2012
1
34
2012
2012 6 30
2012
2
1
1.1
2012 8 28
2012 1 1 6 30
2012
3
1.2
1 ........................................................................................................................2
1.1 ....................................................................................................................................2
1.2 ............................................................................................................................................3
2 ....................................................................................................................................5
2.1 ............................................................................................................................5
2.2 ............................................................................................................................5
2.3 ........................................................................................................5
2.4 ............................................................................................................................6
2.5 ............................................................................................................................6
3 ................................................................................................6
3.1 ........................................................................................................6
3.2 ............................................................................................................................7
4 ................................................................................................................................8
4.1 ....................................................................................................8
4.2 ............................................................9
4.3 ........................................................................9
4.4 ............................................................9
4.5 ......................................................10
4.6 ..................................................................10
4.7 ......................................................................10
5 ..............................................................................................................................10
5.1 ..........................................................................10
5.2 ...... 11
5.3 ...................... 11
6 ...................................................................................... 11
6.1 .............................................................................................................................. 11
6.2 ......................................................................................................................................12
6.3 ..........................................................................................13
6.4 ..................................................................................................................................14
7 ..........................................................................................................................25
7.1 ..........................................................................................................25
7.2 ..........................................................................................26
7.3 ..............................26
7.4 ......................................................................................28
7.5 ..................................................................................30
7.6 ..........................30
7.7 ..............30
7.8 ..........................30
7.9 ..................................................................................................................30
8 ..............................................................................................................31
2012
4
8.1 ..............................................................................31
8.2 ..................................................................31
9 ..............................................................................................................31
10 ..........................................................................................................................31
10.1 ...............................................................................................31
10.2 ...............................32
10.3 ...................................................32
10.4 .......................................................................................................32
10.5 ...................................................................................32
10.6 ...........................................32
10.7 .......................................................................32
10.8 ...................................................................................................................33
11 ..........................................................................................33
12 ..........................................................................................................................33
12.1 ...................................................................................................................33
12.2 ...........................................................................................................................34
12.3 ...........................................................................................................................34
2012
5
2
2.1
376510
376510
2010 12 20
899,722,707.43 2.2
“ ”
300 ×85%+ ×15%
2.3
021-38794999 010-67595003
xia.hong@jpmf-sitico.com yindong.zh@ccb.com
400-889-4888 010-67595096
021-68881170 010-66275853
2012
6
99 20 25
99 20 1
1
200120 100033
2.4
http://www.51fund.com
2.5
99 20
3
3.1
3.1.1
2012 1 1 2012 6 30
-62,657,175.36
39,596,534.98
0.0422
5.43%
5.64%
3.1.2
(2012 6 30 )
-222,278,397.79
-0.2471
724,588,614.73
0.805
3.1.3
(2012 6 30 )
-19.50%
1.
2.
2012
7
3.2
3.2.1
0.37% 1.11% -5.46% 0.93% 5.83% 0.18%
8.34% 1.01% 0.37% 0.95% 7.97% 0.06%
5.64% 1.18% 4.46% 1.13% 1.18% 0.05%
-14.18% 1.18% -15.66% 1.14% 1.48% 0.04%
- - - - - -
-19.50% 1.06% -19.26% 1.12% -0.24% -0.06%
300 ×85%+ ×15%
3.2.2
2010 12 20 2012 6 30
1. 2010 12 20 2010 12 20 2012
6 30
2. 2010 12 20 2011 6 19
2012
8
4
4.1
4.1.1
2004 5 12 2007 10 8 “ ” 2.5 2012 6
4.1.2
2010-12-20 - 13
1999 7 2002 9 2002 10 2005 5 2005 5
2009 7 2009 7 2009 10 2010 12
2012
9
1.
2.
3.
4.2
4.3
4.3.1
4.3.2
5%
4.4
4.4.1
08
2012
10
4.4.2
5.64% 4.46%
4.5
4.6
4.7
5
5.1
2012
11
5.2
5.3
6
6.1
2012 6 30
2012 6 30
2011 12 31
6.4.7.1 60,327,845.54 109,327,053.29
2,422,292.94 1,959,231.66
1,094,313.34 977,673.70
6.4.7.2 661,019,452.74 638,782,691.88
661,019,452.74 638,782,691.88
--
--
--
6.4.7.3 - -
6.4.7.4 - -
2,676,574.38 1,837,750.11
6.4.7.5 11,936.56 26,517.90
60,977.48 -
44,913.83 22,626.87
--
6.4.7.6 - -
727,658,306.81752,933,545.41
2012 6 30
2011 12 31
2012
12
--
--
6.4.7.3 - -
--
- 6,593,522.53
237,826.47 242,569.02
885,529.48 980,130.58
147,588.26 163,355.11
--
6.4.7.7 1,099,140.18 1,264,834.05
--
--
--
--
6.4.7.8 699,607.69 900,672.17
3,069,692.08 10,145,083.46
6.4.7.9 899,722,707.43 974,416,780.36
6.4.7.10 -175,134,092.70 -231,628,318.41
724,588,614.73 742,788,461.95
727,658,306.81 752,933,545.41
2012 6 30 0.805 899,722,707.43
6.2
2012 1 1 2012 6 30
2012 1 1 2012
6 30
2011 1 1 2011
6 30
50,169,524.05 -52,686,951.62
1.
360,129.51 3,558,996.20
6.4.7.11 353,424.65 1,234,069.91
6,704.86 690,296.98
--
- 1,634,629.31
--
2. “-”
-52,505,127.60 -36,891,942.71
6.4.7.12 -56,689,440.76 -41,518,800.41
2012
13
--
6.4.7.13 -317,303.46 181,763.92
--
6.4.7.14 - -
6.4.7.15 4,501,616.62 4,445,093.78
3. “-”
6.4.7.16 102,253,710.34 -19,632,559.91
4. “ ”
--
5. “-”
6.4.7.17 60,811.80 278,554.80
10,572,989.07 15,292,235.49
1
5,431,617.80 7,790,204.98
2
905,269.62 1,298,367.52
3
--
4 6.4.7.18 4,027,030.67 5,991,071.06
5
--
--
6 6.4.7.19 209,070.98 212,591.93
“-”
39,596,534.98 -67,979,187.11
--
“-”
39,596,534.98 -67,979,187.11
6.3
2012 1 1 2012 6 30
2012 1 1 2012 6 30
974,416,780.36 -231,628,318.41 742,788,461.95
- 39,596,534.98 39,596,534.98
“-”
-74,694,072.93 16,897,690.73 -57,796,382.20
2012
14
1. 13,602,888.43 -2,997,777.80 10,605,110.63
2. -88,296,961.36 19,895,468.53 -68,401,492.83
“-”
-- -
899,722,707.43 -175,134,092.70 724,588,614.73
2011 1 1 2011 6 30
1,190,330,307.52 3,906,720.76 1,194,237,028.28
- -67,979,187.11 -67,979,187.11
“-”
-198,705,676.50 2,376,195.29 -196,329,481.21
1. 27,373,396.53 -862,131.05 26,511,265.48
2. -226,079,073.03 3,238,326.34 -222,840,746.69
“-”
-- -
991,624,631.02 -61,696,271.06 929,928,359.96
6.1 6.4
6.4
6.4.1
( “ ”) ( “ ”) [2010] 1245 1,190,182,910.59 (2010) 408 2010 12 20 1,190,330,307.52 147,396.93
2012
15
80%-95% 80% 0-20% 0-3% 5% 300 ×85%+ ×15%
2012 8 28
6.4.2
2006 2 15 38 ( “ ”) [2010]5 XBRL 3 < > 2007 5 15 6.4.4
6.4.3
2012 2012 6 30 2012
6.4.4
6.4.5
6.4.5.1
6.4.5.2
6.4.5.3
6.4.6
[2002]128 [2004]78 [2005]102 [2005]107 [2008]1
(1)
(2)
2012
16
(3) 20% 50% 20%
(4) 0.1%
6.4.7
6.4.7.1
2012 6 30
60,327,845.54
-
-
60,327,845.54
6.4.7.2
2012 6 30
614,225,937.10661,019,452.74 46,793,515.64
-- -
-- -
-- -
-- -
-- -
-- -
614,225,937.10661,019,452.74 46,793,515.64
6.4.7.3 /
6.4.7.4
6.4.7.5
2012 6 30
10,834.80
-
-
1,090.00
2012
17
-
-
11.76
-
11,936.56
6.4.7.6
6.4.7.7
2012 6 30
1,099,140.18
-
1,099,140.18
6.4.7.8
2012 6 30
500,000.00
701.71
198,905.98
699,607.69
6.4.7.9
2012 1 1 2012 6 30
974,416,780.36 974,416,780.36
13,602,888.43 13,602,888.43
“-” -88,296,961.36 -88,296,961.36
899,722,707.43899,722,707.43
6.4.7.10
-176,222,067.62-55,406,250.79 -231,628,318.41
-62,657,175.36102,253,710.34 39,596,534.98
16,600,845.19 296,845.54 16,897,690.73
-3,082,272.70 84,494.90 -2,997,777.80
19,683,117.89 212,350.64 19,895,468.53
-- -
2012
18
-222,278,397.7947,144,305.09 -175,134,092.70
6.4.7.11
2012 1 1 2012 6 30
334,488.38
-
-
18,925.11
11.16
353,424.65
6.4.7.12
2012 1 1 2012 6 30
1,331,622,324.08
1,388,311,764.84
-56,689,440.76
6.4.7.13
2012 1 1 2012 6 30
27,306,793.90
27,547,580.68
76,516.68
-317,303.46
6.4.7.14
6.4.7.15
2012 1 1 2012 6 30
4,501,616.62
-
4,501,616.62
6.4.7.16
2012 1 1 2012 6 30
1. 102,253,710.34
—— 102,253,710.34
—— -
2012
19
—— -
—— -
2. -
—— -
3. -
102,253,710.34
6.4.7.17
2012 1 1 2012 6 30
51,472.71
9,339.09
60,811.80
1. 25%
2. 25%
6.4.7.18
2012 1 1 2012 6 30
4,027,030.67
-
4,027,030.67
6.4.7.19
2012 1 1 2012 6 30
49,726.04
149,179.94
1,165.00
9,000.00
209,070.98
6.4.8
6.4.8.1
6.4.8.2
6.4.9
6.4.9.1
6.4.9.2
2012
20
(" ")
6.4.10
6.4.10.1
6.4.10.2
6.4.10.2.1
2012 1 1 2012 6 30
2011 1 1 2011 6 30
5,431,617.80 7,790,204.98
1,592,918.17 3,062,403.27
1.5%
X 1.5% /
6.4.10.2.2
2012 1 1 2012 6 30
2011 1 1 2011 6 30
905,269.62 1,298,367.52
0.25%
X 0.25% /
6.4.10.3 ( )
6.4.10.4
6.4.10.5
2012 1 1 2012 6 30
2011 1 1 2011 6 30
60,327,845.54 334,488.38 50,336,855.39 1,193,269.23
2012
21
6.4.10.6
6.4.10.7
6.4.11
6.4.12 2012 6 30
6.4.12.1 /
6.4.12.1.1
( )
002029
12/06/26 13/06/27
23.00 23.08 500,000 11,500,000.00 11,540,000.00
6.4.12.2
6.4.12.3
6.4.13
6.4.13.1
“ ”
2012
22
6.4.13.2
2012 6 30 (2011 12 31 )
6.4.13.3
10% 10% 6.4.12
( )
2012
23
6.4.13.4
6.4.13.4.1
6.4.13.4.1.1
2012 6 30 3 3 1 1 5 5
60,327,845.54
- - - -
60,327,845.54
2,422,292.94
- - - -
2,422,292.94
-
- - -
1,094,313.34
1,094,313.34
-
- - -
661,019,452.74 661,019,452.74
-
- - -
60,977.48
60,977.48
-
- - -
11,936.56
11,936.56
297.77
- - - 44,616.06 44,913.83
-
- - -
2,676,574.38 2,676,574.38
62,750,436.25
- - - 664,907,870.56
727,658,306.81
-
- - - 237,826.47
237,826.47
-
- - - 885,529.48 885,529.48
-
- - - 147,588.26
147,588.26
-
- - -
1,099,140.18
1,099,140.18
-
- - -
699,607.69
699,607.69
-
- - - 3,069,692.08 3,069,692.08
62,750,436.25
- - - 661,838,178.48 724,588,614.73
2011 12 31 3 3 1 1 5 5
109,327,053.29 - - - - 109,327,053.29
1,959,231.66 - - - - 1,959,231.66
- - - - 977,673.70 977,673.70
2012
24
- - - - 638,782,691.88 638,782,691.88
- - - - 1,837,750.11 1,837,750.11
- - - - 26,517.90 26,517.90
5,167.99 - - - 17,458.88 22,626.87
111,291,452.94 - - - 641,642,092.47 752,933,545.41
- - - - 6,593,522.53 6,593,522.53
- - - - 242,569.02 242,569.02
- - - - 980,130.58 980,130.58
- - - - 163,355.11 163,355.11
- - - - 1,264,834.05 1,264,834.05
- - - - 900,672.17 900,672.17
- - - - 10,145,083.46 10,145,083.46
111,291,452.94 - - - 631,497,009.01 742,788,461.95
6.4.13.4.1.2
2012 6 30 (2011 12 31 ) (2011 12 31 )
6.4.13.4.2
6.4.13.4.3
“ ”
80%-95% 0-20% 0-3% VaR(Value at Risk)
6.4.13.4.3.1
2012 6 30
2011 12 31
2012
25
%
%
-
661,019,452.74 91.23 638,782,691.88 86.00
-
-- - -
--- -
661,019,452.7491.23638,782,691.88 86.00
6.4.13.4.3.2
300
2012 6 30
2011 12 31
1. 300 5% 3,261 3,108
2. 300 5% 3,261 3,108
6.4.14
7
7.1
%
1
661,019,452.74 90.84
661,019,452.74 90.84
2
- -
- -
- -
3
- -
4
- -
- -
5
62,750,138.48 8.62
6
3,888,715.59 0.53
7
727,658,306.81 100.00
2012 6 30 724,588,614.73 0.805 0.805
2012
26
7.2
A
- -
B
16,834,204.50 2.32
C
346,873,591.23 47.87
C0
80,597,849.04 11.12
C1
18,864,550.00 2.60
C2
- -
C3
- -
C4
4,798,542.08 0.66
C5
96,990,024.67 13.39
C6
9,690,788.71 1.34
C7
38,413,337.03 5.30
C8
97,518,499.70 13.46
C99
- -
D
12,979,806.15 1.79
E
26,348,956.63 3.64
F
- -
G
28,656,645.80 3.95
H
6,207,016.00 0.86
I
80,877,346.70 11.16
J
76,272,983.16 10.53
K
59,576,168.99 8.22
L
6,392,733.58 0.88
M
- -
661,019,452.74 91.23
7.3
1 600016
4,201,888 25,169,309.12 3.47
2 600519
104,623 25,020,590.45 3.45
3 002241
639,325 23,328,969.25 3.22
4 600518
1,418,758 21,877,248.36 3.02
5 600048
1,839,144 20,855,892.96 2.88
6 300070
690,652 20,650,494.80 2.85
2012
27
7 300115
856,147 20,376,298.60 2.81
8 000024
780,114 19,136,196.42 2.64
9 601318
415,205 18,991,476.70 2.62
10 601788
1,429,200 18,822,564.00 2.60
11 002353
347,097 16,834,204.50 2.32
12 600199
672,374 16,795,902.52 2.32
13 002635
348,872 16,243,480.32 2.24
14 002236
505,294 15,512,525.80 2.14
15 600535
341,605 14,934,970.60 2.06
16 600383
2,300,505 14,907,272.40 2.06
17 000718
1,739,505 14,089,990.50 1.94
18 002029
500,000 11,540,000.00 1.59
19 002310
195,839 11,497,707.69 1.59
20 002304
77,124 10,377,034.20 1.43
21 000049
285,249 10,069,289.70 1.39
22 600750
342,210 9,551,081.10 1.32
23 601166
722,500 9,378,050.00 1.29
24 002672
156,263 9,219,517.00 1.27
25 601633
512,149 9,116,252.20 1.26
26 600011
1,355,055 8,740,104.75 1.21
27 000538
143,588 8,511,896.64 1.17
28 000826
366,400 8,390,560.00 1.16
29 300088
497,309 8,295,114.12 1.14
30 600079
352,284 8,169,465.96 1.13
31 600406
427,262 7,985,526.78 1.10
32 000823
547,300 7,634,835.00 1.05
33 002081
199,328 7,574,464.00 1.05
34 601566
263,000 7,324,550.00 1.01
35 000926
779,832 7,283,630.88 1.01
36 002375
294,726 7,276,784.94 1.00
37 300026
301,809 7,249,452.18 1.00
38 000799
135,280 7,088,672.00 0.98
39 000157
684,930 6,869,847.90 0.95
40 000895
110,000 6,806,800.00 0.94
41 002038
210,320 6,772,304.00 0.93
42 600887
308,069 6,340,060.02 0.87
43 000848
357,647 6,276,704.85 0.87
44 002099
566,304 6,025,474.56 0.83
45 600594
295,814 5,857,117.20 0.81
46 300241
444,623 5,793,437.69 0.80
47 601888
190,437 5,374,132.14 0.74
2012
28
48 600893
399,918 5,202,933.18 0.72
49 600315
123,008 4,798,542.08 0.66
50 002007
194,795 4,788,061.10 0.66
51 000527
432,461 4,778,694.05 0.66
52 300219
473,600 4,641,280.00 0.64
53 002400
238,863 4,574,226.45 0.63
54 002415
163,632 4,450,790.40 0.61
55 002179
323,476 4,438,090.72 0.61
56 601601
197,600 4,382,768.00 0.60
57 000888 A 200,000 4,276,000.00 0.59
58 000539 A 642,379 4,239,701.40 0.59
59 601336
120,712 4,133,178.88 0.57
60 000963
134,700 4,067,940.00 0.56
61 600763
178,380 3,910,089.60 0.54
62 002384
335,400 3,823,560.00 0.53
63 600329
305,200 3,781,428.00 0.52
64 300291
59,291 3,404,489.22 0.47
65 600549
75,419 3,311,648.29 0.46
66 300015
151,700 3,181,149.00 0.44
67 300058
179,044 2,988,244.36 0.41
68 600720
244,086 2,555,580.42 0.35
69 002273
134,761 2,518,683.09 0.35
70 002638
150,400 2,376,320.00 0.33
71 002230
113,801 2,241,879.70 0.31
72 000669 *ST 84,100 2,185,759.00 0.30
73 600729
75,800 2,139,076.00 0.30
74 002570
93,900 1,892,085.00 0.26
7.4
7.4.1 2% 20
1 600837
27,793,841.86 3.74
2 601788
27,041,293.58 3.64
3 002241
25,520,104.11 3.44
4 300070
23,953,947.30 3.22
5 000401
23,286,518.90 3.14
6 000527
21,936,631.79 2.95
7 000157
21,610,706.28 2.91
2012
29
8 601166
20,230,288.59 2.72
9 600518
19,293,474.60 2.60
10 600101
18,983,894.52 2.56
11 601328
18,977,768.00 2.55
12 002024
18,812,440.81 2.53
13 601601
18,525,112.91 2.49
14 600893
17,964,000.83 2.42
15 000926
16,596,946.90 2.23
16 300115
16,297,734.69 2.19
17 000718
16,142,622.27 2.17
18 600535
16,102,091.62 2.17
19 600016
15,804,900.64 2.13
20 600199
15,752,815.34 2.12
21 600383
15,670,700.56 2.11
22 000024
15,516,409.08 2.09
“ ” “ ” “ ” “ ”
7.4.2 2% 20
1 000423
39,150,820.17 5.27
2 601601
34,302,073.86 4.62
3 600837
31,293,305.43 4.21
4 600036
30,563,731.40 4.11
5 000401
26,713,901.82 3.60
6 002241
26,067,686.98 3.51
7 000024
22,334,808.90 3.01
8 600104
21,764,334.58 2.93
9 600030
20,491,774.71 2.76
10 000002
20,401,777.30 2.75
11 601328
19,713,491.26 2.65
12 002086
19,582,108.85 2.64
13 600101
18,827,274.56 2.53
14 000895
18,045,881.35 2.43
15 600048
17,063,205.30 2.30
16 601288
16,448,478.42 2.21
17 002024
16,357,273.27 2.20
18 600000
16,177,916.02 2.18
19 600016
15,995,338.30 2.15
20 000527
15,646,231.33 2.11
2012
30
21 601699
15,308,649.37 2.06
“ ” “ ” “ ” “ ”
7.4.3
1,308,294,815.36
1,331,622,324.08
“ ” “ ” “ ” “ ”
7.5
7.6
7.7
7.8
7.9
7.9.1
7.9.2
7.9.3
1
1,094,313.34
2
2,676,574.38
3
60,977.48
4
11,936.56
5
44,913.83
6
-
7
-
8
-
9
3,888,715.59
2012
31
7.9.4
7.9.5
7.9.6
8
8.1
( )
15,065 59,722.72 231,823,414.82 25.77% 667,899,292.61 74.23%
8.2
600,797.77 0.0668%
0 0
9
2010 12 20
1,190,330,307.52
974,416,780.36
13,602,888.43
88,296,961.36
-
899,722,707.43
10
10.1
2012
32
10.2
10.3
10.4
10.5
10.6
10.7
10.7.1
1 946,685,308.1236.02%809,430.12 36.81%-
1 888,368,009.2333.80%727,366.84 33.07%-
1 484,277,149.5718.43%411,634.85 18.72%-
1 308,624,489.2811.74%250,759.41 11.40%-
1.
2.
1 ,
2 ,
3 ,
2012
33
4 , ,
5 , ,
3.
1
2
4. 2012
10.7.2
27,560,860.00 50.18% - - - -
- - - - --
27,363,326.40 49.82% - - - -
- - - - --
10.8
1.
2012 1 17
2.
2012 6 28
11
2012 1 16 , 2012
1 16
12
12.1
1.
2012
34
2.
3.
4.
5.
6.
12.2
12.3
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