2006
2006 2006 8 25 :2006 4 28 2006 6 30 1 2 : 020008 3 4 2006 4 28 5 2,517,710,461.09 6 7 8 1 2 CPPI Constant Proportion Portfolio Insurance OBPI Option-Based Portfolio Insurance 1
2006 3 2 4 1 2 3 021-23060282 4 021-23060283 5 xinxipilu@gtfund.com 1 2 3 4 5 010 66594977 010 66594942 tgxxpl@bank-of-china.com 1 http://www.gtfund.com 2 700 22-23 2006 4 28 2006 6 30 1 13,964,383.72 2 0.0055 3 0.0055 4 2,542,677,319.68 5 1.010 6 1.00% 2006 4 28 2006 4 28 2006 6 30 2
2006 1 - - 0.40% 0.28% 0.18% 0 0.22% 0.28% 1.00% 0.23% 0.37% 0 0.63% 0.23% 2 2006 4 28 2006 6 30 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% 2006-4-28 2006-5-7 2006-5-16 2006-5-25 2006-6-3 2006-6-12 2006-6-21 2006-6-30 1 2006 4 28 2006 6 30 2 60% 30% 5% 3
2006 1 1998 3 5 [1998]5 1.1 2006 6 30 4 6 2 2004 2 FRM (LSE) (MSc in Finance and Economics) 9 1998 ( ) 11 2003 1 2006 3 13 3 20 IPO 4
2006 2 35 45 1.010 1.00% 0.37% 2006 A 5
2006 2006 4 28 3 < > 1 1 2 3 2 2006 1 2 3 2006 8 18 6
2006 ( ) 1 2006 6 30 2006 6 30 81,862,011.07 17,469,291.37-1,249,267.26 26,081,026.20 11,200,000.00 117,783,411.65 106,539,940.14 2,292,374,497.12 2,292,615,493.76 - - - - 2,548,019,504.67 : 2,469,933.82 - - 2,289,589.69 416,289.05 123,888.91-42,483.52 5,342,184.99 : 2,517,710,461.09 11,002,474.87 13,964,383.72 2,542,677,319.68 2,548,019,504.67 7
2006 2 2006 1-6 2006 1-6 19,694,427.14 1 8,858,658.91 2-115,828.19 3-4 6,516,256.40 5 1,361,510.91 6 1,994,528.39 7 1,079,300.72 8-5,730,043.42 1 4,799,951.38 2 872,718.44 3-4 57,373.60 12,903.04 26,580.48 13,964,383.72 11,002,474.87 24,966,858.59 2006 1-6 2006 1-6 13,964,383.72 : - : - 13,964,383.72 : - 13,964,383.72 8
2006 3 2006 1-6 2006 1-6 2,517,710,461.09 : 13,964,383.72 11,002,474.87 24,966,858.59 : - - - : - 2,542,677,319.68 1 [2006]43 2006 4 28 2006 4 28 2,517,710,461.09 2006 3 24 2006 4 25 2006 4 25 2,517,017,405.07 693,056.02 2 (1) 9
2006 2004 7 1 (2) 1 1 12 31 2006 4 28 2006 6 30 (3) (4) (5) (6) 10
2006 ( ) (7) (8) (9) 1.1% 0.2% (10) 11
2006 3 80% 3 (1) [2005]11 ( ), 2005 1 24 1 (2) [1998]55 [2001]61 [2004]78 2004 1 1 (3) [1998]55 [2004]78 2004 1 1 (4) [2005]102 2005 6 13 50% (5) [2005]103 4 5 (1) 12
2006 [2006]4 20% 2006 1 13 (2) ( ) 2006 1-6 178,180,208.34 100.00% 69,605,856.25 100.00% 2006 1-6 1,885,300,000.00 100.00% 123,888.91 100.00% A. a 1.1% H=E 1.1%/ H E b c 4,799,951.38 2,510,361.69 2,289,589.69 B. a 0.2% H=E 0.2%/ H E b c 872,718.44 456,429.39 416,289.05 C. 2006 1-6 97,800,000.00 - - 13
2006 D. 2006 6 30 81,862,011.07 13,339,248.91 E. 6 (1) 2006 6 30 A ( ) ( ) ( ) ( ) ( ) 600415 06/06/19 63.27 06/07/04 57.05 50,000 2,768,310.70 3,163,500.00 000895 06/06/01 31.17 - - 150,000 4,582,975.67 4,675,500.00 7,351,286.37 7,839,000.00 B ( ) ( ) ( ) 1 G 2006/05/17 2007/05/17 650,000 8,398,000.00 11,739,000.00 2 G 2006/05/26 2006/07/05 3,431,200 20,312,704.00 21,067,568.00 28,710,704.00 32,806,568.00 A 2006 6 30 B 2006 6 30 A 2006 6 30 B G G 2006 7 5 (2) 2006 6 30 14
2006 ( ) 117,783,411.65 4.62% 2,292,374,497.12 89.97% - - 99,331,302.44 3.90% 38,530,293.46 1.51% 2,548,019,504.67 100.00% ( ) A 3,146,123.00 0.12% B 2,290,000.00 0.09% C 36,650,220.65 1.44% C0 8,843,885.36 0.35% C6 9,849,829.26 0.39% C79,190,345.88 0.36% C8 8,766,160.15 0.34% D 21,067,568.00 0.83% E - - F 3,430,000.00 0.13% G - - H 14,376,000.00 0.57% I 25,443,000.00 1.00% J - - K 8,217,000.00 0.32% L - - M 3,163,500.00 0.12% 117,783,411.65 4.63% 1 600036 G 3,300,000 25,443,000.00 1.00% 2 600642 G 3,431,200 21,067,568.00 0.83% 3 600361 G 650,000 11,739,000.00 0.46% 4 600202 755,164 9,190,345.88 0.36% 5 000423 784,795 8,766,160.15 0.34% 6 000978 G 900,000 8,217,000.00 0.32% 15
2006 7 600117 G 986,214 5,019,829.26 0.20% 8 000039 G 300,000 4,830,000.00 0.19% 9 000895 150,000 4,675,500.00 0.18% 10 000858 G 286,684 4,168,385.36 0.16% 1 20 1 600036 G 24,000,735.91 0.94% 2 600642 G 20,312,704.00 0.80% 3 000825 G 8,805,987.99 0.35% 4 600361 G 8,398,000.00 0.33% 5 000858 G 8,376,076.05 0.33% 6 000423 8,344,464.08 0.33% 7 600202 8,182,937.63 0.32% 8 600500 G 7,528,725.06 0.30% 9 600415 6,643,945.69 0.26% 10 000978 G 6,585,845.24 0.26% 11 600628 G 5,436,745.36 0.21% 12 600028 5,425,230.08 0.21% 13 600117 G 5,127,402.67 0.20% 14 000895 4,582,975.67 0.18% 15 000039 G 4,197,924.12 0.17% 16 000962 G 3,742,989.78 0.15% 17 600764 G 3,585,419.57 0.14% 18 600018 G 3,336,760.00 0.13% 19 600265 3,147,066.45 0.12% 20 600583 G 2,236,115.20 0.09% 2 20 1 600500 G 10,317,772.76 0.41% 2 000825 G 8,945,128.35 0.35% 3 600764 G 6,139,102.78 0.24% 4 000858 G 5,660,413.88 0.22% 5 600028 5,236,954.13 0.21% 6 600415 4,208,636.43 0.17% 7 000962 G 4,004,160.29 0.16% 8 600628 G 2,847,684.34 0.11% 9 000733 2,200,998.55 0.09% 16
2006 10 002052 1,992,640.57 0.08% 11 601001 1,618,055.99 0.06% 12 002051 1,463,810.58 0.06% 13 600594 G 800,910.12 0.03% 14 600117 G 579,320.65 0.02% 3 153,650,111.09 56,015,589.42 ( ) 1 59,807,085.10 2.35% 2 993,183,500.00 39.06% 3 409,333,512.02 16.10% 4 830,050,400.00 32.64% 2,292,374,497.12 90.16% ( ) 1 05 31 365,787,400.00 14.39% 2 05 08 220,272,000.00 8.66% 3 05 07 199,950,000.00 7.86% 4 06 01 149,925,000.00 5.90% 5 05 CP01 126,842,132.60 4.99% 1 2 3 (1) (2) 4 ( ) 26,081,026.20 11,200,000.00 1,249,267.26 38,530,293.46 17
2006 5 6, 7 32,574 77,292.03 253,982,497.42 10.09% 2,263,727,963.67 89.91% 2,517,710,461.09 100.00% 2,517,710,461.09 2,517,710,461.09 0.00 0.00 2,517,710,461.09 18
2006 2 178,180,208.34 100.00% 69,605,856.25 100.00% 2 178,180,208.34 100.00% 69,605,856.25 100.00% 1,885,300,000.00 100.00% 123,888.91 100.00% 1,885,300,000.00 100.00% 123,888.91 100.00% 1. 2006 4 29 2006 4 28 2. 2006 5 11 3. 2006 6 14 4. 2006 6 23 2006 8 29 19