华泰柏瑞量化先行混合:2018年年度报告
2019-03-27
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^sQ‘I R gg+ SOR ‘M)mv‘N:gg+g* R ‘M)mN-v]ò[s°è gg+g* R ‘M)mv
{, 27 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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§
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
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> 115,154,065.72 148,745,477.18
[g [Xk> - -
QvN- [Xk>g –PN*g NQ… - -
[Xk>g –P-3N*g - -
[Xk>g –PN*g NN - -
QvN[Xk> - -
T 115,154,065.72 148,745,477.18
7.4.7.2 N¤ `'‘D§
SUOM Nl ^ QC
g,gg+
yv
2018^t12g 31e
{, 30 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
b g, QlQAN÷P< QlQAN÷PR)`o 61,200.57 56,184.81
^”e6[g [Xk>R)`o - -
^”e6QvN[Xk>R)`o - -
^”e6~{— N‘)`o 6,123.01 2,850.43
^”e6P:R8R)`o 2,260,969.87 1,799,714.23
^”e6D§e/c R8R)`o - -
^”e6NpQe.R8R)`o -20,783.58 -
^”e6u3->R)`o - -
{, 31 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
^”e6‘ ~bP [s`o - -
QvN 652.63 583.44
T 2,308,162.50 1,859,332.91
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( 4,746,608.98 2,766,368.27
”L^ W:^”NN¤ 9( - 3,352.08
T 4,746,608.98 2,769,720.35
7.4.7.8 QvNP:
SUOM Nl ^ QC
g,gg+ N ^t^g+
yv
2018^t12g 31e 2017^t12g 31e
^”NR8UFN¤ SUQCO‘ - -
^”NN9 177,264.85 112,302.89
c9( 410,000.00 400,000.00
T 587,264.85 512,302.89
7.4.7.9 [e6Wú‘
‘SUOM Nl ^ QC
g,g
yv
2018^t1g 1eó018^t12g 31e
Wú‘ N &—b
N ^t^g+ 2,094,027,644.79 2,094,027,644.79
g,g u3- 3,772,143,502.74 3,772,143,502.74
g,g N N - S÷XkR -2,890,627,496.24 -2,890,627,496.24
- Wú‘R /Nb{—RM - -
Wú‘R /Nb{—SR¨N - -
g,g u3- - -
g,g N N - S÷XkR - -
g,gg+ 2,975,543,651.29 2,975,543,651.29
lè u3-+~R)QbN lbQeN NT+lbQúN
{, 32 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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+ 143,220,289.07 901,862,078.18 1,045,082,367.25
g,g R)m -899,131,693.65 -318,854,570.72 -1,217,986,264.37
g,g Wú‘N¤
169,513,507.70 353,292,246.35 522,805,754.05
N§ vSR¨ep
QvN- Wú‘3-> 19,929,950.98 1,448,125,810.90 1,468,055,761.88
Wú‘Nk> 149,583,556.72 -1,094,833,564.55 -945,250,007.83
g,g ]òR ‘M)m -47,820,805.33 - -47,820,805.33
g,gg+ -634,218,702.21 936,299,753.81 302,081,051.60
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 1,776,231.07 2,650,676.16
[g [Xk>R)`oe6Qe - -
QvN[Xk>R)`oe6Qe - -
~{— N‘)`oe6Qe 301,013.31 73,735.26
QvN 18,904.85 7,072.67
T 2,096,149.23 2,731,484.09
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¤`; 11,333,002,090.42 2,832,402,335.08
Q SVQúhb g,`; 12,194,904,762.91 2,697,483,613.51
NpSVh]N÷e6Qe -861,902,672.49 134,918,721.57
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:
269,910.00 35,046.49
lP:R8R0g QQN ]N÷e6Qe
{, 33 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
P:R8bD6v N]N÷e6Qe - -
P:R8bD6v u3-N÷e6Qe - -
T 269,910.00 35,046.49
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
133,184,000.00 23,304,053.13
N b N¤`;
Q SVQúP:R8 0 P:lP:R8R0
129,388,490.00 22,801,450.00
g QQN b g,`;
Q ^”e6R)`o`; 3,525,600.00 467,556.64
NpSVP:R8]N÷e6Qe 269,910.00 35,046.49
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 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
{, 34 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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
lè eà0
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 58,424,146.28 11,331,793.41
Wú‘D§ v)e6v - -
T 58,424,146.28 11,331,793.41
7.4.7.17 QlQAN÷PbK~í9 29,458.08 26,610.33
”L&7g R9 37,200.00 18,000.00
T 476,658.08 444,610.33
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
SNlR8g –PlS( SNlR8 ) Wú‘t Nv 0 Wú‘ U.g:g
PineBridge Investment LLC 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
{, 36 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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 7,239,156,718.51 30.16% 1,635,047,150.73 20.05%
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
_Sg S`_Sg Oc‘ S`gg+ ^”NOc
gg+ ^”NOc‘Y
Oc‘ `;‘kO ‘;vkO
SNlR8 6,645,828.80 30.09% 1,028,853.10 21.68%
N ^t^Skg
QsTT y
2017^t1g 1eó017^t12g 31e
_Sg S`_Sg Oc‘ S`gg+ ^”NOc
gg+ ^”NOc‘Y
Oc‘ `;‘kO ‘;vkO
SNlR8 1,501,772.93 20.05% 839,440.57 30.34%
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
7.4.10.2 QsTb‘l
7.4.10.2.1 Wú‘t 9
{, 37 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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
60,284,685.08 27,419,602.27
v{t 9
QvN- e/N U.g:gv
3,904,469.51 4,229,213.44
[b7~b¤9
lè e/NWú‘t NSNlgt^Wú‘{t Nb‘l RMN eWú‘D§QP<1.50%v^t9c
e}/ógg ^ c g e/N0 Qv{—Ql_ N:
e{t Nb‘l RMN eWú‘D§QP< 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
10,047,447.42 4,569,933.75
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< X 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
N ^t^Skg
yv 2018^t1g 1eó018^t12
2017^t1g 1eó017^t12g 31e
g 31e
Wú‘T u eHe 2010^t6
10,000,600.00 10,000,600.00
g 22e c g vWú‘
g R c g vWú‘ 10,000,600.00 10,000,600.00
g u3-NpQe`;N 0.00 0.00
g VàbR SR¨N 0.00 0.00
Q g N/SVQú`;N 10,000,600.00 0.00
gg+ c g vWú‘ 0.00 10,000,600.00
gg+ c g vWú‘ 0.0000% 0.4776%
{, 38 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
S`Wú‘;NkO
lè 1. 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 115,154,065.72 1,776,231.07 148,745,477.18 2,650,676.16
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‘TJgg+ SN ^t^g+WGg*SN QsTb R80
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^t6
1 - ^t6 0.164 46,001,988.591,818,816.7447,820,805.33
g 27e
g 27e
T - - 0.164 46,001,988.591,818,816.7447,820,805.33
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”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
{, 41 u Qq75 u
SNlgt^‘ QHLm÷ 2018^t^t^bTJ
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*~§ 100,257,000.00 0.00
T 100,257,000.00 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
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
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> 115,154,065.72 - - - - - 115,154,065.72
~{— N 12,366,101.35 - - - - - 12,366,101.35
‘
[XQúO 1,318,569.64 - - - - - 1,318,569.64
‘
N¤ `'‘ 30,033,000.00 -70,224,000.00 - -3,045,387,020.453,145,644,020.45
D§
^”e6R8 - - - - - 71,103,089.16 71,103,089.16
n {—k>
^”e6R)`o - - - - - 2,308,162.50 2,308,162.50
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