拓 展 投 资 视 野 南华期货研究所主办 第三期 全备份网络 24小时不间断双中心四核交易服务系统 六大研究中心 千余人的专业团队全面响应客户需求 第三期 遍布全国的30个营业网点构成区域服务中心 个性化的保证金管理体系 香港公司境外业务丰富投资选择 智慧创造未来TM 客服热线 400 8888 910 钢企融资危机 流动性冲击的后遗症 南华期货研究所 www.nanhua.net 劳动力转移与经济转型 把 握 市 场 机 会
Macro-perspective P3 P14 P22 Financial Futures P30 P37 P44 Commodity Futures P49 P57 P62 Strategy Research P67 P74 P79
New Garden P85 P95 P103 Tracking Strategy P112 004Alpha P117 Overseas Market P124
20136 620712% 3SHIBOR6% FR007-3 4% 1 2 14 SHIBOR(3M) R001 R007 4.4 IRS:FR007-3 12 4.2 10 4.0 8 3.8 6 3.6 4 3.4 2 3.2 0 2013-01 2013-02 2013-03 2013-04 2013-05 2013-06 2013-07 3.0 2013-01 2013-02 2013-03 2013-04 2013-05 2013-06 2013-07 wind wind 6 3
4 Macro-perspective 1 QE5 1-4 56 3000NDF1 562% 51% 3 5 4-3000 -2000-1000 0 1000 2000 3000 4000 5000 2012-01 2012-02 2012-03 2012-04 2012-05 2012-06 2012-07 2012-08 2012-09 2012-10 2012-11 2012-12 2013-01 2013-02 2013-03 2013-04 2013-05 0.0 0.2 0.4 0.6 0.8 1.0 1.2-2.5-2.0-1.5-1.0-0.5 0.0 0.5 NDF-1 wind wind 6 18-19QE 620 2 63280 20
5 8000 : 6000 4000 2000 0-2000 -4000-6000 -8000-10000 2013-01 2013-02 2013-03 2013-04 2013-05 2013-06 2013-07 wind 62417 610 2410 668605610 610 3 5
Macro-perspective ABCB AC A 6 40,000 - - 30,000 20,000 10,000 0-10,000-20,000 2011-01 2011-02 2011-03 2011-04 2011-05 2011-06 2011-07 2011-08 2011-09 2011-10 2011-11 2011-12 2012-01 2012-02 2012-03 2012-04 2012-05 2012-06 2012-07 2012-08 2012-09 2012-10 2012-11 2012-12 2013-01 2013-02 2013-03 2013-04 2013-05 wind 2012120131 161.1 110.6 1. 20121 20131 18.0 17.8-0.3 17.0 14.0-2.9 16.1 15.5-0.6 15.3 14.7-0.5 16.7 15.4-1.3 16.6 15.5-1.1 6
20121 20131 17.5 19.7 2.2 13.7 17.5 3.8 17.9 18.0 0.0 19.2 19.7 0.6 17.3 19.1 1.8 16.8 16.7-0.1 13.3 14.5 1.2 21.1 19.2-1.9 16.9 15.4-1.5 18.8 19.8 1.0 15.2 15.0-0.2 17.1 17.7 0.6 wind 6 1 QE3 2015 7
8 Macro-perspective 3D 2013GDP20051.8% 20135 84.520077 67 500(VIX) 500 7 20131.8% 8 7.57.67.6 0.50-1.80-5.30 2.30 0.10 2.00 1.80-10.00-8.00-6.00-4.00-2.00 0.00 2.00 4.00 6.00 2007-03 2007-06 2007-09 2007-12 2008-03 2008-06 2008-09 2008-12 2009-03 2009-06 2009-09 2009-12 2010-03 2010-06 2010-09 2010-12 2011-03 2011-06 2011-09 2011-12 2012-03 2012-06 2012-09 2012-12 2013-03 :GDP:2005: 4.00 5.00 6.00 7.00 8.00 9.00 10.00 11.00 2008-07 2009-07 2010-07 2011-07 2012-07 :: wind wind 9 4207 10 2013783.9 83.90 50.00 60.00 70.00 80.00 90.00 100.00 : 20.00-20.00-25.00 15.00-15.00 10.00-10.00 5.00-5.00 0.00 2001-02 2001-08 2002-02 2002-08 2003-02 2003-08 2004-02 2004-08 2005-02 2005-08 2006-02 2006-08 2007-02 2007-08 2008-02 2008-08 2009-02 2009-08 2010-02 2010-08 2011-02 2011-08 2012-02 2012-08 2013-02 /CS20 wind wind
11 12 VIX 6.000 5.000 4.000 3.000 2.000 1.000 0.000-1.000-2.000 1994-01-01 1995-01-01 1996-01-01 1997-01-01 1998-01-01 1999-01-01 2000-01-01 2001-01-01 2002-01-01 2003-01-01 2004-01-01 2005-01-01 2006-01-01 2007-01-01 2008-01-01 2009-01-01 2010-01-01 2011-01-01 2012-01-01 2013-01-01 500VIX 90.00 80.00 70.00 60.00 50.00 40.00 30.00 20.00 10.00 QE1 QE2 QT QE3 2008-02-07 2009-02-07 2010-02-07 2011-02-07 2012-02-07 2013-02-07 wind QE QE1\QE2\QE3OT QE1\QE2OT QE3QE3 QE1\QE2QE3MBSQE 61819 QE3 QE 3070 20135 98.67 9
Macro-perspective 13 120 100 80 60 40 20 0 1919-01-01 1925-01-01 1931-01-01 1937-01-01 1943-01-01 1949-01-01 1955-01-01 1961-01-01 1967-01-01 1973-01-01 1979-01-01 1985-01-01 1991-01-01 1997-01-01 2003-01-01 2009-01-01 763.4%63.5% 10QE32015 2 6 QE 10
14 15 134.00 124.00 114.00 104.00 94.00 84.00 : 74.00 1991-07 1996-07 2001-07 2006-07 2011-07 8000 7000 6000 5000 4000 3000 2000 1000 0-1000 -2000 80 60 40 20 0-20 -40-60 wind wind 3 2013 2.3% 2~5 2.0% NDF 16 NDF 17 5 7.0000 6.8000 6.6000 6.4000 6.2000 6.0000 NDF- : :NDF:12 0.3000 0.2500 0.2000 0.1500 0.1000 0.0500 0.0000-0.0500-0.1000-0.1500-0.2000 120.00 110.00 100.00 90.00 80.00 : : wind wind 2~42954236329435 11
Macro-perspective 55 5 668 6 619 7 6M2 M2 13.0%6 1~4 12
18 6M214% 19 SHIBOR6 M2:% 32.00 27.00 22.00 17.00 12.00 2005-012006-01 2007-012008-012009-012010-012011-012012-012013-01 SHIBOR: SHIBOR:1 SHIBOR:1 16.0000 14.0000 12.0000 10.0000 8.0000 6.0000 4.0000 2.0000 0.0000 2013-01-04 2013-03-04 2013-05-04 2013-07-04 wind wind 6 785 13
Macro-perspective 1 2010GDP 2007 25%35% 40% 1 160 140 120 100 80 60 40 20 0-20 -40 2009-07 2010-01 2010-07 2011-01 2011-07 2012-01 2012-07 2013-01 Wind 14
20082009 2009 2 2008 2009620111220113 2% 100 90 80 70 60 50 40 30 20 10 0 Mar -09 Sep -09 Mar -10 Sep -10 Mar -11 Sep -11 Mar -12 Sep -12 Mar -13 Wind Hodrick & Prescott HP (GDPCPI) 2007 8% 15
Macro-perspective 3% 0.2 0.16 0.12 0.08 0.04 0 Mar -02 May -03 Jul-04 Sep-05 Nov -06 Jan-08 Mar -09 May -10 Jul-11 Sep-12 Wind 1 2 2002 7.5%8% 16
GDP 4% 80 70 60 50 40 30 20 10 0-10 Feb -07 Sep -07 May -08 Dec -08 Aug -09 Apr -10 Nov -10 Jul -11 Mar -12 Oct -12 Wind 2 2009 20092010 49.4% 17
Macro-perspective 5% 120.0 100.0 80.0 60.0 40.0 20.0 0.0-20.0-40.0-60.0 Mar -09 Sep -09 Mar -10 Sep -10 Mar -11 Sep -11 Mar -12 Sep -12 Mar -13 Wind 200930% 5%6 6% 40 35 30 25 20 15 10 5 0-5 2008-02 2008-10 2009-06 2010-02 2010-10 2011-06 2012-02 2012-10 2013-06 :: Wind 3 18
7% 25 20 15 10 5 0 2008-01 2008-09 2009-05 2010-01 2010-09 2011-05 2012-01 2012-09 2013-05 : Wind 08 104.1% 19
Macro-perspective 8% 4.35 4.25 4.15 4.05 3.95 3.85 Mar -08 Sep -08 Mar -09 Sep -09 Mar -10 Sep -10 Mar -11 Sep -11 Mar -12 Sep -12 Mar -13 Wind 3 20
21
Macro-perspective 20112006 20062007 2006 201120062011 2006850.00% 2186.67% 3 22
2006 31.7020119.3070.66% () 120062011 : 200612 200612 200612 200612 1 0.40 3.80 3.40 850.00% 2 1.50 4.30 2.80 186.67% 3 0.10 0.20 0.10 100.00% 4 12.70 25.20 12.50 98.43% 5 1.20 2.10 0.90 75.00% 6 0.70 1.10 0.40 57.14% 7 11.50 17.50 6.00 52.17% 8 1.40 2.10 0.70 50.00% 9 8.70 13.00 4.30 49.43% 10 65.70 95.60 29.90 45.51% 11 206.50 288.80 82.30 39.85% 12 428.20 575.80 147.60 34.47% 13 53.80 70.40 16.60 30.86% 14 14.10 18.40 4.30 30.50% 15 6.30 8.10 1.80 28.57% 16 73.20 90.30 17.10 23.36% 17 0.90 1.10 0.20 22.22% 18 45.30 55.10 9.80 21.63% 19 155.50 188.90 33.40 21.48% 20 7.20 8.70 1.50 20.83% 23
Macro-perspective : 200612 200612 200612 200612 78 14.20 11.10-3.10-21.83% 79 0.80 0.60-0.20-25.00% 80 11.60 8.70-2.90-25.00% 81 46.10 34.40-11.70-25.38% 82 62.60 45.90-16.70-26.68% 83 13.70 9.90-3.80-27.74% 84 12.90 9.30-3.60-27.91% 85 39.90 28.60-11.30-28.32% 86 8.30 5.90-2.40-28.92% 87 26.30 18.40-7.90-30.04% 88 12.20 8.00-4.20-34.43% 89 7.20 4.40-2.80-38.89% 90 5.10 3.10-2.00-39.22% 91 4.30 2.50-1.80-41.86% 92 () 1.90 1.10-0.80-42.11% 93 8.50 4.90-3.60-42.35% 94 3.30 1.90-1.40-42.42% 95 51.20 26.30-24.90-48.63% 96 39.20 18.40-20.80-53.06% 97 31.70 9.30-22.40-70.66% 98 6081.30 6609.10 527.8 8.68% wind 20112006 24
25353 9781.96%2006 680% 297 80% 2: 20112006 1 : : 200612 201112 200612 201112 1 0.40 3.80 0.01% 0.06% 2 1.90 8.10 0.03% 0.12% 3 2.00 8.30 0.03% 0.13% 4 14.70 33.50 0.24% 0.51% 5 15.90 35.60 0.26% 0.54% 6 16.60 36.70 0.27% 0.56% 7 28.10 54.20 0.46% 0.82% 8 29.50 56.30 0.49% 0.85% 9 38.20 69.30 0.63% 1.05% 10 103.90 164.90 1.71% 2.50% 11 310.40 453.70 5.10% 6.86% 12 738.60 1029.50 12.15% 15.58% 13 792.40 1099.90 13.03% 16.64% 14 806.50 1118.30 13.26% 16.92% 15 812.80 1126.40 13.37% 17.04% 16 886.00 1216.70 14.57% 18.41% 17 886.90 1217.80 14.58% 18.43% 18 932.20 1272.90 15.33% 19.26% 19 1087.70 1461.80 17.89% 22.12% 20 1094.90 1470.50 18.00% 22.25% 21 1109.70 1488.30 18.25% 22.52% 22 1137.40 1521.60 18.70% 23.02% 23 1156.80 1544.90 19.02% 23.38% 24 1186.70 1580.80 19.51% 23.92% 25
Macro-perspective 1 : : 200612 201112 200612 201112 25 1189.20 1583.80 19.56% 23.96% 26 2327.60 2946.60 38.27% 44.58% 27 2372.60 3000.30 39.01% 45.40% 28 2374.70 3002.80 39.05% 45.43% 29 2431.50 3070.10 39.98% 46.45% 30 2442.60 3083.20 40.17% 46.65% 31 2453.30 3095.80 40.34% 46.84% 32 2459.80 3103.40 40.45% 46.96% 33 2569.70 3230.20 42.26% 48.88% 34 2571.70 3232.50 42.29% 48.91% 35 2586.80 3249.80 42.54% 49.17% 36 2630.30 3299.30 43.25% 49.92% 37 2638.90 3309.00 43.39% 50.07% 38 2663.60 3336.50 43.80% 50.48% 39 2721.00 3400.10 44.74% 51.45% 40 3340.50 4082.10 54.93% 61.76% 41 3342.50 4084.30 54.96% 61.80% 42 3496.90 4253.50 57.50% 64.36% 43 3519.80 4278.20 57.88% 64.73% 44 3556.20 4317.20 58.48% 65.32% 45 3609.20 4373.30 59.35% 66.17% 46 3764.60 4537.70 61.90% 68.66% 47 3801.30 4576.50 62.51% 69.25% 48 3846.20 4623.80 63.25% 69.96% 49 3853.30 4631.20 63.36% 70.07% 50 3877.20 4656.00 63.76% 70.45% 51 3900.20 4679.70 64.13% 70.81% 52 4470.80 5265.00 73.52% 79.66% 53 4623.10 5417.10 76.02% 81.96% 54 4637.50 5431.40 76.26% 82.18% 55 4702.30 5494.00 77.32% 83.13% 26
1 : : 200612 201112 200612 201112 56 4892.80 5676.30 80.46% 85.89% 57 4903.50 5686.40 80.63% 86.04% 58 4952.80 5732.60 81.44% 86.74% 59 4993.40 5770.30 82.11% 87.31% 60 5010.20 5785.90 82.39% 87.54% 61 5109.20 5875.30 84.01% 88.90% 62 5237.00 5990.00 86.12% 90.63% 63 5246.20 5998.10 86.27% 90.76% 64 5248.70 6000.30 86.31% 90.79% 65 5350.20 6086.70 87.98% 92.10% 66 5353.70 6089.60 88.04% 92.14% 67 5366.50 6100.20 88.25% 92.30% 68 5488.50 6200.70 90.25% 93.82% 69 5564.80 6263.50 91.51% 94.77% 70 5581.90 6277.50 91.79% 94.98% 71 5584.50 6279.60 91.83% 95.01% 72 5640.60 6324.90 92.75% 95.70% 73 5652.80 6334.70 92.95% 95.85% 74 5653.80 6335.50 92.97% 95.86% 75 5658.80 6339.50 93.05% 95.92% 76 5667.90 6346.70 93.20% 96.03% 77 5680.30 6356.40 93.41% 96.18% 78 5694.50 6367.50 93.64% 96.34% 79 5695.30 6368.10 93.65% 96.35% 80 5706.90 6376.80 93.84% 96.49% 81 5753.00 6411.20 94.60% 97.01% 82 5815.60 6457.10 95.63% 97.70% 83 5829.30 6467.00 95.86% 97.85% 84 5842.20 6476.30 96.07% 97.99% 85 5882.10 6504.90 96.72% 98.42% 86 5890.40 6510.80 96.86% 98.51% 27
Macro-perspective 1 : : 200612 201112 200612 201112 87 5916.70 6529.20 97.29% 98.79% 88 5928.90 6537.20 97.49% 98.91% 89 5936.10 6541.60 97.61% 98.98% 90 5941.20 6544.70 97.70% 99.03% 91 5945.50 6547.20 97.77% 99.06% 92 () 5947.40 6548.30 97.80% 99.08% 93 5955.90 6553.20 97.94% 99.15% 94 5959.20 6555.10 97.99% 99.18% 95 6010.40 6581.40 98.83% 99.58% 96 6049.60 6599.80 99.48% 99.86% 97 6081.30 6609.10 100.00% 100.00% wind 20112006 90 47 40 90 104.49%497.63%13 428.94%19 2013720 G20) 28
3:2011200630 : 31-113 2006 2011 1 0.95 86.91 85.96 9033.35% 2 4.16 167.45 163.29 3925.54% 3 21.85 421.40 399.55 1828.89% 4 6.08 113.21 107.13 1762.58% 5 136.89 1330.19 1193.30 871.71% 6 829.66 6891.87 6062.21 730.69% 7 43.98 312.69 268.72 611.04% 8 79.38 561.68 482.30 607.59% 9 26.11 181.16 155.05 593.78% 10 84.13 579.09 494.96 588.30% 11 130.00 812.17 682.16 524.74% 12 116.19 718.24 602.05 518.17% 13 57.49 343.60 286.11 497.63% 14 21.25 126.31 105.06 494.37% 15 142.35 837.27 694.92 488.17% 16 512.43 2912.56 2400.12 468.38% 17 333.81 1879.35 1545.54 463.00% 18 196.50 1074.14 877.64 446.64% 19 87.89 464.89 377.00 428.94% 20 10.48 53.04 42.56 405.91% 21 25.60 127.86 102.26 399.50% 22 66.54 330.65 264.11 396.90% 23 4.83 23.98 19.15 396.26% 24 1184.23 5701.87 4517.64 381.48% 25 721.65 3450.75 2729.10 378.17% 26 716.82 3426.77 2709.95 378.05% 27 909.21 4317.30 3408.09 374.84% 28 613.38 2872.16 2258.79 368.26% 29 3390.59 15859.98 12469.39 367.76% 30 101.09 469.26 368.17 364.18% wind 29
Financial Futures 18 90 CF CTDCTD 0CTD 1 FtPc Pr F P ctp rtp F+ ctp P+ rtp =-=F+ctP-(P+ rtp)=0; F=P*[1+T(r-c)]3P 30
cr1100 2 1003% 4~7 P=CF*FYTM 3%CF 5 3%CF=13%CF01 5CF0<CF<15CF<CF0<1 3%CF1151<CF<CF15 1<CF1<CF 3 CTD cheapest to deliveryctd = + 31
Financial Futures 3% 3% 4 CTD0 VIMy ntt 10008 510 1962 32
1962 5 1 1 33
Financial Futures 2 4 15 3 34
4 20 5 6 7 35
Financial Futures 8 9 2 36
BNOC = BNOC= + OAS= 1 CTD CTD BNOG CTD 37
Financial Futures CTDBNOC CTDCTD 2CTD 1CTD CTD CTDCTD BNOCCTD BNOC CTDBNOC CTD BNOC BNOC 38
, CTDBNOC CTDCTDCTD 3 4 4.0 120003.IB 110017.IB 090027.IB 3.5 3.0 y y BNOG 2.5 2.0 1.5 1.0 0.5 y 0.0-120-100-80 -60-40 -20 0 20 40 60 80 100 120 Wind Wind 4TF1209BNOC 57CTD CTD on-the-run 2 39
40 Financial Futures SLO carry carry carry 6 5 6 30.000-30.000-40.000-50.000-60.000 20.000-20.000 10.000-10.000 0 2012/3/9 2012/3/11 2012/3/13 2012/3/15 2012/3/17 2012/3/19 2012/3/21 2012/3/23 2012/3/25 2012/3/27 2012/3/29 2012/3/31 2012/4/2 2012/4/4 2012/4/6 2012/4/8 2012/4/10 2012/4/12 2012/4/14 2012/4/16 2012/4/18 2012/4/20 2012/4/22 2012/4/24 2012/4/26 2012/4/28 2012/4/30 2012/5/2 2012/5/4 2012/5/6 2012/6/1 2012/6/3 2012/6/5 2012/5/8 2012/5/10 2012/5/12 2012/5/14 2012/5/16 2012/5/18 2012/5/20 2012/5/22 2012/5/24 2012/5/26 2012/5/28 2012/5/30 2012/6/8 2012/6/10 2012/6/12 2012/6/14 2012/6/16 2012/6/18 2012/6/20 2012/6/22 2012/6/24 2012/6/26 2012/6/28 2012/6/30 2012/7/2 2012/7/4 2012/7/6 2012/8/1 2012/8/3 2012/8/5 2012/8/7 2012/8/9 2012/8/11 2012/8/13 2012/8/15 2012/8/17 2012/7/8 2012/7/10 2012/7/12 2012/7/14 2012/7/16 2012/7/18 2012/7/20 2012/7/22 2012/7/24 2012/7/26 2012/7/28 2012/7/30 70.000 60.000 50.000 40.000 30.000 20.000-20.000 10.000-10.000 0 AccPL(Basis+Carry) AccPL(Basis) AccPL(Carry) AccPL(Basis+Carry) AccPL(Basis) AccPL(Carry) Wind Wind 7 77 80%7
IRR 1IRR-RP IRR= F*CF+AIT-(S+AIT) (S+AIT) 365 n IRRF F0>F++ =-+ F0-F- 41
42 Financial Futures 7IRR-RP -0.8-0.6-0.4-0.2 0 0.2 0.4 0.6 0.8 1 1.2 1.4-6.00% -5.00% -4.00% -3.00% -2.00% -1.00% 0.00% 1.00% 2.00% 3.00% 4.00% 2013/6/17 2013/6/19 2013/6/21 2013/6/23 2013/6/25 2013/6/27 2013/6/29 2013/7/1 2013/7/3 2013/7/5 2013/7/7 2013/7/9 2013/7/11 2013/7/13 2013/7/15 IRR-RP BNOC( Wind IRR-RP510 TF1306IRR20% IRRIRR-RP 2 5ETF ETF ETF ETF IRR-RP
8 5 ETFETF ETF10 ETF ETF ETF 43
Financial Futures 52060120250 7532060 2,1202501 120 120 TMT1TMTTechnology MediaTelecom 20 1005 44
120 52 52 52 5 20 1 000998.SH TMT 1137.80 1161.47 644.71 80.15% 4.41% 10.65% 46.60% 2 000993.SH 2987.38 3053.87 1798.04 69.84% 3.75% 8.21% 38.81% 3 000935.SH 2378.25 2524.85 1547.41 63.17% 2.98% 5.78% 30.37% 4 000936.SH 2807.71 3046.22 1685.68 80.71% 4.56% 8.98% 36.02% 5 000977.SH 843.27 943.13 602.24 56.60% 0.85% 1.09% 18.73% 6 000978.SH 100 7621.10 8163.57 5184.26 57.47% -0.07% 3.12% 25.92% 7 000991.SH 6253.90 6548.50 4284.85 52.83% -0.65% 4.18% 27.58% 8 000973.SH 3977.30 4379.68 2792.65 56.83% 0.68% 1.75% 19.03% 9 000808.SH 6138.48 6454.35 4233.25 52.47% -0.91% 3.24% 27.46% 10 000814.SH 6044.39 6349.24 4203.97 51.03% -1.08% 4.45% 26.85% 11 000933.SH 6439.00 6768.96 4530.64 49.40% -1.01% 3.53% 25.26% 12 000806.SH 4325.81 4731.12 3563.81 32.75% -0.67% 0.76% 3.03% 13 000994.SH 2985.77 3242.61 1824.36 77.74% 3.72% 7.50% 33.29% 14 000958.SH 962.24 1053.04 677.79 55.36% -1.76% 1.08% 17.59% 15 000983.SH 4187.55 4559.47 2750.83 65.75% 1.01% 1.99% 25.56% 16 000938.SH 1138.71 1263.43 829.29 52.35% -0.68% -0.16% 13.49% 17 000997.SH 4661.50 5153.49 3508.91 46.87% -0.39% 0.51% 10.74% 18 000999.SH 1153.75 1342.06 1067.99 25.66% -1.77% 1.00% -8.37% 19 000964.SH 4840.79 5494.34 3606.29 52.35% -0.46% -0.53% 12.19% 20 000963.SH 3030.30 3326.07 2518.30 32.08% -1.60% 0.17% 4.25% wind & 220 202 32 80,A5 45
Financial Futures 220 52 52 52 5 20 1 000944.SH 2283.49 3896.49 2272.10 71.49% -5.90% -14.08% -38.00% 2 000811.SH 3684.95 6043.56 3575.23 69.04% -6.53% -12.45% -35.59% 3 000819.SH 3267.07 5215.78 3139.58 66.13% -6.51% -11.41% -32.88% 4 000820.SH 2063.65 3837.29 2027.24 89.29% -4.68% -14.64% -39.53% 5 000961.SH 2251.02 3675.42 2224.85 65.20% -5.46% -13.10% -34.95% 6 000801.SH 80 2287.24 3603.01 2226.21 61.85% -5.17% -11.11% -31.57% 7 000805.SH A 3512.26 5683.65 3390.92 67.61% -4.96% -11.69% -31.96% 8 000929.SH 1756.14 2561.35 1659.43 54.35% -4.49% -9.09% -26.01% 9 000954.SH 100 674.78 933.50 628.74 48.47% -4.56% -7.05% -20.65% 10 000979.SH 2687.56 3939.10 2515.52 56.59% -4.01% -7.98% -24.88% 11 000928.SH 2023.49 3225.98 1985.97 62.44% -4.40% -13.30% -31.33% 12 000971.SH 90 1790.78 2450.16 1685.61 45.36% -4.39% -7.62% -19.81% 13 000987.SH 1908.88 2595.53 1785.48 45.37% -3.73% -8.00% -20.15% 14 000810.SH 2068.83 3216.79 2022.19 59.07% -4.10% -12.70% -29.53% 15 000934.SH 3239.73 4361.62 2951.00 47.80% -4.83% -6.17% -13.74% 16 000992.SH 3181.79 4270.09 2892.49 47.63% -4.81% -6.10% -13.64% 17 000986.SH 1950.25 3014.76 1901.86 58.52% -4.01% -12.14% -28.71% 18 000903.SH 100 2053.87 2754.15 1919.14 43.51% -4.21% -6.26% -17.20% 19 000956.SH 200 637.20 848.67 593.10 43.09% -3.75% -5.96% -18.54% 20 000816.SH 3373.98 4105.52 2852.13 43.95% -6.34% -3.25% -11.15% wind & 203 202 38035 306 3 46
320 52 52 52 5 20 1 000040.SH 1546.92 1795.87 1004.15 78.84% 3.13% 3.94% 27.37% 2 000039.SH 1965.85 2052.63 1344.36 52.68% 5.01% 8.49% 23.05% 3 000077.SH 2385.05 2504.95 1616.70 54.94% 5.23% 9.20% 25.05% 4 000131.SH 848.00 936.31 574.97 62.85% 2.06% 3.37% 21.54% 5 000114.SH 751.71 837.71 575.73 45.50% 1.46% 1.92% 11.36% 6 000078.SH 1340.31 1556.04 967.16 60.89% 2.16% 2.16% 19.23% 7 000013.SH 166.16 166.29 155.61 6.86% -0.02% 0.18% 4.11% 8 000101.SH 5 147.93 148.08 138.18 7.16% -0.03% 0.21% 4.16% 9 000022.SH 146.85 147.21 138.01 6.67% -0.02% -0.04% 3.39% 10 000012.SH 138.28 138.49 133.78 3.52% 0.03% 0.17% 1.84% 11 000061.SH 30 124.09 124.48 118.23 5.29% -0.16% -0.08% 3.17% 12 000023.SH 141.54 142.54 136.55 4.39% -0.18% 0.22% 2.23% 13 000116.SH 100 145.08 146.52 138.23 6.00% -0.33% -0.29% 3.10% 14 000111.SH 380 2312.94 2413.59 1613.34 49.60% 3.54% 8.84% 22.63% 15 000075.SH 5386.99 5804.09 3688.56 57.35% -1.36% 1.38% 26.70% 16 000037.SH 4282.19 4507.37 2913.54 54.70% -1.18% 4.45% 31.02% 17 000121.SH 6103.51 6660.72 4382.14 52.00% -0.34% 1.23% 20.86% 18 000158.SH 981.58 1141.68 737.68 54.77% 0.08% -3.01% 11.40% 19 000103.SH 4343.13 4705.42 3539.86 32.93% -1.05% 0.87% 6.73% 20 000148.SH 4181.47 4489.35 3389.63 32.44% -0.75% 1.79% 4.77% wind & 420 180 47
Financial Futures 420 52 52 52 5 20 1 000026.SH 180 2300.06 3831.40 2288.63 67.41% -5.96% -14.05% -37.75% 2 000094.SH 1890.36 3057.51 1868.60 63.63% -5.45% -13.10% -35.06% 3 000066.SH 1441.86 2337.19 1417.03 64.94% -5.21% -11.95% -34.38% 4 000070.SH 2365.96 3715.63 2308.27 60.97% -4.68% -12.35% -28.76% 5 000092.SH 50 1984.13 3124.81 1937.58 61.27% -5.04% -10.94% -31.95% 6 000145.SH 2724.90 4560.27 2664.42 71.15% -5.19% -12.13% -35.98% 7 000043.SH 1381.68 2049.44 1348.95 51.93% -5.75% -10.16% -26.08% 8 000068.SH 1703.85 2717.31 1677.86 61.95% -5.26% -11.88% -33.32% 9 000032.SH 1539.12 2509.19 1512.11 65.94% -4.85% -13.44% -33.19% 10 000033.SH 1332.88 1979.48 1260.48 57.04% -4.59% -8.05% -27.96% 11 000135.SH 180 3746.91 5398.75 3494.44 54.50% -4.47% -9.41% -23.52% 12 000055.SH 675.15 927.03 622.05 49.03% -4.92% -6.22% -18.93% 13 000123.SH 180 4919.39 6460.67 4490.69 43.87% -4.80% -6.61% -17.22% 14 000050.SH 50 1472.18 2065.39 1402.00 47.32% -4.51% -8.02% -21.71% 15 000016.SH 50 1511.40 2088.45 1422.98 46.77% -4.80% -7.46% -18.64% 16 000071.SH 1854.36 2613.16 1713.28 52.52% -3.60% -6.37% -22.37% 17 000102.SH 3153.68 4873.47 3056.00 59.47% -3.93% -10.30% -30.54% 18 000063.SH 1849.95 2614.30 1723.78 51.66% -4.66% -7.16% -19.05% 19 000048.SH 729.13 988.05 674.25 46.54% -4.30% -6.42% -16.49% 20 000028.SH 180 1818.48 2394.61 1680.56 42.49% -4.44% -5.82% -14.16% wind & 5 2020 20 48
49 18 2012710 1 2.09 2.29 2.49 2.69 2.89 3.09 3.29 3.49 3.69 3.89 2007-03-01 2007-06-01 2007-09-01 2007-12-01 2008-03-01 2008-06-01 2008-09-01 2008-12-01 2009-03-01 2009-06-01 2009-09-01 2009-12-01 2010-03-01 2010-06-01 2010-09-01 2010-12-01 2011-03-01 2011-06-01 2011-09-01 2011-12-01 2012-03-01 2012-06-01 2012-09-01 2012-12-01 2013-03-01 2013-06-01 Y/M 2010/2011
50 Commodity Futures 10/119.97% 12.67% 2011/20124.7%2013/20144.2% 2 9.0% 9.5% 10.0% 10.5% 11.0% 11.5% 12.0% 12.5% 13.0% 0 5000 10000 15000 20000 25000 2000/2001 2001/2002 2002/2003 2003/2004 2004/2005 2005/2006 2006/2007 2007/2008 2008/2009 2009/2010 2010/2011 2011/2012 2012/2013 2013/2014 - USDA 3 25% 20% 15% 10% 5% 0% 1997/98 1998/99 1999/00 2000/01 2001/02 2002/03 2003/04 2004/05 2005/06 2006/07 2007/08 2008/09 2009/10 2010/11 2011/12 2012/13 2013/14 USDA
51 4 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% - 2,000 0 2,000 4,000 6,000 8,000 10,000 12,000 14,000 2000/2001 2001/2002 2002/2003 2003/2004 2004/2005 2005/2006 2006/2007 2007/2008 2008/2009 2009/2010 2010/2011 2011/2012 2012/2013 2013/2014 - USDA 5-5% 20% 15% 10% 5% 0% 2001/02 2002/03 2003/04 2004/05 2005/06 2006/07 2007/08 2008/09 2009/10 2010/11 2011/12 2012/13 2013/14 USDA 2 2006 GDP GDP100030008.2% GDP30003.8%2008GDP 30007
Commodity Futures 6 // 25.00 20.00 15.00 10.00 5.00 0.00 1980-1-1 1982-1-1 1984-1-1 1986-1-1 1988-1-1 1990-1-1 1992-1-1 1994-1-1 1996-1-1 1998-1-1 2000-1-1 2002-1-1 2004-1-1 2006-1-1 2008-1-1 2010-1-1 2012-1-1 USDA 7 % 0.35 0.30 0.25 0.20 0.15 0.10 0.05 0.00-0.05-0.10-0.15 1981-1-1 1983-1-1 1985-1-1 1987-1-1 1989-1-1 1991-1-1 1993-1-1 1995-1-1 1997-1-1 1999-1-1 2001-1-1 2003-1-1 2005-1-1 2007-1-1 2009-1-1 2011-1-1 USDA 52
53 8 60% 50% 40% 30% 20% 10% -10% 0% 1997/98 1998/99 1994/95 1996/97 1995/96 1999/00 2000/01 2001/02 2002/03 2003/04 2004/05 2005/06 2006/07 2007/08 2008/09 2009/10 2010/11 2011/12 2012/13 2013/14 USDA 2008 CPI 20102012 2008 25
54 Commodity Futures 9 0.20 0.25 0.30 0.35 0.40 0.45 0.50 0.55 0.20 0.30 0.40 0.50 0.60 0.70 0.80 2006-1-12 2006-6-12 2006-11-12 2007-4-12 2007-9-12 2008-2-12 2008-7-12 2008-12-12 2009-5-12 2009-10-12 2010-3-12 2010-8-12 2011-1-12 2011-6-12 2011-11-12 2012-4-12 2012-9-12 USDA Income EffectSubstitution Effect =+ 2012
55 10 1 1.05 1.1 1.15 1.2 1.25 1.3 1.35 1.4 1.45 2 2.2 2.4 2.6 2.8 3 3.2 3.4 3.6 3.8 4 2007-11-1 2008-3-1 2008-7-1 2008-11-1 2009-3-1 2009-7-1 2009-11-1 2010-3-1 2010-7-1 2010-11-1 2011-3-1 2011-7-1 2011-11-1 2012-3-1 2012-7-1 2012-11-1 2013-3-1 2013-7-1 2008147 100/ 11 16000 14000 12000 10000 8000 6000 4000 2006-1-9 2006-11-9 2006-6-9 2007-4-9 2007-9-9 2008-2-9 2008-12-9 2008-7-9 2009-5-9 2009-10-9 2010-3-9 2011-1-9 2010-8-9 2011-6-9 2011-11-9 2012-4-9 2013-2-9 2012-9-9 2013-7-9 160 140 120 100 80 60 40
Commodity Futures 1 2 3 56
57 227149 1669540% 5717000 1 200-200 -300-400 -500 100-100 0 2011-3-9 2011-4-9 2011-5-9 2011-6-9 2011-7-9 2011-8-9 2011-9-9 2011-10-9 2011-11-9 2011-12-9 2012-3-9 2012-4-9 2012-1-9 2012-2-9 2012-5-9 2012-6-9 2012-7-9 2013-3-9 2013-4-9 2013-1-9 2013-2-9 2013-5-9 2013-6-9 2013-7-9 2012-8-9 2012-9-9 2012-10-9 2012-11-9 2012-12-9 PSS3 STR20 CIF 5
58 Commodity Futures 2 3 400 300 350 200 250 100 150 0 50 20116 20118 201110 201112 20126 20128 20122 20124 20136 20132 20134 201210 201212 1 0.8 0.6 0.4 0.2-0.2 0 33000 31000 29000 27000 25000 23000 21000 19000 17000 15000 1000-1000 500-500 -2000-1500 -3000-2500 -3500 0 2012-1-9 2012-2-9 2012-3-9 2012-4-9 2012-5-9 2012-6-9 2012-7-9 2013-1-9 2013-2-9 2013-3-9 2013-4-9 2013-5-9 2013-6-9 2013-7-9 2012-8-9 2012-9-9 2012-10-9 2012-11-9 2012-12-9 - ANRPC 19030% 2013 520 5 20
4CIF 5/ 5500 5000 4500 4000 3500 3000 2500 2000 2011-5-23 2011-7-23 2011-9-23 CIF RSS3 STR20 SMR20 SIR20 2011-11-23 2012-1-23 2012-3-23 2012-5-23 2012-7-23 2012-9-23 2012-11-23 2013-1-23 2013-3-23 2013-5-23 95 90 85 80 75 70 65 60 55 50 2013-1-4 2013-2-4 2013-3-4 2013-4-4 2013-5-4 2013-6-4 2013-7-4 CIF4 5 sicom 7 sicom 6 7 sicom 59
Commodity Futures 6 50% 45% 40% 35% 30% 25% 20% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 3100000 2900000 2700000 2500000 2300000 2100000 1900000 1700000 1500000 20# 1020# 201120#45% 25%20# 7CIF 1000 800 600 400 200 0-200 -400 CIF RSS3-STR20 RSS3-SMR20 2010-7-16 2010-10-16 2011-1-16 2011-4-16 2011-7-16 2011-10-16 2012-1-16 2012-4-16 2012-7-16 2012-10-16 2013-1-16 2013-4-16 4200 60
4600 7200 sicom sicom sicom sicom 140117000 18000 61
Commodity Futures 2012 201246 201352012 50502012 214.7%9.4%1-2 17.7%6.5%167.7%15.9% 2 20-30% 3 7 5 6 4 1 62
3 1 2 20-30% 5 4 20-30% 2011 2012 63
Commodity Futures 20112 12011 6000 5500 5000 4500 4000 3500 3000 2500 2005-01 2005-04 2005-07 2005-10 2006-01 2006-04 2006-07 2006-10 2007-01 2007-04 2007-07 2007-10 2008-01 2008-04 2008-07 2008-10 2009-01 2009-04 2009-07 2009-10 2010-01 2010-04 2010-07 2010-10 2011-01 2011-04 2011-07 2011-10 2012-01 2012-04 2012-07 2012-10 2013-01 2013-04 2013-07 6 6 3.7%9.67% 2 15.00 10.00 5.00 0.00 2006-10-17 2007-02-17 2007-06-17 2007-10-17 2008-02-17 2008-06-17 2008-10-17 2009-02-17 2009-06-17 2009-10-17 2010-02-17 2010-06-17 2010-10-17 2011-02-17 2011-06-17 2011-10-17 2012-02-17 2012-06-17 2012-10-17 2013-02-17 2013-06-17 64
2013 65
Commodity Futures 3 1600 1400 1200 1000 800 600 400 200 0 2005-04-29 2005-08-29 2005-12-29 2006-04-29 2006-08-29 2006-12-29 2007-04-29 2007-08-29 2007-12-29 2008-04-29 2008-08-29 2008-12-29 2009-04-29 2009-08-29 2009-12-29 2010-04-29 2010-08-29 2010-12-29 2011-04-29 2011-08-29 2011-12-29 2012-04-29 2012-08-29 2012-12-29 2013-04-29 4 1400 1200 1000 800 600 2010-01-11 2010-03-11 2010-05-11 2010-07-11 2010-09-11 2010-11-11 2011-01-11 2011-03-11 2011-05-11 2011-07-11 2011-09-11 2011-11-11 2012-01-11 2012-03-11 2012-05-11 2012-07-11 2012-09-11 2012-11-11 2013-01-11 2013-03-11 2013-05-11 66
a) ()b) ( )c) ()d) ( )1 1 67
Strategy Research 1 2000 2000 CPIGDP2 2CPIGDP 10.00 8.00 6.00 4.00 2.00 0.00-2.00-4.00 CPIGDP CPI: GDP: 15.00 14.00 13.00 12.00 11.00 10.00 9.00 8.00 7.00 6.00 2000-03 2000-11 2001-07 2002-03 2002-11 2003-07 2004-03 2004-11 2005-07 2006-03 2006-11 2007-07 2008-03 2008-11 2009-07 2010-03 2010-11 2011-07 2012-03 2012-11 Wind & 2GDP CPI 34 68
3 107.00 105.00 103.00 101.00 99.00 97.00 95.00 93.00 : : 2000-01 2000-09 2001-05 2002-01 2002-09 2003-05 2004-01 2004-09 2005-05 2006-01 2006-09 2007-05 2008-01 2008-09 2009-05 2010-01 2010-09 2011-05 2012-01 2012-09 2013-05 Wind & 4CPI 10.00 8.00 6.00 4.00 2.00 0.00-2.00-4.00 CPI CPI: : 105.00 103.00 101.00 99.00 97.00 95.00 93.00 2000-01 2000-09 2001-05 2002-01 2002-09 2003-05 2004-01 2004-09 2005-05 2006-01 2006-09 2007-05 2008-01 2008-09 2009-05 2010-01 2010-09 2011-05 2012-01 2012-09 2013-05 Wind & 3-42000 A 69
Strategy Research 1 2000-2002/04 200225.49 2002/05-2004/03 5.49 2003 96%7% 2004/04-2004/08 7.5%M220%14% 2004/09-2005/02 2004105.76%M2 2005/03-2006-03 5.76%M214%19% 2006/04-2007/11 200686.3% 9%M216-18% 2007/12-200804 16%M2 16%-18% 2008/05-2009/02 7.56%5.4%16% 17.5%13%M218%14% 20% 2009/03-2009/06 20096M228.46% 2009/07-2010/01 M229.74% 5.31%5.56% 2010/02-2011/04 5.56%6.31% 2011/05-2012/07 6.56%6.0%M215.1%13.9% 2012/08-2013/04 21.5%20.0%M213.50% 16.1% wind & 1 5 70
5 GDP GD P GDP GDP 5 GDP () GDP 300 GDP 300 GDP 71
Strategy Research () GDP 300 GDP () 300 () 300 67 6 CPI 7300CPI 1750 1650 1550 1450 1350 1250 1150 1050 950 850 750 CPI CPI: 2004-06-01 2004-11-29 2005-06-08 2005-12-06 2006-06-14 2006-12-12 2007-06-21 2007-12-19 2008-06-25 2008-12-24 2009-07-01 2009-12-30 2010-07-07 2011-01-10 2011-07-14 2012-01-16 2012-07-23 2013-01-23 10.00 8.00 6.00 4.00 2.00 0.00-2.00-4.00 7000 6000 5000 4000 3000 2000 1000 0 300 CPI 300 CPI: 2002-01-04 2002-08-20 2003-04-02 2003-11-11 2004-06-23 2005-01-24 2005-09-02 2006-04-17 2006-11-22 2007-07-04 2008-02-05 2008-09-10 2009-04-23 2009-11-27 2010-07-07 2011-02-17 2011-09-19 2012-05-04 2012-12-05 10.00 8.00 6.00 4.00 2.00 0.00-2.00-4.00 wind & wind & 67CPI 300300 20072004 2. 72
2 300 29 17 12 10.35% 1.96% 30 17 13 18.43% 3.78% 27 17 10 11.41% 1.27% 27 22 5 173.83% 4.68% 20 10 10 8.86% 0.87% 20 10 10-8.40% -1.31% 25 8 17-21.97% -2.03% 25 10 15-36.44% -3.52% wind & 2 20128 GDP QE 13 73
Strategy Research 2013PK 20133 Q 20057201 74
1 & 1 0.25% 1 2005721 219851 7 19851728 2000 75
Strategy Research 2198517 1600.00% 1400.00% 1200.00% 1000.00% 800.00% 600.00% 300.00% 200.00% 0.00% -200.00% 1985-01-07 1985 1987-01-07 1989-01-07 1991-01-07 1993-01-07 1995-01-07 1997-01-07 1999-01-07 2001-01-07 2003-01-07 2005-01-07 2007-01-07 2009-01-07 2011-01-07 2013-01-07 US dollar Euro Chinese renmimbi & 2005721720 3:2005720 400.00% 350.00% 300.00% 250.00% 200.00% 150.00% 100.00% 50.00% 0.00% -50.00% 2005-07-20 2005-11-20 2005721 2006-03-20 2006-07-20 2006-11-20 2007-03-20 2007-07-20 2007-11-20 2008-03-20 2008-07-20 2008-11-20 2009-03-20 2009-07-20 2009-11-20 2010-03-20 2010-07-20 2010-11-20 2011-03-20 2011-07-20 2011-11-20 2012-03-20 2012-07-20 2012-11-20 2013-03-20 US dollar Euro Chinese renmimbi & 212005721 4 76
77 212011 2110%-12%2013 42005720 120% 100% 80% 60% 40% 20% 0% 2005-07-20 2006-01-20 2006-07-20 2007-01-20 2007-07-20 2008-01-20 2008-07-20 2009-01-20 2009-07-20 2010-01-20 2010-07-20 2011-01-20 2011-07-20 2012-01-20 2013-01-20 2012-07-20 15% -15% 10% -10% 5% -5% 0% 21 21 & 519851
Strategy Research 76 20057205 6 19222012 2013 5198517: 3000.00% 1985 2500.00% 2000.00% 1500.00% 1000.00% 500.00% US dollar Indian rupee Chinese renmimbi 0.00% -500.00% 1985-01-07 1987-01-07 1989-01-07 1991-01-07 1993-01-07 1995-01-07 1997-01-07 1999-01-07 2001-01-07 2003-01-07 2005-01-07 2007-01-07 2009-01-07 2011-01-07 2013-01-07 & 6:2005720 500.00% 450.00% 400.00% 350.00% 300.00% 250.00% 200.00% 150.00% 100.00% 50.00% 0.00% -50.00% 2005-07-20 2005-11-20 2006-03-20 2006-07-20 2006-11-20 2005721 2007-03-20 2007-07-20 2007-11-20 2008-03-20 2008-07-20 2008-11-20 2009-03-20 2009-07-20 2009-11-20 2010-03-20 2010-07-20 2010-11-20 2011-03-20 2011-07-20 2011-11-20 2012-03-20 2012-07-20 2012-11-20 2013-03-20 US dollar Indian rupee Chinese renmimbi & 78
2070B-S 0 delta delta delta delta B-SDelta Delta 1 1 Delta 79
Strategy Research CPPIOBPICPPI ( Floor) (Cushion) (Multiple)( Exposure) 100% OBPI 1 OBPI 1 1 80
20104 162013712784240 80%20% 1 2010.4.6-2013.7.12 2.5% 240 4.5% 3 2 0.5 540 2300 2 300 3.12% -9.35% 0.6% 11.7% 6.19% 23.9% 2.56% -28.3% 2540300 3009.35%11.7% 3.12% 30028.3% 2.56% 81
Strategy Research 3 300 2.5%3.0% 67.59% -30%-20% 20.74% 3.0%3.5% 15.93% -20%-10% 33.52% 3.5%4.0% 5.56% -10%0% 21.11% 4.0%4.5% 7.22% 0%10% 19.44% 4.5%5.0% 0.93% 10%20% 4.07% 5.0%5.5% 1.48% 20%30% 1.11% 5.5%6.0% 0.74% 6.0%6.5% 0.56% 330054010% 50%2.5%3.5% barrier option - - H- H- - HK-0HK - 82
- delta- - 300 4 4 2010.4.6-2013.3.29 2.5% 60 4.5% 3 2 0.5 2010416201332971760 658-110% 3delta 83
Strategy Research 5-4.77% 1.93% 8.28% 13.97% 1.05% -2.04% 5-1.93% 4.77%-2.47 8.28%-13.97% 1.05%--2.04% 84
85 C HONS 1 10% 2009 GB57512009 12 1 YM WY HM 112321/3 14
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97.8% 90% 7.5%32% 35%40% 2 75.83% 80% 201270% 4201020.3% 20.3%-6.1% 3 23.5 () (%) 25.3 26.9 28.0 29.7 32.4 35.2 36.5 2005 2006 2007 2008 2009 2010 2011 2012 () 31 29 27 25 23 21 19 17 15 19.72 20.38 21.87 22.26 21.36 25.70 27.41 25.73 2005 2006 2007 2008 2009 2010 2011 2012 22 17 12 7 2-3 -8 (%) 87
New Garden 200416.9% 200827.68%201031.87% 1 20115000 1 40708 10 7079 2 16357 11 7059 3 11537 12 6751 4 11006 13 6612 5 10821 14 6027 6 10315 15 5740 7 10186 16 5268 8 8483 17 5254 9 7718 2011 950040 35 2012 2 6 60%620%2011 166000 88
%04 30 25 20 15 10 5 0 2007 2008 2009 2010 2011 1.79 1.95 2.1 2 1.8 0.61 0.59 0.61 0.59 0.6 0.56 0.59 0.73 0.78 1.02 4.11 4.28 5.12 5.35 5.41 14.59 15.45 16.54 17.65 18.69 A 20014 201211.453-4 2007 5 25.0 20.0 15.0 10.0 5.0 0.0 33849 35657 39141 44239 51718 62370 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 71822 79273 87410 96219 106253 114491 140000 120000 100000 80000 60000 40000 20000 89
New Garden 2008 6 7500 6500 5500 4500 3500 2500 2005 2006 2007 2008 2009 2010 2011 2012 1800 7 2011-2012 3500 20 15 3000 2500 10 5 0 % -5 2000-10 1-2 3 4 5 6 7 8 9 10 11 12 2011 2012 2011 2012 1 4 32% 90
2 B 8 25% 20% 15% 10% 5% 0% 2007 2008 2009 2010 2011 2012 20% 16%-17%2009 20126%2008 201210% 91
New Garden 9() 70000 60000 50000 40000 30000 20000 10000 0 2007 2008 2009 2010 2011 2012 70% 60% 50% 40% 30% 20% 10% 0% C 1 240 10() 12000 12% 10000 10% 8000 8% 6000 6% 4000 4% 2000 2% 0 2007 2008 2009 2010 2011 2012 0% D 70% 60% 92
11() 14000 12000 10000 8000 6000 4000 2000 0 2007 2008 2009 2010 2011 2012 20% 15% 10% 5% 0% -5% -10% -15% 1 2 3 70% 90% 93
New Garden 12 1993 1993 100/2012 1 2 3 4 94
98% 65%33% 9 8 20129.7 7 95
New Garden 1 2012 / / 2.9 3.34 2.1 3.06 1.3 1 1.1 0.8 0.7 0.7 0.1 0.5 1.5 0.3 9.7 9.7 1 198520082003 90002003 20092012 2.9 22002-2011 2002 1066 8379 2007 5102 5317 2003 1332 9318 2008 4040 4543 2004 1845 8665 2009 12583 2240 2005 2607 7172 2010 16478 1903 2006 3825 6330 2011 18240 1466. 96
12003-2011 20000 18000 16000 14000 12000 10000 8000 6000 4000 2000 0 8379 1066 2002 9318 1332 2003 8665 1845 2004 7172 6330 3825 2607 2005 2006 5317 4543 5102 4040 2007 2008 12583 2240 2009 16478 1903 2010 18240 1466 2011 20122.352011 32.35%201281.44% 797201128.02% 32003-2012 2003 261 1313 1071 8005 2004 683 576 1162 8089 2005 719 526 1843 6642 2006 466 437 3359 5893 2007 622 254 4480 5062 2008 686 346 3355 4198 2009 3442 64 9141 2176 2010 4727 114 13740 1789 2011 4466 359 17753 1107 2012 5361 131 23497 797 2 200810% 97
New Garden 550010% Argus5500 1/335/ 22003-2012 2004 808920031.05%2005 664217.89%2006 2007 2007506214.09% 2008 419817.08%2009 2011 1107 38.13%20121000797 28.02% 2012 79735444.39% 31940.06%119 14.93% 98
42012 201.80 168.24 25.42 26.58 201.48 153.50 19.99 797 1-546% 2012792329291 520131-5 1 20 15 0 2.5 37.5 2 14 18 6.2 2.2 40.4 3 32 10 6.7 0 48.7 4 14 31 0.0 1.1 46.1 5 31 23 3.3 1.4 58.7 1-5 111 97 16.2 7.2 231.4 138 205 81 6.8 430.8-27 -108-64.8 0.4-199.4-19.6% -52.7% -80.0% 5.9% -46.3% 40%10% 10%Argus 550018/ 99
New Garden 3 6 2003-2011 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 1071 1162 1843 3359 4480 3355 9141 13740 17753 23497 (%) - 8.50 58.60 82.24 33.38-25.11 172.48 50.31 29.21 32.35 2008 200920101.920112.4 20122.9500020122.9 2 201223496.5 11555.1549.18%; 4551.6419.37% 80%57% 21% 3 2.45% 1.20% 6.29% 7.59% 21.82% 1.53% 0.65% 0.01% 58.46% 100
2012 39.1% 201244.71% 2012325.14 55% 2012125% 42012 2012 3.77% 2.50% 2.25% 3.72% 8.20% 29.65% 9.42% 11.35% 17.73% 11.41% 4 2013 2013 60002013370020132000 1000 101
New Garden 6000 71.90/ 6/13 20131GDP2.4% 201240.4% 20133-4QE3 20131-51.38250022% 758055%24.5% 585042.4%357525.9%1035 7.5%7305.3%5103.7%2012 5.52.9 22013 5000 102
809915 1 2. ( >5). ( <2). ( 2-5) 3 4... 103
New Garden 1 12011 1 3605.38 71 2 2525.00 74 3 1401.94 26 4 648.96 17 5 628.85 10 6 597.96 13 7 525.00 7 8 501.77 10 9 479.64 5 40 79.54 2 12011 79.95%201211 1.75/ 200100 1 2007-2012 2000 1862 1600 1200 800 1050 900 1270 1616 1587 400 0 2007 2008 2009 2010 2011 2012 wind 20122000100070A 8005000/400 104
22007-2012 2007 2008 2009 2010 2011 2012 241.5 279 443 465 566.4 668 273 243 422 580 527.8 584 220.5 153 200 218 215.9 279.3 315 225 205 353 276.9 330.7 1050 900 1270 1616 1587 1862 22012 42 2: 2012 3 2012 31% 36% 18% 15% 47% 17% 6% 11% 15% 2% 2% 3 2012 2012 2011 1 177.16 181.60-4.44 2 114.50 78.00 36.50 3 101.33 126.50-25.17 4 93.70 94.02-0.32 5 77.30 40.60 36.70 6 74.10 71.10 3.00 7 73.88 56.71 17.17 8 72.90 49.10 23.80 9 72.90 67.45 5.45 10 69.00 69.07-0.07 105
New Garden 2 201227314%1862 16%42007-2012 2007 25%201213%2012-27.2% -78% 42007-2012 2500 30% 2000 25% 1500 20% 15% 1000 10% 500 5% 0 2007 2008 2009 2010 2011 2012 0% 20082011 2009-20102012 3 2006-201213522126 20122011 189812% 2012 45010.8 106
90%2065 3902012 423.7513.1149% 9.621.13 4 2010 2015 398.4 450 7.4 10.8 * 5.8 8.3 20% 80 90 44.5 65 **% 60 70 % 13 17 345.5 390 175 230 : *2004** G103G104G105G107 G204G205G108G212G213G214G219G317 G322G323G326 752000 3.5 SBS (2013-2030)4.7 203040 2013 2013 107
New Garden 1 1 2 320004 5 5 10/ / 1/ 3% 241-66 9:00-11:301:30-3:00 15 70A 4% BU 2 1 2 108
3 4241-66 CMEWTIWTI 956612 510/4500-5000/ 54% 2%3000 3 110 11 45 5 109
New Garden 52012 250 200 150 100 50 0 1 2 3 4 5 6 7 8 9 10 11 2 PM2.5 3 6 6,000 5,500 WTI 5,000 4,500 4,000 3,500 3,000 2,500 2,000 2010-01-15 2010-04-16 2010-07-02 2010-09-17 2010-12-10 2011-03-04 2011-05-13 2011-07-22 2011-12-23 2012-03-23 2012-06-01 2012-08-17 2012-11-02 2013-01-11 2013-04-05 2013-06-21 EIA wind 110
/ / / 201151-20135312013612013715 500.35%% 1 2013 P95 201353120136 111
Tracking Strategy 1 1: 1000000 900000 800000 700000 600000 500000 400000 300 3300.0 3200.0 3100.0 3000.0 2900.0 2800.0 2700.0 2600.0 2500.0 2400.0 2300.0 2200.0 2100.0 2000.0 1900.0 2011-05-01 2011-09-01 2012-01-01 2012-05-01 2012-09-01 2013-01-01 2013-05-01 2013-09-01 & 1 2011 2012 2013 475,299 187,156 212,115 76,027 1,076,154 352,604 534,906 188,644-600,855-165,448-322,791-112,617 26,100 8,700 12,300 5,100 986 1,265 884 809 3,899 3,833 4,179 3,369-2,917-2,954-2,882-2,964 / 1.34 1.30 1.45 1.14 482 148 240 94 0.89 0.89 0.99 0.78 276 92 128 56 206 56 112 38 57% 62% 53% 60% 34,038 26,883 34,038 23,660-5,566-5,566-3,076-3,172 112
2011 2012 2013 8 8 6 7 37,713 37,713 36,188 28,924 8 8 6 4 24,502 24,502 15,537 12,209 37,246 27,831 25,000 37,246 % 4.95 4.95 3 4 38 26 31 38 51 26 32 51 & 2: & 2 20136 16,090 2013715 3,005 18,095 & 113
Tracking Strategy 2 3: 900000 800000 700000 600000 500000 2011-05-01 2011-09-01 2012-01-01 2012-05-01 2012-09-01 2013-01-01 2013-05-01 2013-09-01 300 3300.0 3200.0 3100.0 3000.0 2900.0 2800.0 2700.0 2600.0 2500.0 2400.0 2300.0 2200.0 2100.0 2000.0 1900.0 & 3 2011 2012 2013 381,612 109,137 200,595 71,879 830,930 243,523 396,225 191,181-449,317-134,386-195,629-119,302 19,200 6,300 7,800 4,800 1,069 1,020 1,286 765 4,492 4,349 4,953 3,902-2,612-2,635-2,574-2,651 / 1.72 1.65 1.92 1.47 357 107 156 94 0.68 0.64 0.64 0.76 185 56 80 49 172 51 76 45 52% 52% 51% 52% 33,251 24,791 33,251 21,606-3,139-2,766-3,139-2,759 7 7 6 6 40,523 40,523 35,178 27,082 6 4 6 6 114
2011 2012 2013 16,545 11,054 16,484 16,545 26,659 26,659 21,674 22,307 % 4.70 4.70 2.95 2.68 33 33 24 16 41 41 41 20 & 4: 70000 60000 50000 40000 30000 20000 10000 0-10000 -20000 1 1 M A Y 1 1 J U N 1 1 J U L 1 1 A U G 1 1 S E P 1 1 O C T 1 1 N O V 1 1 D E C 1 2 J A N 1 2 F E B 1 2 M A R 1 2 A P R 1 2 M A Y 1 2 J U N 1 2 J U L 1 2 A U G 1 2 S E P 1 2 O C T 1 2 N O V 1 2 D E C 1 3 J A N 1 3 F E B 1 3 M A R 1 3 A P R 1 3 M A Y 1 3 J U N 1 3 J U L 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0 & 4 20136 27,825 2013715-1,629 26,196 & 20136128 / 115
Tracking Strategy 004Alpha 2012109Alpha 64 1 9 windalpha348 124 004Alpha Alpha N300 n50 Alpha 175%25% 2 300 3=/ 40.30%0.12%0.42% 116
1004Alpha 145225719 37.32%7.25-5.15% 1004 2012-12-7 2013-7-19 23.01% 37.32% -1.59% 23.26% Alpha 30.69% Alpha 30.98% Alpha -2.27% 145 225 50 7.25-5.15% wind & 1004Alpha 1 117
Tracking Strategy 1004Alpha 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% -10.00% 2012-12- 7 2012-12-14 2012-12-21 2012-12-28 2013-1- 4 2013-1-11 2013-1-18 2013-1-25 2013-2- 1 2013-2- 8 2013-2-15 2013-2-22 2013-3- 1 2013-3- 8 2013-3-15 2013-3-22 2013-3-29 2013-4-5 2013-4-12 2013-4-19 2013-4-26 2013-5- 3 2013-5-10 2013-5-17 2013-5-24 2013-5-31 2013-6- 7 2013-6-14 2013-6-21 2013-6-28 2013-7- 5 2013-7- 12 2013-7- 19 Alpha004 300 wind & 2wind004Alpha 3003201212 857 Alpha 2004Alpha300 (%) 48 38 28 18 8 0 (004Alpha) ()() (%) 300 (%) 310,000,000.00 290,000,000.00 270,000,000.00 250,000,000.00 230,000,000.00 () -12 12-12-06 13-01-03 13-01-30 13-02-27 13-03-27 13-04-24 13-05-22 13-06-19 210,000,000.00 13-07-22 wind & 118
3004Alpha 9 (004Alpha) 7 (%) 5 3 1 0-1 -3 01 02 03 04 05 06 07 08 09 10 11 12 wind & 004Alpha 2004Alpha50 43/5086.00% 004Alpha 2004Alpha 20121207 2012-12-10 9:25 000655.SZ 0 454,600.00 454,600.00-4,345,976.00 20121207 2012-12-10 9:25 600828.SH 0 1,027,500.00 1,027,500.00-4,346,325.00 20121207 2012-12-10 9:25 002074.SZ 0 832,600.00 832,600.00-4,346,172.00 20121207 2012-12-10 9:25 000850.SZ 0 990,000.00 990,000.00-4,346,100.00 20121207 2012-12-10 9:25 000937.SZ 0 391,200.00 391,200.00-4,346,232.00 20121207 2012-12-10 9:25 002245.SZ 0 858,900.00 858,900.00-4,346,034.00 20121207 2012-12-10 9:25 002651.SZ 0 364,600.00 364,600.00-4,346,032.00 20121207 2012-12-10 9:25 002109.SZ 0 681,200.00 681,200.00-4,346,056.00 20121207 2012-12-10 9:25 300017.SZ 0 289,100.00 289,100.00-4,345,173.00 20121207 2012-12-10 9:25 000430.SZ 0 571,800.00 571,800.00-4,345,680.00 20121207 2012-12-10 9:25 002681.SZ 0 509,500.00 509,500.00-4,346,035.00 20121207 2012-12-10 9:25 600508.SH 0 303,300.00 303,300.00-4,346,289.00 119
Tracking Strategy 20121207 2012-12-10 9:25 600201.SH 0 350,500.00 350,500.00-4,346,200.00 20121207 2012-12-10 9:25 002219.SZ 0 360,600.00 360,600.00-4,345,230.00 20121207 2012-12-10 9:25 300088.SZ 0 330,500.00 330,500.00-4,346,075.00 20121207 2012-12-10 9:25 000987.SZ 0 426,500.00 426,500.00-4,346,035.00 20121207 2012-12-10 9:25 600348.SH 0 355,300.00 355,300.00-4,345,319.00 20121207 2012-12-10 9:25 002581.SZ 0 290,900.00 290,900.00-4,346,046.00 20121207 2012-12-10 9:25 600258.SH 0 426,500.00 426,500.00-4,346,035.00 20121207 2012-12-10 9:25 300014.SZ 0 450,400.00 450,400.00-4,346,360.00 20121207 2012-12-10 9:25 600160.SH 0 495,000.00 495,000.00-4,346,100.00 20121207 2012-12-10 9:25 000887.SZ 0 518,600.00 518,600.00-4,345,868.00 20121207 2012-12-10 9:25 002470.SZ 0 334,300.00 334,300.00-4,345,900.00 20121207 2012-12-10 9:25 002215.SZ 0 662,500.00 662,500.00-4,346,000.00 20121207 2012-12-10 9:25 603077.SH 0 347,700.00 347,700.00-4,346,250.00 20121207 2012-12-10 9:25 002667.SZ 0 243,900.00 243,900.00-4,346,298.00 20121207 2012-12-10 9:25 600723.SH 0 625,300.00 625,300.00-4,345,835.00 20121207 2012-12-10 9:25 002678.SZ 0 441,200.00 441,200.00-4,345,820.00 20121207 2012-12-10 9:25 600527.SH 0 1,137,800.00 1,137,800.00-4,346,396.00 20121207 2012-12-10 9:25 300322.SZ 0 250,500.00 250,500.00-4,346,175.00 20121207 2012-12-10 9:25 600516.SH 0 539,200.00 539,200.00-4,345,952.00 20121207 2012-12-10 9:25 600640.SH 0 660,500.00 660,500.00-4,346,090.00 20121207 2012-12-10 9:25 600971.SH 0 377,900.00 377,900.00-4,345,850.00 20121207 2012-12-10 9:25 601101.SH 0 397,200.00 397,200.00-4,345,368.00 20121207 2012-12-10 9:25 300295.SZ 0 110,100.00 110,100.00-4,343,445.00 20121207 2012-12-10 9:25 300339.SZ 0 199,200.00 199,200.00-4,344,552.00 20121207 2012-12-10 9:25 600785.SH 0 333,800.00 333,800.00-4,346,076.00 20121207 2012-12-10 9:25 600090.SH 0 692,100.00 692,100.00-4,346,388.00 20121207 2012-12-10 9:25 600161.SH 0 372,400.00 372,400.00-4,345,908.00 20121207 2012-12-10 9:25 300326.SZ 0 108,900.00 108,900.00-4,342,932.00 20121207 2012-12-10 9:25 300314.SZ 0 177,800.00 177,800.00-4,345,432.00 20121207 2012-12-10 9:25 600252.SH 0 510,100.00 510,100.00-4,346,052.00 20121207 2012-12-10 9:25 601717.SH 0 462,300.00 462,300.00-4,345,620.00 20121207 2012-12-10 9:25 300251.SZ 0 212,800.00 212,800.00-4,345,376.00 120
20121207 2012-12-10 9:25 000780.SZ 0 499,500.00 499,500.00-4,345,650.00 20121207 2012-12-10 9:25 600139.SH 0 506,500.00 506,500.00-4,345,770.00 20121207 2012-12-10 9:25 000541.SZ 0 740,400.00 740,400.00-4,346,148.00 20121207 2012-12-10 9:25 600637.SH 0 296,600.00 296,600.00-4,345,190.00 20121207 2012-12-10 9:25 603008.SH 0 518,000.00 518,000.00-4,346,020.00 20121207 2012-12-10 9:25 601678.SH 0 488,300.00 488,300.00-4,345,870.00 20130319 600516.SH 539,200.00 647,040.00 107,840.00 0 20130319 600516.SH 539,200.00 539,200.00 0 153,672.00 20130412 300251.SZ 212,800.00 446,880.00 234,080.00 0 20130412 300251.SZ 212,800.00 212,800.00 0 80,864.00 20130417 603077.SH 347,700.00 347,700.00 0 132,126.00 20130417 601678.SH 488,300.00 488,300.00 0 69,582.75 20130418 300014.SZ 450,400.00 450,400.00 0 42,788.00 20130426 002245.SZ 858,900.00 858,900.00 0 28,558.43 20130508 600828.SH 1,027,500.00 1,027,500.00 0 29,283.75 20130513 300326.SZ 108,900.00 163,350.00 54,450.00 0 20130514 002681.SZ 509,500.00 509,500.00 0 96,805.00 20130516 300339.SZ 199,200.00 398,400.00 199,200.00 0 20130516 300339.SZ 199,200.00 199,200.00 0 37,848.00 20130516 300088.SZ 330,500.00 495,750.00 165,250.00 0 20130516 300088.SZ 330,500.00 330,500.00 0 47,096.25 20130520 600160.SH 495,000.00 495,000.00 0 70,537.50 20130521 300295.SZ 110,100.00 110,100.00 0 104,595.00 20130522 600139.SH 506,500.00 506,500.00 0 192,470.00 20130522 002581.SZ 290,900.00 378,170.00 87,270.00 0 20130522 002581.SZ 290,900.00 290,900.00 0 138,177.50 20130522 300314.SZ 177,800.00 355,600.00 177,800.00 0 20130522 300314.SZ 177,800.00 177,800.00 0 59,118.50 20130524 002109.SZ 681,200.00 681,200.00 0 64,714.00 20130529 002215.SZ 662,500.00 993,750.00 331,250.00 0 20130529 002215.SZ 662,500.00 662,500.00 0 62,937.50 20130530 002470.SZ 334,300.00 334,300.00 0 47,637.75 121
Tracking Strategy 20130530 002667.SZ 243,900.00 243,900.00 0 30,121.65 20130531 300017.SZ 289,100.00 289,100.00 0 54,583.24 20130604 600527.SH 1,137,800.00 1,137,800.00 0 97,281.90 20130606 000780.SZ 499,500.00 499,500.00 0 23,726.25 20130606 000987.SZ 426,500.00 426,500.00 0 202,587.50 20130607 002074.SZ 832,600.00 832,600.00 0 15,819.40 20130614 603008.SH 518,000.00 777,000.00 259,000.00 0 20130614 603008.SH 518,000.00 518,000.00 0 88,578.00 20130617 600258.SH 426,500.00 426,500.00 0 101,293.75 20130618 600971.SH 377,900.00 377,900.00 0 93,341.30 20130619 000541.SZ 740,400.00 740,400.00 0 218,047.80 20130620 600508.SH 303,300.00 303,300.00 0 115,254.00 20130620 000850.SZ 990,000.00 990,000.00 0 47,025.00 20130625 300322.SZ 250,500.00 300,600.00 50,100.00 0 20130625 300322.SZ 250,500.00 250,500.00 0 23,797.50 20130626 601717.SH 462,300.00 462,300.00 0 131,755.50 20130627 601101.SH 397,200.00 397,200.00 0 83,014.80 20130628 000887.SZ 518,600.00 933,480.00 414,880.00 0 20130628 000887.SZ 518,600.00 518,600.00 0 58,083.20 20130701 600252.SH 510,100.00 510,100.00 0 96,919.00 20130703 600201.SH 350,500.00 350,500.00 0 53,276.00 20130704 002678.SZ 441,200.00 882,400.00 441,200.00 0 20130704 002678.SZ 441,200.00 441,200.00 0 50,296.80 20130705 600348.SH 355,300.00 355,300.00 0 96,535.01 20130708 000937.SZ 391,200.00 391,200.00 0 92,910.00 20130710 002651.SZ 364,600.00 364,600.00 0 422,571.40 20130715 600723.SH 625,300.00 625,300.00 0 148,508.75 20130715 600785.SH 333,800.00 333,800.00 0 95,133.00 wind & 122
1COMEX 2000 1800 1600 1400 1200 1000 800 600 400 200 0 COMEX COMEX 140 120 100 80 60 40 20 0 wind 1990 10 225 19901995 0.1231995-0.677 123
Overseas Market 1 20115000 1990-1995 1995 0.123-0.677 wind GDPGDP1/4 20 100 050610120 06,102005 0910 2COMEX COMEX 1 0.8 0.6 0.4 0.2 0-0.2-0.4-0.6-0.8-1 -1.2 1990-01-02 1991-01-02 1992-01-02 1993-01-02 1994-01-02 1995-01-02 1996-01-02 1997-01-02 1998-01-02 1999-01-02 2000-01-02 2001-01-02 2002-01-02 2003-01-02 2004-01-02 2005-01-02 2006-01-02 2007-01-02 2008-01-02 2009-01-02 2010-01-02 2011-01-02 2012-01-02 wind 10-0.5 124
2 COMEX 2005.4-2006.3-0.93+0.51 +7% +28% 2006.3-2006.10 +0.51-0.86-5% +9% 2009.1-2009.7-0.83-0.05-4% +11% 2009.7-2009.12-0.05-0.74-2% +18% 2010.2-2010.8-0.72+0.73 +2% +13% 2010.8-2011.6 +0.73-0.89-9% +21 2011.7-2012.3-0.89+0.29 +7% +15% 2012.3-2012.8 +0.29-0.81 +4% -6% wind 125
Overseas Market 126