华泰量化驱动:2018年年度报告
2019-03-27
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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¤‘
[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‘l bX{9 U.g R9(9(mvg c Wú‘T ~[v9T{—e
lexn¤
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
g,Wú‘ N |{vkN 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¤
f N§ vg*[s°^sQ‘I R gg+ SOR ‘M)mv‘N:gg+g* R ‘M)mN-v]ò[s°è g
g+g*R ‘M)mvg*[s°è N:ep R gg+ SOR ‘M)mv‘N:gg+g* R ‘M)m Ss]ò[s°è
R vbg*[s°è 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§
u e6Qe0 Su 9( (2)g,Wú‘Wú‘t N [g N÷~b è v~%b g NQ[T Qv
‘MnD N÷QvN ~é (3)g,Wú‘ S_—~b è v"rQ0 ~%b gTs°‘A‘Ig
QsO Oá`o0 YgN$N*b Y N*~%R èwg vOO0Pvw0 NK–D0 R8bDú‘DAS×–PhO0Pg R
N2018^t1g 1ew§ vR)`oSR)`o`'(e6QeN: U.
(2) [ùWú‘R8^ W:N-S_—ve6Qe S bìNpSVh0 P:R8v]N÷e6Qe hvo0 ~R)
e6Qe P:R8vR)`oe6QeSQvNe6Qe fN _e6O N b@_— 0
(3) [ùWú‘_—vO N P:R8R)`oe6Qe ^”u1SLP:R8vO N W(T Wú‘/NR)`oeNbcN
420%vN*Nb@_— 0 [ùWú‘N ^ QlSS_—vo~R)b@_— c –P(1N*g NQ…(T+1N*g )
v Qvo~R)b@_—QhQe^”~z b@_— c –P(1N*g NN ó^t(T+1^t)v fQc 50%
Qe^”~z b@_— c –P…^tv fQM_e6N*Nb@_— 0 [ùWú‘ g vN ^ QlS–P.
‰ S_—vo0 ~R)e6Qe c qgN ‰{—~z c ê‰ew{— ‰RM
{, 34 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
S_—vo0 ~R)e6Qe~~ífQc 50%Qe^”~z b@_— N @_—~N u(20%vz s_N*N
b@_— 0
(4) Wú‘VQúhc 0.1%vz s4~hN¤ Sp± NpQehN _e6hN¤ Sp± 0
(5) g,Wú‘W^ ~b¤^úz 0 eY9 D TW0eeY9 D {Iz 9 qg[–E4~XP
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
m;g [Xk> 20,162,953.57 220,717,678.58
[g [Xk> - -
QvN- [Xk>g –PN*g NQ… - -
[Xk>g –P-3N*g - -
[Xk>g –PN*g NN - -
QvN[Xk> - -
T 20,162,953.57 220,717,678.58
7.4.7.2 N¤ `'‘D§
SUOM Nl ^ QC
g,gg+
yv
2018^t12g 31e
b g, QlQAN÷P< QlQAN÷PR)`o 4,325.74 20,299.55
^”e6[g [Xk>R)`o - -
^”e6QvN[Xk>R)`o - -
^”e6~{— N‘)`o 688.42 1,922.11
^”e6P:R8R)`o 573,361.64 967,791.78
^”e6D§e/c R8R)`o - -
^”e6NpQe.R8R)`o -1,086.02 -
^”e6u3->R)`o - -
^”e6‘ ~bP [s`o - -
QvN 123.97 292.38
T 577,413.75 990,305.82
{, 36 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
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( 678,683.17 1,997,855.78
”L^ W:^”NN¤ 9( - 200.00
T 678,683.17 1,998,055.78
7.4.7.8 QvNP:
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
^”NR8UFN¤ SUQCO‘ - -
^”NN9 27.53 100.49
c9( 400,000.00 400,000.00
T 400,027.53 400,100.49
7.4.7.9 [e6Wú‘
‘SUOM Nl ^ QC
SNlgt^‘ qR¨m÷ A
g,g
yv
2018^t1g 1eó018^t12g 31e
Wú‘ N &—b
N ^t^g+ 1,299,182,209.29 1,299,182,209.29
g,g u3- 196,347,212.36 196,347,212.36
g,g N N - S÷XkR -871,258,491.86 -871,258,491.86
- Wú‘R /Nb{—RM - -
Wú‘R /Nb{—SR¨N - -
g,g u3- - -
g,g N N - S÷XkR - -
g,gg+ 624,270,929.79 624,270,929.79
‘SUOM Nl ^ QC
SNlgt^‘ qR¨m÷ C
g,g
yv
2018^t1g 1eó018^t12g 31e
Wú‘ N &—b
N ^t^g+ - -
{, 37 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
g,g u3- 160,397.93 160,397.93
g,g N N - S÷XkR -16,580.81 -16,580.81
- Wú‘R /Nb{—RM - -
Wú‘R /Nb{—SR¨N - -
g,g u3- - -
g,g N N - S÷XkR - -
g,gg+ 143,817.12 143,817.12
lè 10 u3-+lbQeN NT+lbQúN
20 h9cn0 QsNSNlgt^‘ qR¨pum;‘Mnm÷ WR8bDú‘ C|{N^vOe9Wú‘T vQl
TJ0 g,Wú‘2018^t10g 16ee°XC|{N
7.4.7.10 g*R ‘M)m
SUOM Nl ^ QC
SNlgt^‘ qR¨m÷ A
yv ]ò[s°è g*[s°è g*R ‘M)mT
N ^t^g+ 114,388,685.00 3,363,814.14 117,752,499.14
g,g R)m -112,714,640.17 -78,680,686.58 -191,395,326.75
g,g Wú‘N¤
-50,903,924.18 21,708,594.95 -29,195,329.23
N§ vSR¨ep
QvN- Wú‘3-> 14,660,935.60 -11,370,872.58 3,290,063.02
Wú‘Nk> -65,564,859.78 33,079,467.53 -32,485,392.25
g,g ]òR ‘M)m - - -
g,gg+ -49,229,879.35 -53,608,277.49 -102,838,156.84
SUOM Nl ^ QC
SNlgt^‘ qR¨m÷ C
yv ]ò[s°è g*[s°è g*R ‘M)mT
N ^t^g+ - - -
g,g R)m -2,261.03 -2,978.09 -5,239.12
g,g Wú‘N¤
-23,415.66 5,164.84 -18,250.82
N§ vSR¨ep
QvN- Wú‘3-> -26,212.71 6,104.78 -20,107.93
Wú‘Nk> 2,797.05 -939.94 1,857.11
g,g ]òR ‘M)m - - -
g,gg+ -25,676.69 2,186.75 -23,489.94
7.4.7.11 [Xk>R)`oe6Qe
SUOM Nl ^ QC
g,g
N ^t^Skg
yv 2018^t1g 1eó018^t12
2017^t1g 1eó017^t12g 31e
g 31e
m;g [Xk>R)`oe6Qe 305,196.12 682,594.56
[g [Xk>R)`oe6Qe - -
QvN[Xk>R)`oe6Qe - -
~{— N‘)`oe6Qe 159,047.30 217,252.97
QvN 6,213.04 6,823.87
T 470,456.46 906,671.40
{, 38 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
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¤`; 2,960,535,722.61 5,550,113,512.12
Q SVQúhb g,`; 3,068,162,052.54 5,186,782,583.80
NpSVh]N÷e6Qe -107,626,329.93 363,330,928.32
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:
134,520.00 413,449.94
lP:R8R0g QQN ]N÷e6Qe
P:R8bD6v N]N÷e6Qe - -
P:R8bD6v u3-N÷e6Qe - -
T 134,520.00 413,449.94
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
41,346,000.00 72,516,395.54
N b N¤`;
Q SVQúP:R8 0 P:lP:R8R0
39,865,480.00 70,595,914.00
g QQN b g,`;
Q ^”e6R)`o`; 1,346,000.00 1,507,031.60
NpSVP:R8]N÷e6Qe 134,520.00 413,449.94
7.4.7.13.3 P:R8bD6v N]N÷e6Qe
lè eà0
7.4.7.13.4 P:R8bD6v u3-N÷e6Qe
lè eà0
{, 39 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
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 eà0
7.4.7.14.2 5‘^bD6v NpSV5‘^]N÷e6Qe
lè eà0
7.4.7.14.3 5‘^bD6v N]N÷e6Qe
lè eà0
7.4.7.14.4 5‘^bD6v u3-N÷e6Qe
lè eà0
7.4.7.15 Mu ]Qwe6v
7.4.7.15.1 Mu ]Qwe6v NpSVgC]N÷e6Qe
lè eà0
7.4.7.15.2 Mu ]Qwe6v QvNbD6v
SUOM Nl ^ QC
N ^t^Skg e6v‘
g,g e6v‘
yv
2018^t1g 1eó018^t12
2017^t1g 1eó017
g 31e
^t12g 31e
VP:g 'D6v - -
g 'bD6v - -377,820.00
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 16,301,922.11 36,003,563.87
Wú‘D§ v)e6v - -
T 16,301,922.11 36,003,563.87
{, 40 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
7.4.7.17 QlQAN÷PbK~í9 20,128.71 42,686.65
”L&7g R9 18,000.00 18,000.00
T 438,128.71 460,686.65
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 v{°g:g0 Wú‘ U.g:g
Wú‘ )
N-V”Lg –PlS( N-V”L ) Wú‘X{N0 Wú‘ U.g:g
PineBridge Investment LLC Wú‘t Nv
SNlR8g –PlS( SNlR8 ) Wú‘t Nv 0 Wú‘ U.g:g
]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¤`;v
kO kO
SNlR8 107,285,416.62 1.98% 468,168,869.74 4.46%
{, 42 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
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
7.4.10.1.5 ^”e/NQsTvOc‘
‘SUOM Nl ^ QC
g,g
QsTT y
2018^t1g 1eó018^t12g 31e
S`gg+ ^”N
_Sg S`_Sg Oc‘
gg+ ^”NOc‘Y Oc‘;v
Oc‘ `;‘kO
kO
SNlR8 97,770.59 2.07% 24,693.59 3.64%
N ^t^Skg
QsTT y
2017^t1g 1eó017^t12g 31e
S`gg+ ^”N
_Sg S`_Sg Oc‘
Oc‘;v
gg+ ^”NOc‘Y
Oc‘ `;‘kO
kO
SNlR8 426,643.74 4.41% - -
lè 1. N c‘^ W:N÷h<~g,Wú‘Wú‘t NN [ùeSOUFxn[ Nbc–d1N-VR8v{°
~{— –P#QlSe6Sv{9~bK9Q y:0
2. |{Oc‘Ovg R V bìOc‘6SeN:g,Wú‘OvR8bD zvb gT^ W:Oá`og
R{I0 gCN¤ N Oc‘
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
13,164,853.28 27,367,330.20
v{t 9
QvN- e/N U.g:gv
3,676,415.58 8,031,085.32
[b7~b¤9
lè e/NWú‘t NSNlgt^Wú‘{t Nb‘l RMN eWú‘D§QP<1.5%v^t9c e
}/ógg ^ c g e/N0 Qv{—Ql_ N:
e{t Nb‘l RMN eWú‘D§QP<×1.5% / _S^tY)ep0
{, 43 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
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
2,194,142.30 4,561,221.72
vbX{9
lè e/NWú‘X{NN-V”LvbX{9 RMN eWú‘D§QP<0.25%v^t9c e}/ó
kg g ^ 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 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
yv
2018^t1g 1eó018^t12g 31e
SNlgt^‘ qR¨m÷ A SNlgt^‘ qR¨m÷ C
Wú‘T u eHe 2015
^t3g 24e c g vWú‘ 0.00 0.00
g R c g vWú‘ 0.00 0.00
g u3-NpQe`;N 0.00 0.00
g VàbR SR¨N 0.00 0.00
Q g N/SVQú`;N 0.00 0.00
gg+ c g vWú‘ 0.00 0.00
gg+ c g vWú‘
0.0000% 0.0000%
S`Wú‘;NkO
N ^t^Skg
yv
2017^t1g 1eó017^t12g 31e
SNlgt^‘ qR¨m÷ A SNlgt^‘ qR¨m÷ C
Wú‘T u eHe 2015
^t3g 24e c g vWú‘ 0.00 -
g R c g vWú‘ 5,571,778.87 -
g u3-NpQe`;N 0.00 -
g VàbR SR¨N 0.00 -
{, 44 u Qq78 u
SNlgt^‘ qR¨m÷ 2018^t^t^bTJ
Q g N/SVQú`;N 5,571,778.87 -
gg+ c g vWú‘ 0.00 -
gg+ c g vWú‘
0.0000% -
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 Q… 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”L 20,162,953.57 305,196.12 220,717,678.58 682,594.56
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‘TJg SN ^t^Skg g*SN QsTb R80
7.4.10.7 QvNQsT¤ Nyvf
lè eà0
7.4.11 R)mR ‘MQ
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<
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Nx T y ¤- e –P{W N÷h< 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
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 39,900,000.00
T 15,016,500.00 39,900,000.00
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
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