2010
1
2
2.1
377010
377010
2005 10 11
1,410,967,424.40
1
2.2
(Barbell Approach) “ ” “ ”
“Dynamic Fund” “ ”
A ×80 ×20
2.3
021-38794999 010-67595003
xia.hong@jpmf-sitico.com yindong@ccb.cn
400-889-4888 010-67595096
021-68881170 010-66275853
2.4
http://www.51fund.com
2
3
3.1
3.1.1
2010 2009 2008
398,113,686.39 651,513,440.46 -1,450,735,350.22
-393,043,277.00 2,964,804,342.26 -6,727,233,583.02
-0.2736 2.0981 -3.1317
-6.51% 57.57% -46.62%
3.1.2
2010 2009 2008
1.3511 2.9138 2.2373
4,446,327,895.24 5,766,027,344.05 7,226,414,025.63
3.1513 5.4498 3.4587
3.2
3.2.1
0.68% 1.71% 5.32% 1.37% -4.64% 0.34%
17.73% 1.48% 21.46% 1.22% -3.73% 0.26%
-6.51% 1.39% -3.75% 1.25% -2.76% 0.14%
-21.36% 1.72% -25.09% 1.87% 3.73% -0.15%
415.04% 1.68% 229.01% 1.74% 186.03% -0.06%
425.44% 1.64% 230.68% 1.71% 194.76% -0.07%
80%× A +20%×
3
3.2.2
2005 10 11 2010 12 31
2005 10 11 2005 10 11 2010
12 31
2005 10 11 2006 4 10
3.2.3
4
3.3
10
2010 18.800 1,219,313,961.75 1,165,190,811.98 2,384,504,773.73 -
2009 ---- -
2008 ---- -
18.800 1,219,313,961.75 1,165,190,811.98 2,384,504,773.73 -
2010 1 18 2010 1
29 , 10 18.80 2,384,504,773.73
4
4.1
4.1.1
2004 5 12 2007 10 8 “ ” 2.5 2010 12
5
4.1.2
2009-4-28 - 12 2007
4 2008 4 2008 5 2008 9
2010-7-16 - 11 11 2004
8 2007 5 2006 9 2007 6 2010 3 2007 9 2009 1 2010 3
6
2009-9-17 2010-11-18 10 2001 2006 2006
4 2008 12 2010 1
2009-1-1
12 1998 2007 2007
5
4.2
4.3
4.3.1
,
7
4.3.2
2009 2009
4.3.3
4.4
4.4.1
2010
4.4.2
2010 12 31 3.1513 5.0713 -6.51% -3.75%
4.5
2011 “ ” “ ” “ ” 2011 “ ” “ ”
8
4.6
4.7
2010 1 18 2010 1 29 , 10 18.80 2,384,504,773.73
5
5.1
5.2
2,384,504,773.73
5.3
9
6
2010 “ ” (2011) 20624
§7
7.1
2010 12 31
2010 12 31
2009 12 31
343,872,907.33 659,678,232.67
9,851,072.54 13,311,964.65
2,767,729.41 2,851,393.70
4,189,623,273.93 5,213,935,138.87
3,959,572,170.53 4,961,710,138.87
--
230,051,103.40 252,225,000.00
--
--
--
8,164,665.10 -
8,657,133.56 6,649,329.38
--
875,555.35 1,166,417.61
--
--
4,563,812,337.22 5,897,592,476.88
2010 12 31
2009 12 31
10
--
--
--
--
36,650,521.91 97,763,475.69
66,103,071.55 18,322,631.65
5,948,205.92 7,264,734.78
991,367.62 1,210,789.12
--
6,127,549.08 5,525,940.78
--
--
--
--
1,663,725.90 1,477,560.81
117,484,441.98 131,565,132.83
1,410,967,424.40 1,058,027,346.14
3,035,360,470.84 4,707,999,997.91
4,446,327,895.24 5,766,027,344.05
4,563,812,337.22 5,897,592,476.88
2010 12 31 3.1513 1,410,967,424.40
7.2
2010 1 1 2010 12 31
2010 1 1 2010
12 31
2009 1 1 2009 12 31
-277,311,689.03 3,118,045,602.87
1.
13,365,116.76 18,884,632.59
4,395,984.82 4,707,599.47
8,969,131.94 14,177,033.12
--
11
--
--
2. “-”
498,172,720.33 780,745,627.60
471,454,642.90 738,709,618.94
--
3,927,915.35 2,680,997.46
--
--
22,790,162.08 39,355,011.20
3. “-”
-791,156,963.39 2,313,290,901.80
4. “ ”
--
5. “-”
2,307,437.27 5,124,440.88
115,731,587.97 153,241,260.61
1
68,935,824.77 93,946,536.27
2
11,489,304.11 15,657,756.06
3
--
4
34,839,271.32 43,137,393.94
5
- 18,867.64
- 18,867.64
6
467,187.77 480,706.70
“-”
-393,043,277.00 2,964,804,342.26
--
“-”
-393,043,277.00 2,964,804,342.26
7.3
2010 1 1 2010 12 31
2010 1 1 2010 12 31
1,058,027,346.14 4,707,999,997.91 5,766,027,344.05
12
- -393,043,277.00 -393,043,277.00
“-”
352,940,078.26 1,104,908,523.66 1,457,848,601.92
1. 1,052,654,629.65 2,725,469,776.94 3,778,124,406.59
2. -699,714,551.39 -1,620,561,253.28 -2,320,275,804.67
“-”
- -2,384,504,773.73 -2,384,504,773.73
1,410,967,424.40 3,035,360,470.84 4,446,327,895.24
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. 436,990,302.65 1,433,810,721.15 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
7.1 7.4
7.4
7.4.1
( “ ”) ( “ ”) [2005] 155 ( “ ”) 767,319,308.57 (2005) 150
13
2005 10 11 767,620,088.15 300,779.58
60% - 95% 5% - 40% 5% A X 80% X 20%
2011 3 28
7.4.2
2006 2 15 38 ( ) [2010]5 XBRL 3 < > 2007 5 15 7.4.4
7.4.3
2010 2010 12 31 2010
7.4.4
7.4.5
7.4.5.1
7.4.5.2
7.4.5.3
14
7.4.6
[2002]128 [2004]78 [2005]102 [2005]107 [2008]1
(1)
(2)
(3) 20% 50% 20%
(4) 0.1%
7.4.7
(“ ”)
(“ ”)
( )
J.P. Morgan Investment Management
Limited
( )
J.P. Morgan 8CS Investments (GP)
Limited
( )
7.4.8
7.4.8.1
7.4.8.2
15
7.4.8.2.1
2010 1 1 2010 12 31
2009 1 1 2009 12 31
68,935,824.77 93,946,536.27
6,259,520.20 7,888,336.93
1.5%
X 1.5% /
7.4.8.2.2
2010 1 1 2010 12 31
2009 1 1 2009 12 31
11,489,304.11 15,657,756.06
0.25%
X 0.25% /
7.4.8.3 ( )
2010 1 1 2010 12 31
- - - - - -
2009 1 1 2009 12 31
- 10,103,106.85 - - 60,800,000.00 18,867.64
7.4.8.4
7.4.8.5
16
2010 1 1 2010 12 31
2009 1 1 2009 12 31
343,872,907.33 4,255,786.65 659,678,232.67 4,569,405.97
7.4.8.6
7.4.8.7
7.4.9 2010 12 31
7.4.9.1 /
7.4.12.1.1
( )
600963
10/12/28 11/01/06
7.70 10.09 1,203,277 9,265,232.90 12,141,064.93 -
601118
10/12/30 11/01/07 5.99 5.99 5,000 29,950.00 29,950.00 -
9,295,182.90 12,171,014.93
7.4.9.2
( )
600518
10/12/28
19.71 11/01/06 17.29 12,500,000 124,251,890.22 246,375,000.00 -
600315
10/12/06
36.37
4,200,000 66,964,286.23 152,754,000.00
-
002200
10/12/29
26.53 11/01/04 28.00 411,945 15,591,521.01 10,928,900.85 -
206,807,697.46 410,057,900.85
2010 12 31
7.4.9.3
17
7.4.10
(1)
(a)
(b)
( )
( ) ( )
( )
2010 12 31 3,559,238,373.08 630,384,900.85 (2009 12 31 4,961,709,699.29 252,225,439.58 )
(2009 ) (2009 )
(2)
§8
8.1
%
1
3,959,572,170.53 86.76
3,959,572,170.53 86.76
18
2
230,051,103.40 5.04
230,051,103.40 5.04
- -
3
- -
4
- -
- -
5
353,723,979.87 7.75
6
20,465,083.42 0.45
7
4,563,812,337.22 100.00
2010 12 31 4,446,327,895.24 3.1513 5.0713
8.2
A
10,958,850.85 0.25
B
339,601,264.10 7.64
C
2,277,237,711.76 51.22
C 0
314,144,425.31 7.07
C 1
33,332,442.00 0.75
C 2
- -
C 3
52,611,288.09 1.18
C 4
248,745,666.84 5.59
C 5
193,901,901.34 4.36
C 6
479,274,667.09 10.78
C 7
535,279,962.98 12.04
C 8
397,424,289.85 8.94
C 99
22,523,068.26 0.51
D
24,740,000.00 0.56
E
40,426,952.77 0.91
F
57,851,817.12 1.30
G
206,198,877.40 4.64
H
212,806,824.29 4.79
I
290,358,094.70 6.53
J
245,466,206.54 5.52
19
K
8,413,481.00 0.19
L
128,122,090.00 2.88
M
117,390,000.00 2.64
3,959,572,170.53 89.05
8.3
1 600518
12,500,000 246,375,000.00 5.54
2 002179
9,382,081 173,193,215.26 3.90
3 600315
4,200,000 152,754,000.00 3.44
4 000400
3,959,915 131,785,971.20 2.96
5 000009
7,000,000 117,390,000.00 2.64
6 600100
4,000,000 106,040,000.00 2.38
7 600037
8,000,000 100,000,000.00 2.25
8 002385
2,400,000 96,984,000.00 2.18
9 600475
3,930,380 93,896,778.20 2.11
10 002155
2,599,763 93,383,486.96 2.10
http://www.51fund.com
8.4
8.4.1 2% 20
1 600050
246,991,205.71 4.28
2 601169
246,580,156.16 4.28
3 601601
229,628,902.30 3.98
4 600000
201,731,155.49 3.50
5 600549
189,568,233.06 3.29
6 600383
177,463,583.33 3.08
7 000400
175,545,383.27 3.04
8 002179
170,735,212.67 2.96
9 000933
169,137,047.16 2.93
10 600037
166,379,272.49 2.89
20
11 000009
160,454,236.35 2.78
12 601111
153,655,609.65 2.66
13 601688
150,033,695.77 2.60
14 600475
148,849,768.54 2.58
15 600100
147,401,046.97 2.56
16 600115
135,071,275.98 2.34
17 600546
134,854,966.11 2.34
18 002385
130,326,977.72 2.26
19 000898
129,957,408.58 2.25
20 600153
126,121,866.54 2.19
21 002024
121,478,840.17 2.11
22 000061
121,415,470.72 2.11
23 000829
119,213,706.46 2.07
24 000983
116,840,706.33 2.03
25 600009
115,685,245.22 2.01
“ ” “ ” “ ” “ ”
8.4.2 2% 20
1 600031
343,683,309.45 5.96
2 600036
341,730,868.04 5.93
3 601169
326,241,717.76 5.66
4 600519
324,579,662.69 5.63
5 600153
291,025,959.15 5.05
6 000527
282,012,694.39 4.89
7 600517
235,355,225.91 4.08
8 000895
194,684,614.82 3.38
9 600089
192,624,522.13 3.34
10 000759
166,612,386.76 2.89
11 600000
156,569,710.95 2.72
12 600549
156,104,494.84 2.71
13 600050
154,080,587.08 2.67
14 600664
152,416,713.38 2.64
15 600582
151,255,292.40 2.62
16 600115
145,343,179.03 2.52
17 000878
145,075,715.82 2.52
18 600415
144,588,264.01 2.51
19 000983
142,170,976.18 2.47
21
20 601601
141,162,043.38 2.45
21 002024
140,117,610.00 2.43
22 600858
133,681,826.77 2.32
23 000800
133,455,708.84 2.31
24 600160
131,047,999.55 2.27
25 600660
126,811,240.22 2.20
26 000061
120,920,019.25 2.10
27 600258
116,223,386.27 2.02
28 601628
116,159,892.28 2.01
29 000829
115,681,858.15 2.01
“ ” “ ” “ ” “ ”
8.4.3
11,000,778,937.45
11,686,188,541.90
“ ” “ ” “ ” “ ”
8.5
1
- -
2
220,327,000.00 4.96
3
- -
- -
4
- -
5
- -
6
9,724,103.40 0.22
7
- -
8
230,051,103.40 5.17
8.6
22
1 0801017
08 17
1,500,000 150,180,000.00 3.38
2 0801020
08 20
500,000 50,075,000.00 1.13
3 0801044
08 44
200,000 20,072,000.00 0.45
4 113002
82,310 9,724,103.40 0.22
8.7
8.8
8.9
8.9.1
8.9.2
8.9.3
1
2,767,729.41
2
8,164,665.10
3
-
4
8,657,133.56
5
875,555.35
6
-
7
-
8
-
9
20,465,083.42
23
8.9.4
8.9.5
( )
(%)
1 600518
246,375,000.00 5.54
2 600315
152,754,000.00 3.44
2010 12 31
8.9.6
§9
9.1
( )
141,649 9,961.01 293,080,409.0220.77%1,117,887,015.38 79.23%
9.2
115,471.91 0.0082%
24
§10
(2005 10 11 )
767,620,088.15
1,058,027,346.14
1,052,654,629.65
699,714,551.39
-
1,410,967,424.40
§11
11.1
11.2
2010 2 3
2010 6 12
2011 2 9
2011 115
2011 1 31
25
11.3
11.4
11.5
120,000 6
11.6
11.7
11.7.1
1 1,864,617,910.538.24%1,584,923.07 8.37% -
1 6,641,379,047.9129.34%5,645,151.09 29.83% -
1 4,399,146,809.3519.44%3,739,262.67 19.76% -
1 1,681,558,495.197.43%1,366,278.06 7.22% -
1 5,928,461,732.3226.19%4,816,923.22 25.45% -
1 1,441,852,692.956.37%1,225,573.02 6.48% -
1 - - - - -
1 675,651,481.402.99%548,972.46 2.90% -
1.
2.
1 ,
26
2 ,
3 ,
4 , ,
5 , ,
3.
1
2
4. 2010
11.7.2
- - -- - -
15,256,778.50 87.57% - - - -
- - -- - -
2,165,413.57 12.43% - - - -
- - -- - -
- - -- - -
- - -- - -
- - -- - -
§12
1 2010 1 29
2 2010 5 13
3 2010 6 21
4 2010 7 1 2009 A 10
2.02 ( )
5 2010 9 15
27
6 2010 11 2 2010 A
