51 2.05
23 601919 145,125,603.04 2.01
“ ” “ ” “ ” “ ”
1 601318 540,870,588.95 7.48
2 600089 471,421,733.42 6.52
3 000063 440,620,563.03 6.10
4 600030 437,919,347.14 6.06
5 600519 407,828,261.66 5.64
6 600036 400,666,850.82 5.54
7 000425 380,210,682.33 5.26
8 601186 372,141,592.11 5.15
9 000983 322,298,852.18 4.46
10 601398 319,340,206.36 4.42
11 000069 282,430,423.63 3.91
12 000002 A 271,178,979.59 3.75
13 600585 250,767,135.19 3.47 40
14 601328 208,094,353.58 2.88
15 601857 203,793,377.31 2.82
16 601699 194,646,650.57 2.69
17 601918 185,536,610.19 2.57
18 601166 185,356,283.03 2.56
19 600729 170,613,721.53 2.36
20 000999 167,007,754.07 2.31
21 601958 166,077,817.98 2.30
22 600019 163,194,352.50 2.26
23 600016 160,919,495.98 2.23
24 002007 155,394,494.58 2.15
25 600162 154,143,479.66 2.13
26 600048 153,992,451.39 2.13
27 600997 150,353,317.97 2.08
28 601009 148,543,735.76 2.06
“ ” “ ” “ ” “ ”
11,909,173,864.90
15,258,026,522.09
- -
252,225,000.00 4.37
- -
- -
- -
- -
- -
- -
252,225,000.00 4.37
41
1 080101708 17 1,500,000 153,975,000.00 2.67
2 090104409 44 1,000,000 98,250,000.00 1.70
3 ---- -
4 ---- -
5 ---- -
2,851,393.70
-
-
6,649,329.38
1,166,417.61
-
-
-
10,667,140.69
42
( )
157,241
6,728.70 169,169,353.85 15.99% 888,857,992.29 84.01%
127,611.86 0.01%
2005 10 11 767,620,088.15
2,089,358,790.42
436,990,302.65
1,468,321,746.93
-
1,058,027,346.14 43
2009 2 28
2009 5 20
2009 10 31
44
140,000
1 3,343,401,362.46 12.32% 2,841,879.70 12.47% -
1 3,912,770,624.60 14.41% 3,325,841.11 14.59% -
1 10,472,993,414.02 38.58% 8,901,988.44 39.06% -
1 840,039,068.22 3.09% 682,535.89 2.99% -
1 2,052,230,295.73 7.56% 1,667,451.33 7.32% -
1 1,885,618,524.47 6.95% 1,602,771.30 7.03% -
1 3,357,607,728.16 12.37% 2,728,088.22 11.97% -
1 1,279,332,253.08 4.71% 1,039,467.05 4.56% -
1.
2.
3. 4.2009 ,
775,700.70 4.15%
7,088,644.12 37.93% 45
10,823,934.40 57.92%
--
--
--
--
--
1.
000709
2009 1 5
2.
000792
2009 1 6
3.
000792
2009 1 9
4.
2009 2 6
5.
2009 2 28
6.
2009 4 9
7.
2009 4 28 8.
9.
2009 5 20
10.
2009 7 6
11.
2009 9 17
46
12.
2009 9 23
13.
2009 10 31
1.
2.
3.
4.
5.
6.
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