华泰柏瑞量化增强混合:2018年年度报告
2019-03-27
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2016 3.4700 666,091,043.93 111,097,750.22 777,188,794.15
T 6.6200 2,194,451,577.91 402,300,064.49 2,596,751,642.40
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N ^t^g+ 376,402,992.08 1,195,069,210.61 1,571,472,202.69
g,g R)m -811,532,067.97 -553,140,503.20 -1,364,672,571.17
g,g Wú‘N¤
184,326,184.74 153,582,419.69 337,908,604.43
N§ vSR¨ep
QvN- Wú‘3-> 204,201,069.44 981,958,237.93 1,186,159,307.37
Wú‘Nk> -19,874,884.70 -828,375,818.24 -848,250,702.94
g,g ]òR ‘M)m -274,981,482.47 - -274,981,482.47
g,gg+ -525,784,373.62 795,511,127.10 269,726,753.48
7.4.7.11 [Xk>R)`oe6Qe
SUOM Nl ^ QC
g,g N ^t^Skg
yv
2018^t1g 1eó018^t12g 31e 2017^t1g 1eó017^t12g 31e
m;g [Xk>R)`oe6Qe 1,865,330.61 2,773,457.32
[g [Xk>R)`oe6Qe - -
QvN[Xk>R)`oe6Qe - -
~{— N‘)`oe6Qe 1,035,281.50 570,337.04
QvN 18,732.72 22,681.91
T 2,919,344.83 3,366,476.27
7.4.7.12 hbD6v
7.4.7.12.1 hbD6v NpSVh]N÷e6Qe
SUOM Nl ^ QC
g,g N ^t^Skg
yv 2018^t1g 1eó018 2017^t1g 1eó017
^t12g 31e ^t12g 31e
SVQúhb N¤`; 16,252,125,559.05 14,952,257,353.70
Q SVQúhb g,`; 17,058,987,140.19 14,224,688,658.85
NpSVh]N÷e6Qe -806,861,581.14 727,568,694.85
{, 31 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
7.4.7.13 P:R8bD6v
7.4.7.13.1 P:R8bD6vyvgb
SUOM Nl ^ QC
g,g N ^t^Skg
yv 2018^t1g 1eó018 2017^t1g 1eó017
^t12g 31e ^t12g 31e
P:R8bD6v NpSVP:R8 0 P:
649,400.00 343,974.87
lP:R8R0g QQN ]N÷e6Qe
P:R8bD6v N]N÷e6Qe - -
P:R8bD6v u3-N÷e6Qe - -
T 649,400.00 343,974.87
7.4.7.13.2 P:R8bD6v NpSVP:R8]N÷e6Qe
SUOM Nl ^ QC
g,g N ^t^Skg
yv 2018^t1g 1eó018 2017^t1g 1eó017
^t12g 31e ^t12g 31e
SVQúP:R8 0 P:lP:R8R0g QQ
206,846,000.00 78,792,825.77
N b N¤`;
Q SVQúP:R8 0 P:lP:R8R0
199,350,600.00 76,835,014.00
g QQN b g,`;
Q ^”e6R)`o`; 6,846,000.00 1,613,836.90
NpSVP:R8]N÷e6Qe 649,400.00 343,974.87
7.4.7.13.3 P:R8bD6v N]N÷e6Qe
lè g,Wú‘,bTJg Q…eàP:R8bD6v--N]N÷e6Qe0
7.4.7.13.4 P:R8bD6v u3-N÷e6Qe
lè g,Wú‘,bTJg Q…eàP:R8bD6v--u3-N÷e6Qe0
7.4.7.13.5 D§e/c R8bD6v
lè g,Wú‘,bTJgg+ SN ^t^g+g*c g D§e/c R80
7.4.7.14 5‘^bD6v
lè g,Wú‘,bTJgg+ SN ^t^g+g*c g 5‘^0
7.4.7.15 Mu ]Qwe6v
7.4.7.15.1 Mu ]Qwe6v NpSVgC]N÷e6Qe
lè g,Wú‘,bTJg SN ^t^g+g*c ggC 0
{, 32 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
7.4.7.15.2 Mu ]Qwe6v QvNbD6v
SUOM Nl ^ QC
g,g e6v‘ N ^t^Skg e6v‘
yv
2018^t1g 1eó018^t12g 31e 2017^t1g 1eó017^t12g 31e
VP:g 'D6v - -
g 'bD6v -6,973,238.45 8,520.00
7.4.7.16 )e6v
SUOM Nl ^ QC
g,g
N ^t^Skg
yv 2018^t1g 1eó018^t12
2017^t1g 1eó017^t12g 31e
g 31e
hbD§ v)e6v 106,408,123.91 88,466,603.72
Wú‘D§ v)e6v - -
T 106,408,123.91 88,466,603.72
7.4.7.17 QlQAN÷PbK~í9 40,659.26 53,269.25
”L&7g R9 18,000.00 18,000.00
T 488,659.26 489,269.25
7.4.7.21 R èTJ
g,Wú‘Q…è~~g0 {t ‰B0 Q…èTJR6^N:Ocnxn[~%R è N~%R è:Wúx@
xn[bTJR èvb—2 èá`o0 ~%R è/c g,Wú‘… ená R gaNv~b è (1) ~
b è W(e^8m;R¨N-N§ e6Qe0 Su 9( (2)g,Wú‘Wú‘t N [g N÷~b è
R v~%b g NQ[T Qv‘MnD N÷QvN ~é (3)g,Wú‘ S_—~b è v"r
Q0 ~%b gTs°‘A‘Ig QsO Oá`o0 YgN$N*b Y N*~%R èwg vOzv0
7.4.10 g,bTJg SN ^t^Skg vQsTN¤
-
7.4.10.1 sTN¤ SUQCLvN¤
7.4.10.1.1 hN¤
‘SUOM Nl ^ QC
g,g N ^t^Skg
QsTT y
2018^t1g 1eó018^t12g 31e 2017^t1g 1eó017^t12g 31e
S`_Sg h S`_Sg h
b N¤‘ b N¤`;v b N¤‘ b N¤`;vk
kO O
SNlR8 9,952,973,793.83 30.36% 5,863,623,402.21 19.03%
7.4.10.1.2 gCN¤
lè g,Wú‘,bTJg Q…g*sTN¤ SUQCLgCN¤ 0
7.4.10.1.3 ^”e/NQsTvOc‘
‘SUOM Nl ^ QC
g,g
QsTT y
2018^t1g 1eó018^t12g 31e
_Sg S`_Sg Oc‘ S`gg+ ^”NOc
gg+ ^”NOc‘Y
Oc‘ `;‘kO ‘;vkO
SNlR8 9,159,869.70 30.27% 2,109,755.19 36.46%
N ^t^Skg
QsTT y
2017^t1g 1eó017^t12g 31e
_Sg S`_Sg Oc‘ S`gg+ ^”NOc
gg+ ^”NOc‘Y
Oc‘ `;‘kO ‘;vkO
SNlR8 5,398,170.90 19.01% 1,795,585.82 21.30%
lè 1. N c‘ ^ W:Oc‘{— Nbc–d1N-VR8v{°~{— –P#QlSe6Sv{9
~bK9Q y:0 gCN¤ N Oc‘
{, 35 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
2. |{Oc‘Ovg R V bìOc‘6SeN:g,Wú‘OvR8bD zvb gT^ W:Oá`og
R{I0
7.4.10.2 QsTb‘l
7.4.10.2.1 Wú‘t 9
SUOM Nl ^ QC
g,g
N ^t^Skg
yv 2018^t1g 1eó018^t12g 31
2017^t1g 1eó017^t12g 31e
e
_Sg Su vWú‘”e/N
52,925,639.76 52,323,469.62
v{t 9
QvN- e/N U.g:gv
3,094,653.10 3,427,704.44
[b7~b¤9
lè e/NWú‘t NSNlgt^Wú‘t g –PlSv{t Nb‘l RMN eWú‘D§QP<1%v^t9
c e}/ógg ^ c g e/N0 Qv{—Ql_ N:
e{t Nb‘l RMN eWú‘D§QP<×1% / _S^tY)ep0
7.4.10.2.2 Wú‘X{9
SUOM Nl ^ QC
g,g
N ^t^Skg
yv 2018^t1g 1eó018^t12g 31
2017^t1g 1eó017^t12g 31e
e
_Sg Su vWú‘”e/N
13,231,409.91 13,080,867.32
vbX{9
lè e/NWú‘X{NN-V”LvbX{9 RMN eWú‘D§QP<0.25%v^t9c e}/ó
kgg ^ c g e/N0 Qv{—Ql_ N:
ebX{9 RMN eWú‘D§QP<×0.25% / _S^tY)ep0
7.4.10.2.3 U.g R9
lè g,g TN ^tSkg WGeàepcn0
7.4.10.3 N QsTL”LT N ^ W:vP:R8(T+V-N¤
lè g,Wú‘,bTJg Q…g*N QsTL”LP:R8^ W:P:R8(T+V-N¤ 0
7.4.10.4 T QsTbD,Wú‘`Q
7.4.10.4.1 bTJg Q…Wú‘t N(Vúg D‘D,Wú‘`Q
NSUOM N
g,g
N ^t^Skg
yv 2018^t1g 1eó018^t12
2017^t1g 1eó017^t12g 31e
g 31e
Wú‘T u eHe 2013^t8
0.00 0.00
g 2e c g vWú‘
{, 36 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
g R c g vWú‘ 0.00 0.00
g u3-NpQe`;N 16,038,492.38 0.00
g VàbR SR¨N 0.00 0.00
Q g N/SVQú`;N 0.00 0.00
gg+ c g vWú‘ 16,038,492.38 0.00
gg+ c g vWú‘
0.4213% 0.0000%
S`Wú‘;NkO
lè 1. g u3-NpQe`;NT+lbQeN g N/SVQú`;NT+lbQúN
2. Wú‘t NbD,Wú‘u(v¤(u3)-N9c qgg,Wú‘Rf Nfv‰bgL0
7.4.10.4.2 bTJgg+ –dú‘t NNKY vQvNQsTbD,Wú‘`Q
lè g,bTJg SN ^t^ –dú‘t NNKY vQvNQsTg*bD,Wú‘
7.4.10.5 u1QsTO{v”L[Xk>OYS_Sg N§ vR)`oe6Qe
SUOM Nl ^ QC
QsT g,g N ^t^Skg
T y 2018^t1g 1eó018^t12g 31e 2017^t1g 1eó017^t12g 31e
gg+ OY _Sg R)`oe6Qe gg+ OY _Sg R)`oe6Qe
N-V”L 637,488,609.12 1,865,330.61 166,301,754.21 2,773,457.32
lè g,Wú‘”L[Xk>u1Wú‘X{NN-V”LO{ c ”LT N R)s`o0
7.4.10.6 g,Wú‘(b g Q…SN QsTb R8v`Q
lè g,Wú‘,bTJg Q…g*SN QsTb R80
7.4.10.7 QvNQsT¤ Nyvf
g,Wú‘,bTJg Q…eàQvNQsT¤ Ny0
7.4.11 R)mR ‘MQ
‘SUOM Nl ^ QC
^ –doe k10N s°‘b_ QbDb_ g,g R)mR ‘M
S÷ gCv Wú‘ Se>`; Se>`; T Y lè
v{°e W:Q… W:Y ~ep
2018
2018^t6
1 - ^t6 0.6300217,755,834.2357,225,648.24274,981,482.47
g 26e
g 26e
T - - 0.6300217,755,834.2357,225,648.24274,981,482.47
7.4.12 gg+ 2018^t12g 31e g,Wú‘ g vmAS×–PR8
7.4.12.1 Và¤-°S/XSR8Ngg+ c g vmAS×–PR8
‘SUOM Nl ^ QC
7.4.12.1.1 S×–PR8|{R+ h
R8 b R mAS× gg+ O0 gg+ Y lè
{, 37 u Qq73 u
¤- –P{W P
[Xe>W(g,Wú‘bX{NN-V”L VàN ”L[Xk>vQsvOáu(–i ‘'0 g,Wú‘(N¤ b@L
vN¤ WGNN-VR8v{°~{— –P#QlSN:N¤ [ùbK[b R8N¤e6Tk>yn {— –i
`'_\ W(”LT N ^ W:LN¤ RMWG[ùN¤ [ùbKLOáu(O0^v[ùR8N¤Rre_ L–P6N
c§R6v^”vOáu(–i
g,Wú‘Wú‘t N^úzNOáu(–it mAz ùbDyOáu({I~§O0gec§R6R8S
LNvOáu(–i N ecS bDR ecOáu(–i
{, 39 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
N2018^t12g 31e g,Wú‘*c g –dP:0 Y.LyhcnTe?{V`'‘P:NY vP:R8(2017^t12
g 31e T )0
7.4.13.2.1 c wíg Oáu(~§ y:vP:R8bD
lè eà0
7.4.13.2.2 c wíg Oáu(~§ y:vD§e/c R8bD
lè eà0
7.4.13.2.3 c wíg Oáu(~§ y:vT N [XSUbD
lè eà0
7.4.13.2.4 c g Oáu(~§ y:vP:R8bD
lè eà0
7.4.13.2.5 c g Oáu(~§ y:vD§e/c R8bD
lè eà0
7.4.13.2.6 c g Oáu(~§ y:vT N [XSUbD
lè eà0
7.4.13.3 mAR¨`'–i
mAR¨`'–i/c Wú‘(\eLN ‘P:g QsvNIReG0D‘í:v–i g,Wú‘mAR¨`'
–i e—beêWú‘ g NS–‰BNQvc g vWú‘ SN e—beêbDy
b@Y vN¤ ^ W:N m;^&gevSs°V– VàbD–-eàlW(^ W:Qús°RgplR¨v`QNN T
t vN÷h ~[W(—^8`QN Nu3÷vY t e_ c§R6Và_ e>u3-
Nj!_ ^&gevmAR¨`'–i g eHO–ú‘ g NR)v0
{, 40 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
N2018^t12g 31e g,Wú‘@bbvQhè‘P:vT ~~[R0g eWGN:NN* g NQ…NN
`o SNWú‘QP<(b@g gCv)eàVú[R0g eNN `o Vàkd&—bYSsN:g*bs°vT ~
R0g s°‘A‘
7.4.13.3.1 ‘D§T‘P:vR0gg –P g
lè eà0
7.4.13.3.2 bTJg Q…g,Wú‘T D§vmAR¨`'–i g
g,Wú‘Wú‘t NW(Wú‘\ N-N%h_ R8bDú‘AR¨`'–it ‰0 (ê017^t10g 1ewL){Il‰‰B[ùg,
Wú‘T D§vmAR¨`'–iL{t ìzv–it èè[ùg,Wú‘~T c N–-^c
h 0 mAS×–P6vbDykONS~T W(wíeQ…Ss°v~üT c h {ImAR¨`'c h Lc ~í
vvmKTR g
g,Wú‘DN[QlSSLvR8^ P_ Wú‘qT c g N [N ^ QlSSLvSmAhN _—…N ^ Ql
SSmAhv15% g,Wú‘ u1g,Wú‘Wú‘t N{t vQhèDT c g N [N ^ QlSS
LvSmAh N _—…N ^ QlSSmAhv30%([Qhc qgg Qsc epgb kOLR8b
D_ e>_ Wú‘N-VvO ¤[vrykbDT N S× O–P6)0
g,Wú‘@c è R8W(R8N¤ b@N ^ QvOYNSW(”LT N ^ W:N¤ è Wú‘D§mAf
eS×–P6N ê1lv`QS‰–Dè7.4.120 kdY g,Wú‘VQúV-‘D§e_ P Qe
wíg D‘”[ùmAR¨`'—lB QvN –P ,N …ú‘ g vP:R8bDQlQAN÷P<0 g,Wú‘;R¨bD
NmAR¨`'S×–PD§v^ P0 ~{—
Y N‘ [XQúO‘P:R8bDI0
7.4.13.4.1.1 R)s–i^S
SUOM Nl ^ QC
g,gg+
1-3 5^t
2018^t12 1N*g NQ… 3N*g -1^t 1-5^t N `o T
N*g NN
g 31e
D§
”L[Xk> 637,488,609.12 - - - - - 637,488,609.12
~{— N 40,856,989.64 - - - - - 40,856,989.64
‘
[XQúO 1,085,142.31 - - - - 10,272,312.00 11,357,454.31
‘
N¤ `'‘ - -140,408,000.00 - -3,690,363,852.963,830,771,852.96
D§
^”e6R)`o - - - - - 2,801,776.51 2,801,776.51
^”e6u3- - - - - - 66,691,010.97 66,691,010.97
k>
D§`; 679,430,741.07 -140,408,000.00 - -3,770,128,952.444,589,967,693.51
P:
^”NR8 - - - - - 292,192,638.09 292,192,638.09
n {—k>
^”NN - - - - - 209,684,133.12 209,684,133.12
k>
^”N{t - - - - - 3,723,058.87 3,723,058.87
Nb‘l
^”NbX{ - - - - - 930,764.68 930,764.68
9
^”NN¤ - - - - - 5,786,696.07 5,786,696.07
9(
QvNP: - - - - - 798,835.08 798,835.08
P:`; - - - - - 513,116,125.91 513,116,125.91
R)seOa 679,430,741.07 -140,408,000.00 - -3,257,012,826.534,076,851,567.60
^:S
N ^t^g+
1-3 5^t
2017^t12 1N*g NQ… 3N*g -1^t 1-5^t N `o T
N*g NN
g 31e
D§
”L[Xk> 166,301,754.21 - - - - - 166,301,754.21
~{— N 15,436,273.03 - - - - - 15,436,273.03
‘
[XQúO 1,573,094.42 - - - - - 1,573,094.42
‘
N¤ `'‘ 79,984,000.00 -119,374,000.00 - -4,767,615,790.194,966,973,790.19
D§
^”e6R8 - - - - - 548,092.17 548,092.17
n {—k>
^”e6R)`o - - - - - 4,494,223.92 4,494,223.92
^”e6u3- - - - - - 8,494,356.35 8,494,356.35
{, 43 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
k>
D§`; 263,295,121.66 -119,374,000.00 - -4,781,152,462.635,163,821,584.29
P:
^”NN - - - - - 99,400,758.42 99,400,758.42
k>
^”N{t - - - - - 5,009,371.09 5,009,371.09
Nb‘l
^”NbX{ - - - - - 1,252,342.78 1,252,342.78
9
^”NN¤ - - - - - 8,429,500.50 8,429,500.50
9(
QvNP: - - - - - 785,947.88 785,947.88
P:`; - - - - - 114,877,920.67 114,877,920.67
R)seOa 263,295,121.66 -119,374,000.00 - -4,666,274,541.965,048,943,663.62
^:S
lè hN-b@y:N:g,Wú‘D§SP:v&—b÷P< ^vc qgT ~‰vR)s‘°[N÷eb R0g e[peé
NNR |{0
7.4.13.4.1.2 R)s–ieOa `'R g
lè N2018^t12g 31e g,Wú‘ g vN¤ `'P:R8bDlQAN÷P{I TR0g eW(N ^tNQ…ve?^P:
R8vbDsN ONNWú‘D§QP(~{—b@_—vc Nc_
v)NKc b T vQN:00
7.4.13.1.3.2 QvNN÷h<–ieOa `'R g
PG –dm300c epNY vQvN^ W:S‘c N S
[ùD§P:heWú‘D§QPyTQvN‘P: Qv&—b÷PT~{— N‘ 678,345,598.76 14.78
8 QvNT yD§ 80,850,241.79 1.76
9 T 4,589,967,693.51 100.00
8.2 gg+ c LN R |{vhbDT
8.2.1 bTJgg+ c LN R |{vXQ…hbDT
‘SUOM Nl ^ QC
S`Wú‘D§QPO ]O\ - -
R eS 0 OSZ1NPN 767.59 0.00
S ~üT - -
T 3,690,363,852.96 90.52
{, 48 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
8.2.2 bTJgg+ c LN R |{vn/bDhbDT
lè g,Wú‘,bTJg Q…g*bD/h0
8.3 gg+ c QlQAN÷P -
3 ^”e6) -
4 ^”e6R)`o 2,801,776.51
5 ^”e6u3-> 66,691,010.97
6 QvN^”e6k> -
7 _…dJ9( -
8 QvN -
9 T 80,850,241.79
8.12.4 gg+ c g vY Nl vSlbP:R8f ~
lè g,Wú‘,bTJgg+g* c g Y Nl vSlbP:R80
8.12.5 gg+ RMSAT hN-[XW(mAS×–PQvf
lè g,Wú‘,bTJgg+ RMSAT hN-N [XW(mAS×–P`Q0
{, 56 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
§9 Wú‘ g NOá`o
9.1 gg+ Wú‘ g Nb7epSc g N~g
NSUOM N
c g Nb7 b7WGc g v c g N~g
ep(b7) Wú‘ g:gbD N*NbD
S``;N S``;N
c g N c g N
kO kO
43,595 87,329.39 3,160,490,057.57 83.02% 646,634,756.55 16.98%
9.2 gg+ Wú‘t NvNNN TXc gg, Wú‘`Q
yv c g N`;ep N S`Wú‘;NkO
Wú‘t Nb@g NNN TX
5,242,512.38 0.1377%
c gg, Wú‘
lè
9.3 gg+ Wú‘t NvNNN TXc gg, _ e>_ Wú‘`;‘:v`Q
yv c g Wú‘`;‘ep‘: NN
g,QlS~§{t NTX0 Wú‘Dx zv
>100
èè#c gg, _ e>_ Wú‘
g,Wú‘ú‘t c gg, _ e>_ Wú‘ 10~50
{, 57 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
§10 _ e>_ Wú‘SR¨
SUOM N
Wú‘T u eHe 2013^t 8g 2e Wú‘`; 333,186,365.72
g,bTJgg R Wú‘`; 3,477,471,460.93
g,bTJgg Wú‘;u3- 3,424,647,639.98
Q:g,bTJgg Wú‘;NN 3,094,994,286.79
g,bTJgg Wú‘R SR¨N NQ\ N"-"XkR -
g,bTJggg+ Wú‘`; 3,807,124,814.12
{, 58 u Qq73 u
SNlgt^‘ X_:2018^t^t^bTJ
§11‘'NNcíy:
11.1 Wú‘ g NY'O Q
bTJg Q…eàWú‘ g NY'O Q0
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