?2011 ? 8 ? 17 ? CTA ? EMA ? CTA ? EMA ? CTA ? CTA ? CTA ? CTA ? 5 ? 16 ? ? ? EMA ? EMA ?CTA ?CTA ?1980 ? 1 ?2011 ? 7 ?CTA ? 11.38%? 15.66%? 500 ? 8.15%? CTA ? ? 30 ? CTA ? 500 ? 0.02? ? 0.12?CTA ? ? ? CTA ?CTA ? 3 ?5 ? 6 ? EMA ?240 ? 180 ? 3 ? 4 ? 16 ? 7 ? 7 ? 15 ? 61.69%? 41.67%? 8.51%? 2.15?206 ? 33.01%? EMA ?47.67%? 61.33%? 33.01%? 46.13%?010-60838093 ?yangjcitics.com ?S1010510120029 ?0755-23835396 ?lianhjcitics.com ?25002700290031003300350037000.811.21.41.61.822010?04?162010?05?062010?05?262010?06?172010?07?062010?07?232010?08?112010?08?302010?09?162010?10?152010?11?032010?11?222010?12?092010?12?282011?01?172011?02?102011?03?012011?03?182011?04?082011?04?272011?05?172011?06?032011?06?232011?07?12EMA?300?1? ?A ? .2011.8.52 ? ? A ? ? ? ? ? ? ? ? ? ? ? ?.2009.1.83? ?.2007.6.104.?A ?2009.5.6? ?.1CTA ? .1? CTA ? .1CTA ?.3CTA ? .5CTA ?.5?.5?.6? .7EMA ?.7?.8? EMA ?.9? 1?CTA ?2004 ? 2011 ? 1 ? .2? 2?Bayclay CTA ?1980 ? 1 ? 2011 ? 7 ?.2? 3?NewEdge CTA ? CTA ?.3? 4?2010 ? 4 ? 16 ? 2011 ? 7 ? 29 ?.4? 5?.9? 1?Bayclay CTA ?1980 ? 1 ? 2011 ? 7 ?.2? 1?ETF ?.5? 2?2010/04/16 ? 2011/07/15?.8? 3?.8? 4?2010/04/16 ? 2011/07/15?.9? 5? EMA ?.10? 2011 ? 8 ? 17 ?1?CTA ?CTA ?1980 ? 1 ? 2011 ? 7 ?CTA ? 11.38%? 15.66%? 500 ? 8.15%?CTA ? 30 ? CTA ? 500 ? 0.02? 0.12? ? CTA ? EMA ? ? CTA ? CTA ? CTA ? ? CTA ? 5 ? 16 ? EMA ? EMA ? CTA ? EMA ? 5 ? 6 ? 5 ? 6 ?240 ? 180 ? 3? 4 ? 16 ? 7 ? 7 ? 15 ? 61.69%? 41.67%? 8.51%? 2.15? 206 ? 33.01%?240 ? 180 ? 51 ? EMA ? 47.67%? 61.33%? 33.01%? 46.13% CTA ? CTA ?Commodity Trading Advisor? CTA?CFTC? CTA ? CFTC ? ?CTA ?CPO? ?CTA ? 70 ? BayclayHedge ?CTA ? 30 ? 940 ? 6 ? 1 ? ? 2011 ? 1 ?CTA ? 2914 ? CTA ? 3000 ? CTA ? CTA ?BayclayHedge ? 4 ? CTA ? CTA ? CTA ? ?1980?1?2011?7? CTA?11.38%? ?15.66%? 500 ? 8.15%? 2008 ?CTA ? 14.09%?-18.5%? 500 ? 38.49%?CTA? 2011 ? 8 ? 17 ?2? ? ? 30 ? CTA ? 500 ? 0.02? 0.12? CTA ? 1?CTA ?2004 ? 2011 ? 1 ?BayclayHedge? 1?Bayclay CTA ?1980 ? 1 ? 2011 ? 7 ?11.38% ?0.41 ?15.66% ?500?0.02 ?0.12 ?BayclayHedge? 2?Bayclay CTA ?1980 ? 1 ? 2011 ? 7 ?BayclayHedge? CTA ?CTA ? CTA? CTA ? BayclayHedge ? 2011 ? 1 ?CTA? 2914 ? 2386.3 ? 81.9%?CTA ? 565 ?CTA ? 457 ? 80.9%? ? ? Galen Burghardt ? 2011 ? 8 ? 17 ?32000 ? 2009 ? CTA ? CTA ? 0.97? CTA ? ? CTA?CTA ? CTA ? 3?NewEdge CTA ? CTA ?2001 ? 2009 ?NewEdge?CTA ? CTA ?;? 1 ? 2 ? 1 ? 2 ? 2 ? ? ? 3 ? ? ? 5 ? 59.27 ? ? 2011 ? 8 ? 17 ?48 ? 8 ? 3.65? 10 ? 8 ? 300 ?10 ? 124.92 ? 1 ? 8 ? 4.83 ?7 ? 3.22 ? 4?2010 ? 4 ? 16 ? 2011 ? 7 ? 29 ?-50050100150200250300100416100517100617100715100812100909101019101116101214110112110216110316110415110516110614110712? ? ? ? ? ? ? ? ? ? ? ? ? ? 2010 ? 12 ? 14? 30 ? 30 ? 60?CTA ? A ?A ? A ?CTA ? 300 ? ? 871.67 ? ? 2077.15? 2011 ? 8 ? 17 ?5? CTA ?CTA ?CTA ?A? ? 1?ETF ? ETF ? ? ? ? ? ? ? ?CTA ?CTA ?CFA ?CFA ?CTA ? 30 ? 200 ?1 ? CTA?CTA ?CTA ?CTA ? CTA ?CTA ? ? CTA ?CTA ? CTA ? 3 ?:?;? CTA ? 2011 ? 8 ? 17 ?6?SMA? ?EMA? ?MACD? ?SAR?/?/?/? 50%? 1/2 ? 2/3? ?RSI? ?KDJ? ?WMS? 3 ? 50%?:? ? CTA ? CTA ? ? ? ? 2011 ? 8 ? 17 ?7? 1 ? ?CTA ? 2 ?/? 1?5 ?15 ?30 ?60 ? ? ? ? 1 ? 5 ? 1 ? 100 ? 30 ? 10 ? 1 ? 10 ? ? ?EMA ? ? 7 ?(status quo bias)? L? T ?EMA(T)=EMA(T-1)?(L-1)/(L+1)+?(T)?2/(L+1) ? 2011 ? 8 ? 17 ?8? CTA ? EMA ? 5 ? 6 ? EMA ? EMA(N)?EMA(M)?N?M ?, N ? M? 1 ? EMA(N)? MA(M)? EMA(N)? MA(M)? 2 ? 5 ? 6 ?240 ? 180 ? 3 ? 4 ? 16 ? 7 ? 7 ? 15 ? 61.69%? 41.67%? 8.51%? 2.15? 206 ? 33.01%? 0.02%? 0.01%? 0.01%? 2?2010/04/16 ? 2011/07/15? EMA_Long EMA_Short ?2010-04-16 2011-07-15 240 180 61.69% 41.67% ?21.03% 2.15 8.51% 206 33 35 33.01% ? 60 ? 480 ?30 ? 420 ?240 ? 180 ? 51 ? 3?EMA_Long EMA_Short ?210 120 32.39% 25.56% 1.07 0.1069257 283 29.68% 210 150 47.11% 36.78% 1.61 0.1229196 246 30.89% 210 180 52.98% 41.18% 1.85 0.0732748 228 31.58% 240 30 30.41% 24.04% 0.97 0.1198869 488 23.16% 240 60 29.20% 23.10% 0.93 0.1049738 355 28.45% 240 90 25.94% 20.58% 0.84 0.1099015 309 28.48% ? 15 ?11 ? 73.3%? 5 ? 7 ? 12.50%? 19.05%?5 ? 7 ? 2011 ? 8 ? 17 ?9? 4?2010/04/16 ? 2011/07/15?IF1005 8.59% 8.87% 18 2 6 44.44% IF1006 3.13% 5.13% 11 1 3 36.36% IF1007 6.91% 6.15% 13 2 2 30.77% IF1008 5.28% 2.65% 15 3 3 40.00% IF1009 -1.20% 8.05% 14 3 3 42.86% IF1010 11.74% 2.39% 6 2 0 33.33% IF1011 12.79% 4.92% 16 4 4 50.00% IF1012 -1.72% 6.33% 14 3 2 35.71% IF1101 0.60% 5.72% 15 1 4 33.33% IF1102 2.62% 3.02% 14 2 1 21.43% IF1103 4.00% 3.30% 15 3 1 26.67% IF1104 2.54% 3.70% 10 2 1 30.00% IF1105 -1.10% 6.56% 16 0 2 12.50% IF1106 1.95% 3.41% 8 1 3 50.00% IF1107 -5.17% 7.98% 21 4 0 19.05% ? 8.51%? 0.55? 5?25002700290031003300350037000.811.21.41.61.822010?04?162010?05?062010?05?262010?06?172010?07?062010?07?232010?08?112010?08?302010?09?162010?10?152010?11?032010?11?222010?12?092010?12?282011?01?172011?02?102011?03?012011?03?182011?04?082011?04?272011?05?172011?06?032011?06?232011?07?12EMA?300? EMA ? 2 ? ? ? ? ?Chande Momentum Oscillator, ? CMO? ?CMO ? CMO ?CMO ?-1 ? 1? 0.5 ? N ? EMA? 2? 2011 ? 8 ? 17 ?10EMA(T)=EMA(T-1)?(1-2/(L+1) ?CMO) +?(T)?2/(L+1) ?CMO ? EMA ? CMO ? EMA ?6 ? CMO ? 47.67%? 61.33%? 33.01%? 46.13%? 5? EMA ?EMA_Long EMA_Short ?180 240 180 74.53% 56.88% 2.97 8.07% 44.00% 150 240 180 83.37% 63.27% 3.39 7.22% 47.83% 120 240 180 85.68% 64.93% 3.52 7.65% 47.83% 90240 180 81.03% 61.59% 3.28 8.75% 52.38% 60240 180 83.84% 63.62% 3.38 9.20% 57.14% 30240 180 75.65% 57.69% 3.01 9.08% 40.74% ?240 180 61.69% 47.67% 2.15 8.51% 33.01% ? Analyst Certification ? ?i? ?ii?The analysts primarily responsible for the preparation of all or part of the research report contained herein hereby certify that: (i) the views expressed in this research report accurately reflect the personal views of each such analyst about the subject securities and issuers; and (ii) no part of the analysts compensation was, is, or will be directly or indirectly, related to the specific recommendations or views expressed in this research report. ? ? ? ? ? ? ? ?/?(?)?(1)?(2)?/?/? 2011 ? 300 ? 20%? 300 ? 5%?20%? 300 ?-10%?5%? 300 ? 10%? 300 ? 10%?300?-10%?10%?1.? 6 ? 6 ? 300 ?2.? 6 ? 300 ? 300 ? 10%? 48 ?100125? 1568 ? 22 ?200122?8?518048? 1 ? 26 ?Foreign Broker-Dealer Disclosures for Distributing to the U.S. ?-?This report has been produced in its entirety by CITIC Securities Limited Company (“CITIC Securities”, regulated by the China Securities Regulatory Commission. Securities Business License Number: Z20374000). This report is being distributed in the United States by CITIC Securities pursuant to Rule 15a-6(a) (2) under the U.S. Securities Exchange Act of 1934 exclusively to “major U.S. institutional investors” as defined in Rule 15a-6 and the SEC no-action letters thereunder. ? ? ? ? ? ?Z20374000?1934?15a-6(a) (2)?15a-6?