专题研究.doc

2005 2 1 14 11.2 14 15 15 14 Yunyang.zhao@morningstar.com 500 MSCI 1991 2001 53 458 115 94 24 316 26 494 125 1995 26 14 1993 1993 1997 http://cn.morningstar.com 1998 1

2001 6 2000 1993 90 2002 2001 51 2004 28 50 2001 7 12 8.1 30 12 2004 2

60 1994 8 2001 6 20 90 2.5 3 4 6 3

14 2004 12 8 16 12 1990 12 19 1993 12 31 1999 12 31 2001 6 1 A B 14 MSCI 1990 1990.12.19-2004.12.31 MSCI 344.0 309.4 267.0 481.9-51.8 370.5 234.3 11.2 10.6 9.7 13.4-5.1 11.7 9.0 50.0 14.6 14.4 25.7 21.0 28.0 13.9 0.2240 0.7260 0.6736 0.5214 0.4179 0.6475 Morningstar, Inc. 4

5 500 MSCI Annualized Return 1896 5.3 500 1927 5.6 11.2 Morningstar, Inc. 1991 2001 11 53 458 50 MSCI 500 1896 1927 19.1 19.5 0 1000 2000 3000 4000 5000 6000 7000 8000 9000 10000 11000 12000 13000 90 Jul- 91 Feb- 92 Sep- 92 Apr- 93 Nov- 93 94 Jan- 95 Aug- 95 Mar- 96 Oct- 96 May- 97 97 Jul- 98 Feb- 99 Sep- 99 Apr- 00 Nov- 00 01 Jan- 02 Aug- 02 Mar- 03 Oct- 03 May- 04 04 79% 458% 170% 117% 55% 56% 53%

103.4% 1994.8 34.6% 1994.8.1-23.8% 1994.7-17.2% 1995.5.23 Morningstar, Inc. 169 3663 20 4 5 78 3 237! 1990.12.19-2004.12.31 > 100% 1 > -20% 2 > 30% 1 > -15% 2 > 40% 3 > -15% 8 > 20% 4 > -10% 7 > 30% 6 > -10% 23 > 10% 16 > -8% 18 > 20% 11 > -7% 34 > 7% 42 > -7% 7 > 10% 26 > -5% 48 > 5% 78 > -5% 68 > 5% 47 > -3% 64 > 3% 237 > -3% 187 > 3% 61 > -2% 69 > 2% 422 > -2% 379 169 3663 Morningstar, Inc. 36 95 2003 20 6

7 Morningstar, Inc. 1995 2000 MSCI 2000 Morningstar, Inc. 15% 25% 35% 45% 55% 65% 75% 85% 95% 93 94 94 95 95 96 96 97 97 98 98 99 99 00 00 01 01 02 02 03 03 04 04-50% -30% -10% 10% 30% 50% 70% 90% 110% 130% 90 Jul- 91 Feb- 92 Sep- 92 Apr- 93 Nov- 93 94 Jan- 95 Aug- 95 Mar- 96 Oct- 96 May- 97 97 Jul- 98 Feb- 99 Sep- 99 Apr- 00 Nov- 00 01 Jan- 02 Aug- 02 Mar- 03 Oct- 03 May- 04 04

1990 12 19 115 94 30 12 225 85 81 24 316 26 494 125 6000 26 14 14.9 15 26 14 15 14 6000 1993 2 8 6000 6069 1997 3 6 1997 9 1999 5 6000 2004 6230 1993 2 5000 1992 5 1997 1 6000 5000 13 5000 14 13.7 1896 5.31 8

9 1981 Size Effect 1993 12 31 A 2001 6 1 B 3 Micro 97 70 20 10 Morningstar, Inc. 1993 1997 1998 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 20000 22000 90 Jul- 91 Feb- 92 Sep- 92 Apr- 93 Nov- 93 94 Jan- 95 Aug- 95 Mar- 96 Oct- 96 May- 97 97 Jul- 98 Feb- 99 Sep- 99 Apr- 00 Nov- 00 01 Jan- 02 Aug- 02 Mar- 03 Oct- 03 May- 04 04

2001 6 9100 17500 21500 2000 1993 1990-2004 1993-2004 397.7% 59.7% 34.4% 102.2% 110.5% 12.1% 4.3% 2.7% 6.6% 7.0% 50.0% 44.6% 41.9% 48.5% 49.6% 0.2420 0.0964 0.0644 0.1361 0.1411 Morningstar, Inc. 2.5 6-8 16-20 32-35 90 10

130% 120% 110% 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 Morningstar, Inc. 2004 1211 335 459 417 2003 1157 330 443 384 2002 1171 480 404 287 2001 1127 509 367 251 2000 945 431 304 210 1999 826 355 268 203 1998 741 321 241 179 1997 628 236 213 179 1996 427 147 148 132 1995 269 90 96 83 1994 254 90 89 75 1993 150 50 52 48 Morningstar, Inc. 2002 70 70 2001 51 2004 28 11

12 1-3-6 Morningstar, Inc. 1.0000 0.9903 1.0000 0.9930 0.9682 1.0000 0.9714 0.9318 0.9873 1.0000 Morningstar, Inc.. 1993-2004 15 20 25 30 35 40 45 50 55 93 94 94 95 95 96 96 97 97 98 98 99 99 00 00 01 01 02 02 03 03 04 04

0 6.57% 0 6.76% 13.14% 0 12.34% 18.53% 7.91% 0 Morningstar, Inc. 1990-2004 1993-2004 12.15% 4.34% 2.72% 6.61% 7.00% 11.24% 3.34% 1.56% 5.78% 6.39% 0.91% 1.00% 1.16% 0.83% 0.61% Morningstar, Inc. 1.62 1.23 0.97 50 1.49 1 50 1802 1870 6.4 1871 1925 5.2 1926 1999 4.6 500 1927 4 13

90 1999 12 31 12 12 2001 7 12 8.1 30 19992004 (%)-41.0-32.5-10.3 7.9-22.8-29.4-2.4-24.9-27.7-17.3 47.9 14.8 (%)-10.0-7.6-2.2 1.5-5.0-6.7-0.5-5.6-6.3-3.7 8.1 2.8 (%)26.9 26.1 30.7 39.9 21.3 24.7 20.1 22.5 20.0 21.8 24.0 22.0 0.0383 0.3394 0.1274 Morningstar, Inc. 14000 13000 12000 11000 10000 9000 8000 7000 Morningstar, Inc. 6000 99 Mar-00 00 Sep-00 00 Mar-01 01 Sep-01 01 Mar-02 02 Sep-02 02 Mar-03 03 Sep-03 03 Mar-04 04 Sep-04 04 14

12 2004 3 7 2004 2003 2002 2001 2000 Morningstar, Inc. 0.90 19992004 0.77 0.82 0.56 0.68 0.67 0.82 0.84 0.70 0.64 0.90 0.90 0.80 0.67 0.89 0.85 0.91 0.80 0.69 0.91 0.94 0.75 0.84 0.70 0.66 0.86 0.89 0.93 0.84 0.88 0.72 0.60 0.91 0.93 0.96 0.92 0.82 0.88 0.75 0.70 0.92 0.94 0.98 0.92 0.97 0.74 0.74 0.67 0.50 0.77 0.78 0.86 0.80 0.83 0.85 0.73 0.77 0.61 0.65 0.84 0.81 0.89 0.87 0.87 0.88 0.87 0.85 0.91 0.78 0.69 0.93 0.95 0.99 0.94 0.98 0.99 0.87 0.90 Morningstar, Inc. 15

60 8.7 3 7 2004 1211 1.7 6.0 0.6 0.2 6.6 5.3 11.9 7.2 16.6 36.3 2.6 5.0 2003 1157 1.7 6.1 0.6 0.3 5.6 5.3 12.4 7.3 16.6 36.7 2.6 4.7 2002 1171 1.6 6.1 0.6 0.3 5.9 6.3 11.9 7.3 16.5 36.0 2.5 4.4 2001 1127 1.4 5.9 0.7 0.2 5.9 6.2 11.4 6.8 17.5 36.0 2.6 4.3 2000 945 1.0 5.5 0.6 0.2 5.4 7.0 11.2 6.8 17.2 36.7 2.5 4.3 1999 826 0.6 5.6 0.6 0.2 4.7 8.2 10.9 6.8 17.4 36.2 2.7 4.1 Morningstar, Inc. 19992004 (%) -10.0-7.6-2.2 1.5-5.0-6.7-0.5-5.6-6.3-3.7 8.1 2.8 (%) -10.6-8.0-2.9 0.9-5.7-7.3-1.3-6.1-7.1-4.5 7.0 1.4 (%) 0.6 0.5 0.8 0.6 0.7 0.6 0.8 0.5 0.8 0.8 1.2 1.5 Morningstar, Inc. 16

% 2004 3.7 7.3 0.0 0.0 6.4 18.8 4.8 3.7 7.7 4.6 0.0 0.9 2003 13.9 2.6 0.0 0.0 4.6 5.8 2.0 3.5 6.0 4.1 1.2 1.1 2002 9.6 2.4 0.0 31.9 7.8 10.0 0.6 2.1 3.6 6.2 0.0 2.3 2001 0.0 1.9 4.5 0.0 3.3 16.8 1.2 4.0 7.4 6.1 0.0 2.9 2000 0.0 1.3 0.0 0.0 1.0 10.1 3.5 1.4 3.9 4.9 0.0 1.1 Morningstar, Inc. 17

1994 8 2001 6 500 1995 1999 20 225 1985 1989 237 1924 1929 262 20 80 90 90 84 20 90 2.5 3 225 4 6 8 7 6 5 4 3 2 1 0-253 -232-211 -190 Morningstar, Inc. -169-148 -127-106 -85-64 -43-22 -1 21 42 63 84 18

90 14 12 10 8 6 4 2 0-253 -232-211 -190 Morningstar, Inc. -169-148 -127-106 -85-64 -43-22 -1 21 42 63 84 90 32.5 45 45 1994 7 1994 7 1922 9 1983 1 1993 1 1993 4 2001 6 2001 6 1929 8 1989 12 1999 12 2000 3 618% 1247% 295% 380% 247% 591% 32.5% 45.0% 21.7% 25.1% 19.5% 31.8% Morningstar, Inc. 19

2000 1 14 3 10 11723 5049 45000 8900 1994 8 123 23 4 10 11 3 8 1 35 8 133 123 102 49 35 90 90 20

21 90 1896 5 26 12 1990 1790 12 19 200 20 90 80 42

22 Morningstar, Inc. 90 2001 6 48.5 2000 20 293 436 0 1 2 3 4 5 6 7 8 126 121 116 111 106 101 96 91 86 81 76 71 66 61 56 51 46 41 36 31 26 21 16 11 6 1

14 12 10 8 6 4 2 0 1 6 11 16 21 26. 36 41 46 51 56 61 66 71 76 81 86 91 96 101 106 111 116 121 126 31 Morningstar, Inc. 20016 2001 6 1929 8 1989 12 199912 2000 3-48.5% -61.8% -86.5% -49.7% -21.8% -60.9% 19947 1994 7 1922 9 1983 1 19931 1993 4 293.0% 436.0% -46.6% 141.7% 171.5% 170.2% Morningstar, Inc. 20 80 90 2000 2002 6 23

24 80 20 90 2001 20 20 SEC 1933 1934 1940 90 2002 7 Sarbanes-Oxley Act of 2002

25 1954 11 23 1929 9 3 225 1989 71 16 10 2000 3 10 5049 9.5 2000 1 14 30 90 90 30 10 14 http://cn.morningstar.com 25