2004 162 2004 10 19

... 1... 2... 6... 18... 21... 24... 29... 30... 38... 43... 44... 48... 49... 51... 52... 54... 55... 57... 71... 81... 83... 83

( ) ( ) ( ) ( ) ( ) / - 1 -

, : ( ) - 2 -

: - 3 -

3 / T T+n T n T, - 4 -

: - 5 -

( ) 1. 2. 4013 19 20 3. 2003 12 9 4. 5. 6. 0755 83026688 7. 0755 83026677 8. 9. 1 10. ( ) 4000 40 4000 40 2000 20 10000 100 ( ) 1. 1952 1956-6 -

1964 1937 1941 1941 2. 1959 1944 1982 1971 3. 1964 2002 10-7 -

1967 2002 10 1968 2002 10 4. 1972 1996 1996 10 2002 6 2002 6 2003 9 ( ) ( ) 1 1 2 3 4 5 6-8 -

7 8 9 10 11 12 13 14 15 16 17 2 1 2, 3-9 -

4 5 6, 7, 8 9 10 11 12 13 14 15 16 17 18, 19-10 -

20 21 22 23 24 30 25 ( ) 1 2 1 2 3 4 5-11 -

3 1 2 3 4 ( ) 1. 2. 1 1 2 3-12 -

4 5 6 2 1 2 3 4 5 6 7 3 1 2 3-13 -

4 5 4 1 a b c d 2, a b c, d,, 3) - 14 -

VaR 3 1,, 1 2 3-4 5 6 2 1-15 -

2 3 4 5 3 1 2 a I) II) - 16 -

III) b. c. d. - 17 -

e. f. 55 1710.24 010 66106912 010 66106904-18 -

46 32 90% 90% 2004 7 500 180 100 36 1. 2. 3. 1 2-19 -

3 4 5 6 4. 5. 1 2 3 4 6. 1-20 -

2 3 4 ( ) 1. 4013 19 20-21 -

0755 83026688 0755 83026677 2. 1 55 010 66107900 010 66107914 2 618 021-62580818-177 021-62583439 3 68 400-8888-108 010 65186758 010-65182261 4 98 021 53594566 4125-22 -

5 35 C 010 66568587 6 26 2611 020 87555888 ( ) 4013 19 20 0755 83026688 0755 83026677 ( ) 5047 17 D 0755-25870808 0755-25847000 - 23 -

( ) 100 1 20 2008 010-85866871 010-85866877 2004 10 19 2004 162 ( ) ( ) ( ) 2004 11 8 2004 11 30-24 -

( ) ( ) 1 1.00 2 1.00 0.01 = / = / = + - 25 -

10 50 = 100,000.00/1.00 = 100,000.00 = 50.00/1.00 = 50.00 = 100,000.00+50.00 = 100,050.00 3 1. 2 1 4000032429200050820-26 -

2004 11 30 16:30 (2) / 4000032429200050820-27 -

2004 11 30 16:30 (3) (1) 2 3 1 2 3 4 1000, 5000 1000 300, 30 ( ) - 28 -

( ) 3 2 200 30 20 200 20 5,000-29 -

( ) 1. 4013 19 20 0755 83026688 0755 83026677 1 55 010 66107900 010 66107914 2 618 021-62580818-177 021-62583439 3-30 -

68 400-8888-108 010 65186758 010-65182261 4 98 021 53594566 4125 5 35 C 010 66568587 6 26 2611 020 87555888 2 3 ( ) 1. - 31 -

2. 15 3 3. 15 3 1 2 3 4 5 3-32 -

1 2 T T+1 T 2 3 T 1 T+2 1 1000 1000 1000 2 0.01 3 0.01 4-33 -

3 5 1 2 1.00 1 / 10 100,000 NAV 1.00 1 0 100,000 100,000 2 1 10,000 NAV 1.00 1 0 10,000 3-34 -

T+1 T+2 T+1 3 1.00 (1) (2) (3) (4) (5) 1 4 5-35 -

(1) (2) (3) 4 3 20 1. 10% 1 2-36 -

- 37-10 3 2. 20

3 3 ( ) ( ) 397 397 AAA - 38 -

1. 1 2 2. 1 2 3 4 5 3-39 -

1 1) 2) - 3) 2 1 2 3 4 3 1 2 3 4 5 4 1 2 3 4 5 Alpha - 40 -

6 1 2 3 1 2 3 4 AAA 5-41 -

80% 1 2 3 4 5 6 7 8 10 1. 2. 3. 4. 5. 6. - 42 -

7. 8. ( ) 1 2 3 4 5 6 7 ( ) ( ) - 43 -

1.00 ( 1. 2. 3. 0.5% - 44 -

4 5 0.5% 1. 2. 3. 10-45 -

1 2 1 2 3 4 5-46 -

6 7 3 1 2 3 4 5 0.5% 1 2 1 3 4 2-47 -

( ) 1. 0.01 2. 3. 4. T 5. 6. ( ) - 48 -

1. 0.33% H E 0.33% H E, 2. 0.10% H E 0.10% H E 1. 2. 0.25% - 49 -

H E 0.25% H E 3. 3 1. 2. 3. 4. 3-50 -

( ) 1. 2. 3. 4. 5. 6. 7. ( ) 1. 2. 3 5-51 -

( ) 90 60 15 ( ) ( ) 1 2 3 4 5 6 7 ; 8 9-52 -

10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 ( ) ( ) - 53 -

1. 2. 3. 4. - 54 -

5. 6. 1. 2. 1. 2. 3. 4. 5. - 55 -

( ) 1. 1 30 2 5 3 2. 1 2 3 4 5 6 7 3. 4. - 56 -

5. 5 3 6. 15 1. 2. 1 2 3 4 5 6 7 8 3. 1 2-57 -

3 4 5 6 1. 1 2 3 4 5 6 7 8 9 10-58 -

11 12 13 14 15 16 17 2. 1 2, 3 4 5 6, 7, 8 9-59 -

10 11 12 13 14 15 16 17 18, 19 20 21 22 23 24-60 -

30 25 1. 1 2 3 4 5 6 7 8 9 2. 1 2 3 4-61 -

5 6, 7 8 9 10 11 12 13 14 15 15 16 17 18 19 20 21-62 -

22 23 24 ( ) 1. 1 2 3 4 5 6 7 8 9 10 11 2. - 63 -

1 2 3 4 5 1. 2. 3. 4. 10% 10% 10 10-64 -

5. 4 10% 10% 6. 7 1. 30 (1) (2) (3) (4) (5) 2 1. - 65 -

(1) (2) 50% 50% 2. (1) (2) (3) 50% 50% (4) (3) (5) - 66 -

1. 10% 10% 20 15 5 15 (1) (2) 10% 10% - 67 -

2. (1) 50% 50% (2) (1) 50% 50% 2 (2) - 68 -

1. (1) (2) (3) (4) 2. - 69 -

5 ( ) 1. 2. 3. / / 1. 2. 3. 4. 5. - 70 -

( ) 4013 19 20 0755 83026688 0755 83026677 2003 12 9 1 [2003] 132, - 71 -

55 100032 010 66106912 010 66106904 1984 1 1 1710.24 QFII ( ) 1. - 72 -

2. - 73 -

3. ( ) 1. 2. - 74 -

2 2 3. T+1 11 00 4. - 75 -

5. / / 6. (1) (2) 7. / - 76 -

8. ( ) 1. 1 1 2-77 -

3 2 3 0.5% 2. - 78 -

3. 4. 5 45 15 60 90-79 -

5 5 30 30 ( ) ( ) - 80 -

( ) 1. 2. 1 2 3 4 ( ) 1. 2. 3. ( ) 1. 2. ( ) - 81 -

1. 2. 3. ( ) 1. 2. ( ) - 82 -

( ) ( ) ( ) ( ) ( ) - 83 -