SELECT 
*
FROM 
   (SELECT * FROM TB WHERE ((CODE - 1) / 3) % 2 = 0) AS A
LEFT JOIN 
   (SELECT * FROM TB WHERE ((CODE - 1) / 3) % 2 = 1 ) AS B
ON 
   (A.CODE - 1) / 3 = (B.CODE - 1) / 3 -1 AND (A.CODE - 1) % 3 = (B.CODE - 1) % 3

------解决方案--------------------
SQL code

--> 测试数据：[test]
if object_id('[test]') is not null 
drop table [test]
create table [test](
[code] int,
[return] numeric(3,2),
[dummy] int,
[year] int
)
insert [test]
select 1,0.35,0,2004 union all
select 2,0.86,1,2005 union all
select 3,1.92,0,2006 union all
select 4,2.34,0,2005 union all
select 5,0.19,1,2006
go

select * from 
(select * from test where ((code-1)/3)%2=0) as a
left join 
(select * from test where ((code -1)/3)%2=1) as b
on (a.code-1)/3 =(b.code-1)/3 -1 and (a.code-1)%3=(b.code-1)%3
/*
code    return    dummy    year    code    return    dummy    year
----------------------------
1    0.35    0    2004    4    2.34    0    2005
2    0.86    1    2005    5    0.19    1    2006
3    1.92    0    2006    NULL    NULL    NULL    NULL
*/