华泰量化优选:2018年年度报告
2019-03-27
华泰柏瑞量化优选混合
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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 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> 44,739,706.11 - - - - - 44,739,706.11 ~{— N 1,560,289.38 - - - - - 1,560,289.38 ‘ [XQúO 210,299.33 - - - - - 210,299.33 ‘ N¤ `'‘15,016,500.00 - - - - 526,941,594.27 541,958,094.27 D§ ^”e6R)`o - - - - - 579,902.80 579,902.80 ^”e6u3- - - - - - 221,429.63 221,429.63 k> D§`; 61,526,794.82 - - - - 527,742,926.70 589,269,721.52 P: ^”NR8 - - - - - 13,651,749.03 13,651,749.03 n {—k> {, 47 u Qq75 u SNlgt^‘ O m÷ 2018^t^t^bTJ ^”NN - - - - - 438,830.51 438,830.51 k> ^”N{t - - - - - 734,714.96 734,714.96 Nb‘l ^”NbX{ - - - - - 122,452.50 122,452.50 9 ^”NN¤ - - - - - 608,105.46 608,105.46 9( QvNP: - - - - - 400,728.78 400,728.78 P:`; - - - - - 15,956,581.24 15,956,581.24 R)seOa 61,526,794.82 - - - - 511,786,345.46 573,313,140.28 ^: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> 26,673,599.66 - - - - - 26,673,599.66 ~{— N 3,312,686.87 - - - - - 3,312,686.87 ‘ [XQúO 320,135.67 - - - - - 320,135.67 ‘ N¤ `'‘ 9,998,000.00 -29,856,000.00 - -1,003,452,057.581,043,306,057.58 D§ ^”e6R8 - - - - - 5,056,487.22 5,056,487.22 n {—k> ^”e6R)`o - - - - - 828,848.47 828,848.47 ^”e6u3- 5,000,000.00 - - - - 1,410,164.24 6,410,164.24 k> D§`; 45,304,422.20 -29,856,000.00 - -1,010,747,557.511,085,907,979.71 P: ^”NN - - - - - 19,180,933.43 19,180,933.43 k> ^”N{t - - - - - 1,438,709.64 1,438,709.64 Nb‘l ^”NbX{ - - - - - 239,784.98 239,784.98 9 ^”NN¤ - - - - - 1,899,867.56 1,899,867.56 9( QvNP: - - - - - 451,841.62 451,841.62 P:`; - - - - - 23,211,137.23 23,211,137.23 R)seOa 45,304,422.20 -29,856,000.00 - - 987,536,420.281,062,696,842.48 ^: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:R8vbDON ONNWú‘D§QPyTQvN‘P: Qv&—b÷PT~{— N‘ 46,299,995.49 7.86 8 QvNT yD§ 1,011,631.76 0.17 9 T 589,269,721.52 100.00 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 - - S ~üT - - T 526,941,594.27 91.91 {, 52 u Qq75 u SNlgt^‘ O m÷ 2018^t^t^bTJ 8.2.2 bTJgg+ c LN R |{vn/bDhbDT lè g,Wú‘,bTJgg+g* c g /bDh0 8.3 gg+ c QlQAN÷P - 3 ^”e6) - 4 ^”e6R)`o 579,902.80 5 ^”e6u3-> 221,429.63 6 QvN^”e6k> - 7 _…dJ9( - 8 QvN - 9 T 1,011,631.76 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 eà0 {, 59 u Qq75 u SNlgt^‘ O m÷ 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 19,622 23,720.39 163,463,740.33 35.12% 301,977,690.56 64.88% 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 320,329.52 0.0688% c gg, Wú‘ 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 0 èè#c gg, _ e>_ Wú‘ g,Wú‘ú‘t c gg, _ e>_ Wú‘ 10~50 {, 60 u Qq75 u SNlgt^‘ O m÷ 2018^t^t^bTJ §10 _ e>_ Wú‘SR¨ SUOM N Wú‘T u eHe 2014^t 12g 17e Wú‘`; 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