.............................................................................................................................................1
.............................................................................................................................................2
.....................................................................................................................................6
...................................................................................................................................12
...............................................................................................................................21
...............................................................................................................................22
...........................................................................................................................29
...............................................................................................................................33
.......................................................................................................................36
...........................................................................................................37
...............................................................................................................46
...........................................................................................................................48
...........................................................................................................................49
.......................................................................................................................51
...............................................................................................................55
...............................................................................................................57
...................................................................................................................58
...................................................................................63
...........................................................................................................................65
...................................................................................................................69
...................................................................................................................71
.......................................................................................................73
...............................................................................................88
.......................................................................................................97
.............................................................................................................100
.....................................................................................101
.........................................................................................................................102
1
< >
,
2
3
,
4
T
T+n T n T
5
6
1
2
3
4
7
5
6
7
8
9
10
8
11
12
13
14
10%
9
1
1
2
3
4
2
3
4
10
5
OTC
1
2
3
4
5
6
, ,
11
7
8
, ,
9
/
10
11
12
12
60 -95 5 -40
80% GICS 6
80% 23 MOU / QDII MOU 3% MOU 10%
1
2
3
13
Black-Litterman
1
2
1
Black Litterman Black-Litterman Black-Litterman
MSCI
OECD
OECD
OECD
OECD PPI
Brent
14
2
10000
3
,
,
4
15
MSCI World Large Cap Index
1
16
2
3
MSCI Black-Litterman
4
5
1 20%
2 10%
3 10% 3%
4 10%
5 10%
17
6 10%
7 20%
1 — 7 30
8 10
10 3
9 60 95%
10 6 6
11
1 100%
2 10%
3
1
2
3 20%
12 1 2 102 3 4 5
18
13 1 2 102% 3 4 102%
14 50%
15
1
2
3
4
5 10%
6
7
8
9
10
11
12
13
14
15
16
19
17
6 30
1
2
3
4 3
1
2
3
4
5
6
20
7
8
9
1
2
/
3
4
21
GIPS
1
2
GIPS
3
GIPS
4
GIPS
22
1
1006 GH
18 A 21
1999 3
[1999]6
010 82255818
010 82255988
2
[1999]6 1999 3 10000 41% 33% 13% 13%
1
2004 10
23
JP
JP
PECC 2007
24
2
3
2007 8
4
CFA
25
2007 8
MBA CFA / 2007 12
5
26
1
2
3
4
5
6
7
8
9
10
11
12
1
2
1
2
3
4
5
3
1
2
27
3
4
1
1
2
3
4
5
6
2
,
3
1
28
2
3
4
1
2
3
5
29
www.gs.com
30
· · 6 Ruth Gao
31
32
33
1
2
3
3
2010 4 19 2010 5 21
34
1.00
1 2010 4 19 2010 5 21
2
3 1,000 1,000
4 T T+2
1
M
M 50 1.2%
50 M 200 1.0%
200 M 500 0.8%
M 500
1000
2
3
= / 1
/
35
=
/
100,000 1.2% 50
=100,000/ 1+1.2% 98814.23
=100,000-98814.23 1185.77
= 98814.23+50 /1.00 98864.23
36
1 2 2
2 200
1
2
1
2
200 5000 200 5000
37
38
39
1,000 1,000
=
/
T
=
40
41
7
8
9
42
2 20
43
44
45
46
47
48
49
1
2
3
4
5
6
7
8
9
10
1
2
3
50
4
5
6
7
51
52
53
11
54
1
2
3
4
5
6
1 8
2
3
55
56
57
58
1
2
3
4
5
6
59
60
61
62
63
1
2
3
1
2
1
2
3
3
1
2
3
4
5
6
64
7
4
5
1
2
3
4
1 2 3
6
65
66
67
68
,
69
( )
1
1
1964 10 16
+852-3419-3753
( ) 1964 2001 10 1 ( ) - ( ) - 2001 2 2002 7 25 2002 12 2
2009 6 30 1,430 114.4 , 55.2 16.1% (2009 6 30
):
/F itc h R a tin gs
A
F 1
/Moody s
A a3
P - 1
/Standard & Poor s
A -
A - 2
2009 6 30 2,910
/
70
( ) Prudential Corporation Holdings Limited ( ) 64% 36%
30 10
, QDII QDII
71
1
1
18 A 20
010 82255818 263 288
010 82255981 82255982
2
256 1601
021 68889056
021 68869156
http://www.csfunds.com.cn
2
1
1
010 66594851
010 66594946
95566
www.boc.cn
1006 GH
72
18 A 20-22
1999 3
010 82255818
010 82255988
73
74
75
76
77
78
29
30
79
31
80
81
82
83
84
85
86
87
88
1
1006 GH 1999 3 26
2
89
1
1
2
3
4
5
6
2
3
90
4
5
6
7 ( )
1
2
3
1
1
91
2
3
4
5
6 7 2
1
2 2 2
3
3
1
2
3
4
4
92
1
2
3
4
5
1
2
6
7
30
20
1
1
2
93
12 00
18 00
3
4
5
6 7
8
9
94
2
1
2
3
5 45 10 15 45 60 70 90
5 10 15
95
1
1
2
3
4
2
5 5
3
60
96
1
2
1
2
3
4
3
97
24
98
24 EMAIL
EMAIL
EMAIL
99
Email
010 62350088
400-888-2666
http://www.csfunds.com.cn
services@csfunds.com.cn
100
101
102