2006
2006 2006 8 25 2006 1 1 2006 6 30 1 2 : 020006 3 4 2004 11 10 5 345,532,353.60 6 7 8 1 2 CPPI Constant Proportion Portfolio Insurance OBPI Option-Based Portfolio Insurance 1
2006 3 3 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 1 1 2006 6 30 1 35,454,615.57 2 0.0890 3 0.0760 4 387,945,889.69 5 1.123 6 13.34% 2
2006 1 - - 2.00% 0.52% 0.21% 0 1.79% 0.52% 9.44% 0.44% 0.65% 0 8.79% 0.44% 13.34% 0.34% 1.28% 0 12.06% 0.34% 14.78% 0.24% 2.59% 0 12.19% 0.24% 17.31% 0.20% 4.24% 0 13.07% 0.20% 2 20.00% 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% 2004-11-10 2005-2-10 2005-5-10 2005-8-10 2005-11-10 2006-2-10 2006-5-10 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 2006 20% 1.123 13.34% 1.28% A 5
2006 2004 11 10 3 < > 1 1 2 3 2 2006 1 2 3 2006 8 18 6
2006 ( ) 1 2006 6 30 2006 6 30 2005 12 31 23,786,415.91 9,383,591.03 785,889.87 91,425.08 388,549.12 237,492.52 948,304.59 1,535,622.39 5,190,906.77 4,392,174.43 148,744.00-73,927,224.84 43,876,803.20 59,307,379.02 42,862,476.49 284,955,175.48 402,624,066.08 279,694,529.31 399,828,709.57 - - - - - - - - 390,131,210.58 462,141,174.73 : - 8,309,547.97 781,264.76 351,213.60 158,571.83 95,012.60 382,418.83 476,175.81 63,736.48 79,362.66 108,412.27 39,512.84 577,361.20 343,661.20 113,555.52 257,000.00 2,185,320.89 9,951,486.68 : 345,532,353.60 447,725,683.98 16,168,960.02 2,787,917.56 26,244,576.07 1,676,086.51 387,945,889.69 452,189,688.05 390,131,210.58 462,141,174.73 7
2006 2 2006 1-6 2006 1-6 2005 1-6 38,650,873.14 10,773,694.10 1 23,890,108.63-138,361.71 2 6,434,237.55 2,495,415.15 3 1,890,135.19-4 4,990,297.09 6,729,659.47 5 133,248.62 657,626.90 6 1,023,616.17 307,232.37 7-180,332.67 8 289,229.89 541,789.25 3,196,257.57 4,307,878.91 1 2,497,513.70 3,512,301.60 2 416,252.32 585,383.62 3 153,644.14 49,116.00 4 128,847.41 161,077.69 63,966.95 99,178.95 49,588.57 49,588.57 35,454,615.57 6,465,815.19 16,070,808.77 4,755,414.86 51,525,424.34 11,221,230.05 2006 1-6 2006 1-6 2005 1-6 35,454,615.57 6,465,815.19 : 1,676,086.51 1,284,576.93 : -2,904,818.41-618,783.67 34,225,883.67 7,131,608.45 :7,981,307.60-26,244,576.07 7,131,608.45 8
2006 3 2006 1-6 2006 1-6 2005 1-6 452,189,688.05 657,941,955.67 : 35,454,615.57 6,465,815.19 16,070,808.77 4,755,414.86 51,525,424.34 11,221,230.05 : 5,711,657.67 654,040.00-113,499,572.77-120,332,085.83-107,787,915.10-119,678,045.83 : -7,981,307.60-387,945,889.69 549,485,139.89 1 2 3 (1) [2006]4 20% 2006 1 13 9
2006 (2) 2005 1-6 A. a 1.2% H=E 1.2%/ H E b c 2,497,513.70 2,115,094.87 382,418.83 2005 1-6 3,512,301.60 B. a 0.2% H=E 0.2%/ H E b c 416,252.32 352,515.84 63,736.48 2005 1-6 585,383.62 C. 2005 1-6 D. : 2006 6 30 23,786,415.91 (2005 6 30 50,108,984.91 ) 125,908.09 (2005 1-6 620,484.22 ) E. 2005 1-6 4 (1) 2006 6 30 A 10
2006 ( ) ( ) ( ) ( ) ( ) 600383 G 06/03/27 8.57 06/7/11 9.43 250,000 1,856,673.45 2,142,500.00 000042 A 06/06/19 10.50 06/7/6 11.40 150,000 1,591,314.94 1,575,000.00 000895 06/06/01 31.17 - - 270,000 4,280,171.06 8,415,900.00 7,728,159.45 12,133,400.00 B ( ) ( ) ( ) 1 06/06/02 06/09/19 116,373 861,160.20 2,038,854.96 2 G 06/05/26 06/07/05 1,715,600 10,156,352.00 10,533,784.00 11,017,512.20 12,572,638.96 A 2006 6 30 B 2 2006 6 30 A 2006 6 30 B G 2006 7 5 (2) 2006 6 30 2005 6 30 ( ) 73,927,224.84 18.95% 284,955,175.48 73.04% - - 24,572,305.78 6.30% 6,676,504.48 1.71% 390,131,210.58 100.00% 11
2006 ( ) A 1,727,500.00 0.45% B 937,500.00 0.24% C 21,406,857.70 5.52% C0 8,997,500.00 2.32% C1 946,500.00 0.24% C5 910,800.00 0.23% C6 2,036,000.00 0.52% C7 3,273,000.00 0.84% C8 5,243,057.70 1.35% D 10,533,784.00 2.72% E - - F 6,312,000.00 1.63% G 5,546,600.00 1.43% H - - I 17,333,228.18 4.47% J 3,717,500.00 0.96% K 6,412,254.96 1.65% L - - M - - 73,927,224.84 19.06% 1 600036 G 2,131,158 16,431,228.18 4.24% 2 600642 G 1,715,600 10,533,784.00 2.72% 3 000895 270,000 8,415,900.00 2.17% 4 600050 G 1,500,000 3,630,000.00 0.94% 5 600018 G 200,000 3,430,000.00 0.88% 6 000423 303,810 3,393,557.70 0.87% 7 600009 G 200,000 2,882,000.00 0.74% 8 000978 G 300,000 2,739,000.00 0.71% 9 600383 G 250,000 2,142,500.00 0.55% 10 002051 116,373 2,038,854.96 0.53% 12
2006 1 20 1 600036 G 14,124,887.86 3.12% 2 600642 G 10,156,352.00 2.25% 3 600009 G 9,506,064.02 2.10% 4 600050 G 8,073,562.00 1.79% 5 600296 5,919,842.86 1.31% 6 600037 G 5,883,316.01 1.30% 7 000895 5,616,582.31 1.24% 8 002025 4,534,265.25 1.00% 9 000951 G 4,524,220.15 1.00% 10 600383 G 4,417,768.80 0.98% 11 600031 G 4,395,029.08 0.97% 12 600117 G 4,005,567.40 0.89% 13 600018 G 3,344,919.36 0.74% 14 000423 3,235,403.73 0.72% 15 600594 G 3,016,009.20 0.67% 16 600585 G 3,003,244.21 0.66% 17 000866 2,983,635.34 0.66% 18 600832 G 2,798,577.93 0.62% 19 600628 G 2,778,625.22 0.61% 20 600630 G 2,772,908.95 0.61% 2 20 1 000618 19,739,809.23 4.37% 2 000866 13,933,434.37 3.08% 3 600009 G 9,468,744.09 2.09% 4 600296 6,710,711.58 1.48% 5 600037 G 6,481,670.52 1.43% 6 600031 G 5,981,545.41 1.32% 7 600050 G 5,728,555.09 1.27% 8 600832 G 5,643,870.46 1.25% 9 002025 4,743,405.58 1.05% 10 000951 G 4,155,552.44 0.92% 11 600764 G 4,042,947.63 0.89% 12 600628 G 3,715,401.15 0.82% 13 600117 G 3,522,156.87 0.78% 14 600585 G 3,471,652.39 0.77% 15 600879 G 3,238,525.83 0.72% 16 600015 G 3,113,626.47 0.69% 13
2006 17 600630 G 3,070,904.80 0.68% 18 600028 2,977,827.91 0.66% 19 600177 G 2,966,359.51 0.66% 20 000715 2,944,603.01 0.65% 3 156,344,333.02 163,748,524.78 ( ) 1 87,442,069.08 22.54% 2 52,413,000.00 13.51% 3 57,764,405.48 14.89% 4 35,145,700.92 9.06% 5 52,190,000.00 13.45% 284,955,175.48 73.45% ( ) 1 04 15 52,413,000.00 13.51% 2 04 94 52,190,000.00 13.45% 3 20 (10) 36,838,420.80 9.50% 4 02 (14) 32,684,998.50 8.43% 5 06 CP01 29,245,158.90 7.54% 1 2 3 (1) (2) ( ) ( ) 580997 CMP1 2006/02/27 671,171 0.00 580996 JTP1 2006/03/02 449,963 0.00 580996 JTP1 2006/03/31 500,000 905,032.26 580992 QCP1 2006/05/16 350,000 0.00 580006 QCB1 2006/05/16 50,000 0.00 14
2006 2,021,134 905,032.26 4 ( ) 388,549.12 5,190,906.77 148,744.00 948,304.59 6,676,504.48 5 ( ) 1 126301 2 13,327,649.92 3.44% 2 100795 10,429,307.50 2.69% 3 100087 4,591,731.60 1.18% 4 100726 4,333,350.00 1.12% 5 110001 2,381,200.00 0.61% 6 125936 82,461.90 0.02% 6, 7 10,931 31,610.32 7,069,979.88 2.05% 338,462,373.72 97.95% 345,532,353.60 100.00% 15
2006 803,489,881.73 447,725,683.98 5,380,834.67 107,574,165.05 345,532,353.60 2006 4 4 2006 3 31 10 0.20 1 192,230,577.92 73.12% 300,854,795.51 91.71% 1 70,659,477.61 26.88% 27,203,642.32 8.29% 2 262,890,055.53 100.00% 328,058,437.83 100.00% 286,400,000.00 100.00% 152,026.74 73.48% - - 54,872.77 26.52% 286,400,000.00 100.00% 206,899.51 100.00% 1. 2006 1 3 16
2006 [2006]4 20 2. 2006 3 20 3. 2006 4 4 2006 3 31 10 0.20 4. 2006 4 24 5. 2006 5 11 6. 2006 5 26 7. 2006 6 14 8. 2006 6 23 2006 8 29 17