华泰量化优选:2018年年度报告
2019-03-27
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‘P:N Yxn¤eR |{N: NQlQAN÷P<‘ QvSR¨Qe_Sg c_vv‘P:SQvN‘
P:0 g,Wú‘RMfeà‘P:R |{N:NQlQAN÷P<‘ QvSR¨Qe_Sg c_vv‘P:0 g,
Wú‘ g vQvN‘P:S bìQvNT |{^”Nk>y{I0
7.4.4.4 ‘D§T‘P:vR Yxn¤ T ~í‘~kbxn¤
‘D§ ‘P:Ng,Wú‘ N:‘]QwTT vN ee c QlQAN÷PN-S T+vP:R8woeb N k!–doeó-pekbvR)`o SUrìxn¤N:^”e6y
v0 ^”e6k>yTQvN‘P:vvQsN¤ 9(QeR Yxn¤‘
{, 27 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
[ùNNlQAN÷P<‘ QvSR¨Qe_Sg c_vv‘D§ c qgQlQAN÷PyTQvN‘P:‘([–E)sl NdJOYb g,LT ~í‘
‘D§ná R gaNNKN v NN~kbxn¤ (1) e6S‘D§s°‘A‘TT gCR)~
kb (2) ‘D§]òl N g,Wú‘ ‘D§b@ggC N QàNNb@g v–ib‘ll~le
e b (3) ‘D§]òl }q6g,Wú‘lg lN_lg OuY‘D§b@ggC N QàNNb@g
v–ib‘l OFf/e>_ N[ù‘D§c§R60
‘D§~kbxn¤e Qv&—b÷PyN-S T+vc }/g*R ‘M]ò[s°c_vS`Wú‘PyN-S T+vc }/g*[s°c_vS`Wú‘PyW(c gg xn¤vR)`oe6Qec [–E)sl{— [–E)slN v~l]_ vR
c v~l{—
7.4.4.10 9(vxn¤T‘
g,Wú‘{t Nb‘lbX{9(9(mvg c Wú‘T ~[v9T{—elexn¤
{, 29 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
QvN‘P:W(c gg xn¤vR)`oe/Qúc [–E)sl{— [–E)slN v~l]_
vR c v~l{—
7.4.4.11 Wú‘e6vR ‘M?{V
kN Wú‘Ng T {IR ‘MC0 g,Wú‘6vNs°‘b_ R ‘M OFWú‘ g NSbés°‘
~R)b \ s°‘R)c R ~–dCevWú‘QP<ê¨l:Wú‘LQbD gg+g* R ‘M)
mN-vg*[s°è N:kcep S bìWú‘%m;R¨N§ vg*[s°c_vNSWú‘N¤ N§ vg*[s°
^sQ‘I R gg+ SOR ‘M)mv‘N:gg+g* R ‘M)mN-v]ò[s°è gg+g* R ‘M)mv
g*[s°è N:ep R gg+ SOR ‘M)mv‘N:gg+g* R ‘M)m Ss]ò[s°è vbg*[s°è
R T vOY
~[TJvbR ‘Mú‘6vN ~–dCeNb@g gCvlú0
7.4.4.12 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 vOO0Pg R
N2018^t1g 1ew§ vR)`oSR)`o`'(e6QeN: U. DN§T{t N%DN§Tl
2017^t12g 31eRMS_—v—^'ig ' SNbéc qg[–EpQeN÷{— U. b N2017^tg
T NN*N¤f ev—^'ig '{—N÷h
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
m;g [Xk> 44,739,706.11 26,673,599.66
[g [Xk> - -
QvN- [Xk>g –PN*g NQ… - -
[Xk>g –P-3N*g - -
[Xk>g –PN*g NN - -
QvN[Xk> - -
{, 32 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
T 44,739,706.11 26,673,599.66
7.4.7.2 N¤ `'‘D§
SUOM Nl ^ QC
g,gg+
yv
2018^t12g 31e
b g, QlQAN÷P< QlQAN÷PR)`o 7,018.48 6,597.45
^”e6[g [Xk>R)`o - -
^”e6QvN[Xk>R)`o - -
^”e6~{— N‘)`o 785.76 1,637.82
^”e6P:R8R)`o 573,361.64 820,454.80
^”e6D§e/c R8R)`o - -
^”e6NpQe.R8R)`o -1,367.14 -
^”e6u3->R)`o - -
^”e6‘ ~bP [s`o - -
QvN 104.06 158.40
T 579,902.80 828,848.47
7.4.7.6 QvND§
lè eà0
7.4.7.7 ^”NN¤ 9(
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
N¤ b@^ W:^”NN¤ 9( 608,105.46 1,899,642.56
”L^ W:^”NN¤ 9( - 225.00
T 608,105.46 1,899,867.56
7.4.7.8 QvNP:
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
^”NR8UFN¤ SUQCO‘ - -
^”NN9 728.78 69,841.62
c9( 400,000.00 382,000.00
T 400,728.78 451,841.62
7.4.7.9 [e6Wú‘
‘SUOM Nl ^ QC
g,g
yv
2018^t1g 1eó018^t12g 31e
Wú‘ N &—b
N ^t^g+ 617,029,555.97 617,029,555.97
g,g u3- 347,967,785.60 347,967,785.60
g,g N N - S÷XkR -499,555,910.68 -499,555,910.68
- Wú‘R /Nb{—RM - -
Wú‘R /Nb{—SR¨N - -
{, 34 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
g,g u3- - -
g,g N N - S÷XkR - -
g,gg+ 465,441,430.89 465,441,430.89
lè u3-+~R)Qb0 lbQeN NT+lbQúN
7.4.7.10 g*R ‘M)m
SUOM Nl ^ QC
yv ]ò[s°è g*[s°è g*R ‘M)mT
N ^t^g+ 479,222,361.18 -33,555,074.67 445,667,286.51
g,g R)m -79,305,404.44 -72,103,086.22 -151,408,490.66
g,g Wú‘N¤
-127,322,430.41 -6,094,171.55 -133,416,601.96
N§ vSR¨ep
QvN- Wú‘3-> 253,338,474.66 -62,001,580.25 191,336,894.41
Wú‘Nk> -380,660,905.07 55,907,408.70 -324,753,496.37
g,g ]òR ‘M)m -52,970,484.50 - -52,970,484.50
g,gg+ 219,624,041.83 -111,752,332.44 107,871,709.39
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 235,051.04 357,454.15
[g [Xk>R)`oe6Qe - -
QvN[Xk>R)`oe6Qe - -
~{— N‘)`oe6Qe 113,227.82 176,654.84
QvN 4,465.38 3,326.15
T 352,744.24 537,435.14
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¤`; 2,537,946,582.55 2,851,380,217.99
Q SVQúhb g,`; 2,613,647,438.84 2,713,405,096.52
NpSVh]N÷e6Qe -75,700,856.29 137,975,121.47
{, 35 u Qq75 u
SNlgt^‘ O m÷ 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:
135,260.00 127,324.91
lP:R8R0g QQN ]N÷e6Qe
P:R8bD6v N]N÷e6Qe - -
P:R8bD6v u3-N÷e6Qe - -
T 135,260.00 127,324.91
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
41,339,583.84 14,524,636.74
N b N¤`;
Q SVQúP:R8 0 P:lP:R8R0
39,873,680.00 14,130,877.00
g QQN b g,`;
Q ^”e6R)`o`; 1,330,643.84 266,434.83
NpSVP:R8]N÷e6Qe 135,260.00 127,324.91
7.4.7.13.3 P:R8bD6v N]N÷e6Qe
lè eà0
7.4.7.13.4 P:R8bD6v u3-N÷e6Qe
lè eà0
7.4.7.13.5 D§e/c R8bD6v
lè eà0
7.4.7.14 5‘^bD6v
7.4.7.14.1 5‘^bD6vyvgb
lè g,Wú‘,bTJg Q…SN ^t^veà5‘^bD6v0
7.4.7.14.2 5‘^bD6v NpSV5‘^]N÷e6Qe
lè g,Wú‘,bTJg Q…SN ^t^veà5‘^bD6v0
{, 36 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
7.4.7.14.3 5‘^bD6v N]N÷e6Qe
lè g,Wú‘,bTJg Q…SN ^t^veà5‘^bD6v0
7.4.7.14.4 5‘^bD6v u3-N÷e6Qe
lè g,Wú‘,bTJg Q…SN ^t^veà5‘^bD6v0
7.4.7.15 Mu ]Qwe6v
7.4.7.15.1 Mu ]Qwe6v NpSVgC]N÷e6Qe
lè g,Wú‘,bTJg Q…SN ^t^veàMu ]Qwe6v0
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 - -57,420.00
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 13,833,094.93 15,702,897.30
Wú‘D§ v)e6v - -
T 13,833,094.93 15,702,897.30
7.4.7.17 QlQAN÷PbK~í9 15,256.59 21,602.30
”L&7g R9 18,000.00 18,000.00
T 433,256.59 421,602.30
{, 38 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
7.4.8 b g Ny0 D§P:heT Nyvf
7.4.8.1 b g Ny
b*óD§P:he g,Wú‘veà{O\b—2b g Ny0
7.4.8.2 D§P:heT Ny
b*ó"bhbQúe g,Wú‘veà{O\b—2D§P:heT Ny0
7.4.9 QsTQs|
QsTT y N g,Wú‘Qs|
SNlgt^Wú‘t g –PlS( SNlgt^
Wú‘t N0 Wú‘èQv{°g:g0 Wú‘ U.g:g
Wú‘ )
N-V^ú”Lg –PlS( N-V^ú
Wú‘X{N0 Wú‘ U.g:g
”L )
SNlR8g –PlS( SNlR8 ) Wú‘t Nv 0 Wú‘ U.g:g
PineBridgeInvestmentLLC Wú‘t Nv
]e°S:e°bg/N§Ng –PlS Wú‘t Nv
SNlT R8g –P#QlS( SNlT
Wú‘t Nv SNlR8vc§PQlS
R8 )
gt^r1^úD§{t (N mw)g –PlS Wú‘t Nvc§PQlS
lè N sT¤ WGW(kc^8N R VQ… N ,UFN gak>z0
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 593,136,944.48 12.50% 2,020,285,885.23 32.31%
7.4.10.1.2 P:R8N¤
lè eà0
7.4.10.1.3 P:R8V-¤
lè eà0
7.4.10.1.4 gCN¤
lè eà0
{, 39 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
7.4.10.1.5 ^”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 418,512.98 10.02% 198,926.77 32.71%
N ^t^Skg
QsTT y
2017^t1g 1eó017^t12g 31e
_Sg S`_Sg Oc‘ S`gg+ ^”NOc
gg+ ^”NOc‘Y
Oc‘ `;‘kO ‘;vkO
SNlR8 1,867,411.85 32.72% 1,324,048.01 69.70%
lè
1. N c‘^ W:N÷h<~g,Wú‘Wú‘t NN [ùeSOUFxn[ Nbc–d1N-VR8v{°~{—
g –P#QlSe6Sv{9~bK9Q y:0
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
11,188,778.18 14,111,874.67
v{t 9
QvN- e/N U.g:gv
2,797,214.82 3,600,954.91
[b7~b¤9
lè e/NWú‘t NSNlgt^Wú‘t g –PlSv{t Nb‘l RMN eWú‘D§QP<1.50%v^t
9c e}/ógg ^ c g e/N0 Qv{—Ql_ N: e{t Nb‘l RMN eWú‘D§Q
P< X 1.50% / _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
1,864,796.37 2,351,979.24
vbX{9
lè e/NWú‘X{N^ú”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< X 0.25% / _S^tY)ep0
{, 40 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
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 eà0
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 2014
^t12g 17e c g vWú‘ 0.00 0.00
N
g R c g vWú‘ 13,544,447.61 0.00
g u3-NpQe`;N 0.00 13,544,447.61
g VàbR SR¨N 0.00 0.00
Q g N/SVQú`;N 13,544,447.61 0.00
gg+ c g vWú‘ 0.00 13,544,447.61
gg+ c g vWú‘
0.0000% 2.1951%
S`Wú‘;NkO
lè 1. g N/SVQú`;NT+lbQúN
2. Wú‘t NbD,Wú‘u(v¤(u3)-N9c qgg,Wú‘Rf Nfv‰bgL0
3. g,bTJg g+ Wú‘t Ng*bD,Wú‘
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^ú”
44,739,706.11 235,051.04 26,673,599.66 357,454.15
L
lè g,Wú‘”L[Xk>u1Wú‘X{N^ú”LO{ c ”LT N R)s`o0
7.4.10.6 g,Wú‘(b g Q…SN QsTb R8v`Q
lè eà0
{, 41 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
7.4.10.7 QvNQsT¤ Nyvf
lè eà0
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^t9
1 - ^t9 1.2190 43,501,178.069,469,306.4452,970,484.50
g 27e
g 27e
T - - 1.2190 43,501,178.069,469,306.4452,970,484.50
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
ep‘
R8 R8 b R SmA mAS× ¤- gg+ O0 gg+ gg+ O0P<
SUOM Y lè
Nx T y ¤- e –P{W N÷h< P
[Xe>W(g,Wú‘bX{NN-V^ú”L VàN ”L[Xk>vQsvOáu(–i ‘'0 g,Wú‘(N¤ b@
LvN¤ WGNN-VR8v{°~{— –P#QlSN:N¤ [ùbK[b R8N¤e6Tk>yn {— –i
S'_\ W(”LT N ^ W:LN¤ RMWG[ùN¤ [ùbKLOáu(O0^v[ùR8N¤Rre_ L–P
R6Nc§R6v^”vOáu(–i
g,Wú‘Wú‘t N^úzNOáu(–it mAz ùbDyOáu({I~§O0gec§R6R8S
LNvOáu(–i N ecS bDR ecOáu(–i
g,Wú‘:R8bDOáu(~§`Qc 0 N-VNl ”LOáu(~§{t c [üa ‰ [vh Q~
SlG`;0
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
SUOM Nl ^ QC
g,gg+ N ^t^g+
wíg Oáu(~§
2018^t12g 31e 2017^t12g 31e
A-1 0.0 0.00
A-1NN 0.00 0.00
g*~§ 15,016,500.00 0.00
T 15,016,500.00 0.00
lè g*~§vP:R8S bìe?{V`'‘P:0 P:R8Oáu(~§Sê,N e~§g:gv~§
7.4.13.2.2 c wíg Oáu(~§ y:vD§e/c R8bD
lè eà0
{, 44 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
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
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
{, 45 u Qq75 u
SNlgt^‘ O m÷ 2018^t^t^bTJ
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