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基金公告

鹏华创业板分级:2018年第四季度报告

公告日期:2019-01-21

鹏华创业板指数分级证券投资基金 2018 年
            第 4 季度报告

                   2018 年 12 月 31 日




       基金管理人:鹏华基金管理有限公司

       基金托管人:中国建设银行股份有限公司

       报告送出日期:2019 年 01 月 21 日
                                                           鹏华创业板分级 2018 年第 4 季度报告



                                       §1 重要提示
    基金管理人的董事会及董事保证本报告所载资料不存在虚假记载、误导性陈述或重大遗漏,

并对其内容的真实性、准确性和完整性承担个别及连带责任。

    基金托管人中国建设银行股份有限公司根据本基金合同规定,于 2019 年 01 月 18 日复核了本

报告中的财务指标、净值表现和投资组合报告等内容,保证复核内容不存在虚假记载、误导性陈

述或者重大遗漏。

    基金管理人承诺以诚实信用、勤勉尽责的原则管理和运用基金资产,但不保证基金一定盈利。

    基金的过往业绩并不代表其未来表现。投资有风险,投资者在作出投资决策前应仔细阅读本

基金的招募说明书。

    本报告中财务资料未经审计。

    本报告期自 2018 年 10 月 01 日起至 12 月 31 日。


                                  §2 基金产品概况

2.1 基金基本情况
基金简称                      鹏华创业板分级

场内简称                      创业指基

基金主代码                    160637

前端交易代码                  -

后端交易代码                  -

基金运作方式                  契约型开放式

基金合同生效日                2015 年 06 月 09 日

报告期末基金份额总额          284,284,909.81 份

投资目标                      紧密跟踪标的指数,追求跟踪偏离度和跟踪误差最小化,力争将日

                              均跟踪偏离度控制在 0.35%以内,年跟踪误差控制在 4%以内。

投资策略                      本基金采用被动式指数化投资方法,按照成份股在标的指数中的基

                              准权重构建指数化投资组合,并根据标的指数成份股及其权重的变

                              化进行相应调整。 当预期成份股发生调整或成份股发生配股、增

                              发、分红等行为时,或因基金的申购和赎回等对本基金跟踪标的指

                              数的效果可能带来影响时,或因某些特殊情况导致流动性不足时,

                              或其他原因导致无法有效复制和跟踪标的指数时,基金管理人可以
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                                                               鹏华创业板分级 2018 年第 4 季度报告



                            对投资组合管理进行适当变通和调整,力求降低跟踪误差。 本基

                            金力争鹏华创业板份额净值增长率与同期业绩比较基准之间的日

                            均跟踪偏离度不超过 0.35%,年跟踪误差不超过 4%。如因指数编

                            制规则调整或其他因素导致跟踪偏离度和跟踪误差超过上述范

                            围,基金管理人应采取合理措施避免跟踪偏离度、跟踪误差进一步

                            扩大。

业绩比较基准                创业板指数收益率×95%+商业银行活期存款利率(税后)×5%

风险收益特征                本基金属于股票型基金,其预期的风险与收益高于混合型基金、债

                            券型基金与货币市场基金,为证券投资基金中较高风险、较高预期

                            收益的品种。同时本基金为指数基金,通过跟踪标的指数表现,具

                            有与标的指数以及标的指数所代表的公司相似的风险收益特征。

基金管理人                  鹏华基金管理有限公司

基金托管人                  中国建设银行股份有限公司

下属分级基金的基金简称          创业板分级                  创业板 A               创业板 B

下属分级基金的场内简称           创业指基                    创业 A                 创业 B

下属分级基金的交易代码            160637                    150243                  150244

下属分级基金的前端交易代
                                      -                        -                       -


下属分级基金的后端交易代
                                      -                        -                       -


报告期末下属分级基金的份
                            140,206,773.81 份           72,039,068.00 份      72,039,068.00 份
额总额

                           本基金属于股票型基

                           金,其预期的风险与收
                                               鹏华创业板 A 份额为稳 鹏华创业板 B 份额为积
                           益高于混合型基金、债
下属分级基金的风险收益特                       健收益类份额,具有低 极收益类份额,具有高
                           券型基金与货币市场
征                                              风险且预期收益相对 风险且预期收益相对
                           基金,为证券投资基金
                                                    较低的特征。         较高的特征。
                           中较高风险、较高预期

                           收益的品种。同时本基


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                                                               鹏华创业板分级 2018 年第 4 季度报告



                              金为指数基金,通过跟

                              踪标的指数表现,具有

                              与标的指数以及标的

                              指数所代表的公司相

                              似的风险收益特征。

注:无。


                         §3 主要财务指标和基金净值表现

3.1 主要财务指标
                                                                                单位:人民币元
 主要财务指标                              报告期(2018 年 10 月 01 日 - 2018 年 12 月 31 日)
 1.本期已实现收益                                                                -25,024,882.72
 2.本期利润                                                                      -30,457,966.61
 3.加权平均基金份额本期利润                                                               -0.0957
 4.期末基金资产净值                                                              245,175,346.65
 5.期末基金份额净值                                                                          0.862
注:1、本期已实现收益指基金本期利息收入、投资收益、其他收入(不含公允价值变动收益)扣

除相关费用后的余额,本期利润为本期已实现收益加上本期公允价值变动收益。

     2、所述基金业绩指标不包括持有人认购或交易基金的各项费用(例如,开放式基金的申购

赎回费、基金转换费等),计入费用后实际收益水平要低于所列数字。

3.2 基金净值表现
3.2.1 本报告期基金份额净值增长率及其与同期业绩比较基准收益率的比较
                                                             业绩比较基准
                净值增长率    净值增长率      业绩比较基
   阶段                                                      收益率标准差     ①-③     ②-④
                    ①          标准差②      准收益率③
                                                                 ④
过去三个月          -11.00%        1.88%          -10.80%            1.86%     -0.20%      0.02%
注:业绩比较基准=创业板指数收益率×95%+商业银行活期存款利率(税后)×5%

3.2.2 自基金合同生效以来基金累计份额净值增长率变动及其与同期业绩比较基准
    收益率变动的比较




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                                                          鹏华创业板分级 2018 年第 4 季度报告




注:1、本基金基金合同于 2015 年 06 月 09 日生效。2、截至建仓期结束,本基金的各项投资比

例已达到基金合同中规定的各项比例。

3.3 其他指标
注:无。


                                 §4 管理人报告

4.1 基金经理(或基金经理小组)简介
                               任本基金的基金经理期限
    姓名         职务                                         证券从业年限          说明
                            任职日期           离任日期
                                                                                张羽翔先生,
                                                                                国籍中国,工
                                                                                学 硕 士 , 11
                                                                                年证券基金
                                                                                从业经验。曾
                                                                                任招商银行
                                                                                软件中心(原
                                                                                深圳市融博
               本基金基
   张羽翔                  2018-04-28              -              11 年         技术公司)数
               金经理
                                                                                据分析师;
                                                                                2011 年 3 月
                                                                                加盟鹏华基
                                                                                金管理有限
                                                                                公司,历任监
                                                                                察稽核部资
                                                                                深金融工程
                                                                                师、量化及衍
                                     第 5 页 共 13 页
                   鹏华创业板分级 2018 年第 4 季度报告


                                         生品投资部
                                         资深量化研
                                         究员,先后从
                                         事金融工程、
                                         量化研究等
                                         工 作 。 2015
                                         年 09 月担任
                                         鹏华上证民
                                         企 50ETF 基
                                         金基金经理,
                                         2015 年 09 月
                                         担任鹏华上
                                         证 民 企
                                         50ETF 联 接
                                         基金基金经
                                         理,2016 年
                                         06 月至 2018
                                         年 05 月担任
                                         鹏华新丝路
                                         分级基金基
                                         金经理,2016
                                         年 07 月担任
                                         鹏华高铁分
                                         级基金基金
                                         经 理 , 2016
                                         年 09 月担任
                                         鹏 华 沪 深
                                         300 指 数
                                         (LOF)基金
                                         基金经理,
                                         2016 年 09 月
                                         担任鹏华中
                                         证 500 指数
                                         (LOF)基金
                                         基金经理,
                                         2016 年 11 月
                                         担任鹏华一
                                         带一路分级
                                         基金基金经
                                         理,2016 年
                                         11 月担任鹏
                                         华新能源分
                                         级基金基金
                                         经 理 , 2018
                                         年 04 月担任
第 6 页 共 13 页
                                                         鹏华创业板分级 2018 年第 4 季度报告


                                                                               鹏华创业板
                                                                               分级基金基
                                                                               金经理,2018
                                                                               年 04 月担任
                                                                               鹏华互联网
                                                                               分级基金基
                                                                               金经理,2018
                                                                               年 05 月 至
                                                                               2018 年 08 月
                                                                               担任鹏华沪
                                                                               深 300 指数
                                                                               增强基金基
                                                                               金经理,2018
                                                                               年 05 月担任
                                                                               鹏华香港中
                                                                               小企业指数
                                                                               (LOF)基金
                                                                               基金经理,
                                                                               2018 年 05 月
                                                                               担任鹏华钢
                                                                               铁分级基金
                                                                               基金经理。张
                                                                               羽翔先生具
                                                                               备基金从业
                                                                               资格。本报告
                                                                               期内本基金
                                                                               基金经理未
                                                                               发生变动。
注:1. 任职日期和离任日期均指公司作出决定后正式对外公告之日;担任新成立基金基金经理的,

任职日期为基金合同生效日。

    2. 证券从业的含义遵从行业协会关于从业人员资格管理办法的相关规定。

4.2 管理人对报告期内基金运作遵规守信情况的说明
    报告期内,本基金管理人严格遵守《证券投资基金法》等法律法规、中国证监会的有关规定

以及基金合同的约定,本着诚实守信、勤勉尽责的原则管理和运作基金资产,在严格控制风险的

基础上,为基金份额持有人谋求最大利益。本报告期内,本基金运作合规,不存在违反基金合同

和损害基金份额持有人利益的行为。

4.3 公平交易专项说明
4.3.1 公平交易制度的执行情况
    报告期内,本基金管理人严格执行公平交易制度,确保不同投资组合在研究、交易、分配等

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                                                           鹏华创业板分级 2018 年第 4 季度报告


各环节得到公平对待。

4.3.2 异常交易行为的专项说明
    报告期内,本基金未发生违法违规且对基金财产造成损失的异常交易行为。本报告期内未发

生基金管理人管理的所有投资组合参与的交易所公开竞价同日反向交易成交较少的单边交易量超

过该证券当日成交量的 5%的情况。

4.4 报告期内基金投资策略和运作分析
    本基金秉承指数基金的投资策略,在应对基金申购赎回的基础上,力争跟踪指数的收益,并

将基金跟踪误差控制在合理范围内。

4.5 报告期内基金的业绩表现
    本基金报告期内净值增长率为-11.00%,业绩比较基准增长率-10.80%。本报告期,基金年化跟

踪误差 1.14%。

4.6 报告期内基金持有人数或基金资产净值预警说明
    无。


                                  §5 投资组合报告

5.1 报告期末基金资产组合情况
    序号            项目            金额(人民币元 )           占基金总资产的比例(%)
     1       权益投资                        232,552,801.14                             93.52
             其中:股票                      232,552,801.14                             93.52
     2       基金投资                                     -                                  -
     3       固定收益投资                                 -                                  -
             其中:债券                                   -                                  -
                    资产支持
                                                          -                                  -
             证券
     4       贵金属投资                                   -                                  -
     5       金融衍生品投资                               -                                  -
             买入返售金融资
     6                                                    -                                  -
             产
             其中:买断式回
             购的买入返售金                               -                                  -
             融资产
             银行存款和结算
     7                                        15,661,992.51                               6.30
             备付金合计
     8       其他资产                             459,820.39                              0.18
     9       合计                            248,674,614.04                            100.00

5.2 报告期末按行业分类的股票投资组合

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                                                       鹏华创业板分级 2018 年第 4 季度报告


5.2.1 报告期末指数投资按行业分类的境内股票投资组合
 代码       行业类别         公允价值(元)                 占基金资产净值比例(%)
  A     农、林、牧、渔业              27,048,966.56                                 11.03
  B     采矿业                                    -                                      -
  C     制造业                       110,557,809.36                                 45.09
        电力、热力、燃气
  D                                               -                                      -
        及水生产和供应业
  E     建筑业                         1,336,144.68                                  0.54
  F     批发和零售业                              -                                      -
        交通运输、仓储和
  G                                               -                                      -
        邮政业
  H     住宿和餐饮业                              -                                      -
        信息传输、软件和
  I                                   56,455,004.33                                 23.03
        信息技术服务业
  J     金融业                                    -                                      -
  K     房地产业                                  -                                      -
  L     租赁和商务服务业               1,516,274.48                                  0.62
        科学研究和技术服
  M                                       714,000.00                                 0.29
        务业
        水利、环境和公共
  N                                    7,564,342.05                                  3.09
          设施管理业
        居民服务、修理和
  O                                               -                                      -
          其他服务业
  P              教育                             -                                      -
  Q      卫生和社会工作               11,056,760.94                                  4.51
        文化、体育和娱乐
  R                                   13,660,298.74                                  5.57
              业
  S              综合                             -                                      -
                 合计                229,909,601.14                                 93.77

5.2.2 报告期末积极投资按行业分类的境内股票投资组合
 代码       行业类别         公允价值(元)                 占基金资产净值比例(%)
  A     农、林、牧、渔业                          -                                      -
  B     采矿业                                    -                                      -
  C     制造业                         2,195,200.00                                  0.90
        电力、热力、燃气
  D
        及水生产和供应业                          -                                      -
  E     建筑业                                    -                                      -
  F     批发和零售业                              -                                      -
        交通运输、仓储和
  G
        邮政业                                    -                                      -
  H     住宿和餐饮业                              -                                      -
        信息传输、软件和
  I
        信息技术服务业                    448,000.00                                 0.18

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                                                                    鹏华创业板分级 2018 年第 4 季度报告


  J           金融业                                            -                                     -
  K           房地产业                                          -                                     -
  L           租赁和商务服务业                                  -                                     -
              科学研究和技术服
  M
              务业                                              -                                     -
  N           水利、环境和公共
                设施管理业                                      -                                     -
  O           居民服务、修理和
                其他服务业                                      -                                     -
  P                    教育                                     -                                     -
  Q            卫生和社会工作                                   -                                     -
  R           文化、体育和娱乐
                    业                                          -                                     -
  S                    综合                                     -                                     -
                       合计                          2,643,200.00                                 1.08

5.2.3 报告期末按行业分类的港股通投资股票投资组合
注:无。

5.3 报告期末按公允价值占基金资产净值比例大小排序的前十名股票投资明细
5.3.1 指数投资按公允价值占基金资产净值比例大小排序的前十名股票投资明细
                                                                                     占基金资产净值
  序号            股票代码       股票名称       数量(股)      公允价值(元)
                                                                                       比例(%)
      1            300498        温氏股份         1,033,192         27,048,966.56               11.03
      2            300059        东方财富         1,060,061         12,826,738.10                5.23
      3            300142        沃森生物            317,500         6,064,250.00                2.47
      4            300015        爱尔眼科            225,021         5,918,052.30                2.41
      5            300124        汇川技术            267,140         5,380,199.60                2.19
      6            300003        乐普医疗            247,955         5,159,943.55                2.10
      7            300408        三环集团            293,880         4,972,449.60                2.03
      8            300122        智飞生物            126,156         4,889,806.56                1.99
      9            300750        宁德时代             64,900         4,789,620.00                1.95
   10              300136        信维通信            215,020         4,646,582.20                1.90

5.3.2 积极投资按公允价值占基金资产净值比例大小排序的前五名股票投资明细
                                                                                    占基金资产净值比
   序号            股票代码      股票名称        数量(股)     公允价值(元)
                                                                                        例(%)
          1            300760     迈瑞医疗             10,000   1,092,200.00                       0.45
          2            300747     锐科激光              5,000       688,000.00                     0.28
          3            300454      深信服               5,000       448,000.00                     0.18
          4            300529     健帆生物             10,000       415,000.00                     0.17

5.4 报告期末按债券品种分类的债券投资组合
注:无。


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                                                         鹏华创业板分级 2018 年第 4 季度报告


5.5 报告期末按公允价值占基金资产净值比例大小排序的前五名债券投资明细
注:无。

5.6 报告期末按公允价值占基金资产净值比例大小排序的前十名资产支持证券投资
    明细
注:无。

5.7 报告期末按公允价值占基金资产净值比例大小排序的前五名贵金属投资明细
注:无。

5.8 报告期末按公允价值占基金资产净值比例大小排序的前五名权证投资明细
注:无。

5.9 报告期末本基金投资的股指期货交易情况说明
5.9.1 报告期末本基金投资的股指期货持仓和损益明细
注:无。

5.9.2 本基金投资股指期货的投资政策
本基金投资股指期货将根据风险管理的原则,以套期保值为目的,主要选择流动性好、交易活跃
的股指期货合约。本基金力争利用股指期货的杠杆作用,降低申购赎回时现金资产对投资组合的
影响及投资组合仓位调整的交易成本,达到稳定投资组合资产净值的目的。

5.10 报告期末本基金投资的国债期货交易情况说明
5.10.1 本期国债期货投资政策
      本基金基金合同的投资范围尚未包含国债期货投资。

5.10.2 报告期末本基金投资的国债期货持仓和损益明细
注:本基金基金合同的投资范围尚未包含国债期货投资。

5.10.3 本期国债期货投资评价
本基金基金合同的投资范围尚未包含国债期货投资。

5.11 投资组合报告附注
5.11.1
    本基金投资的前十名证券中本期没有发行主体被监管部门立案调查的、或在报告编制日前一
年内受到公开谴责、处罚的证券。

5.11.2
      本基金投资的前十名证券没有超出基金合同规定的证券备选库。

5.11.3 其他资产构成
 序号                     名称                           金额(人民币元)
  1      存出保证金                                                             185,823.06
  2      应收证券清算款                                                                    -
  3      应收股利                                                                          -
  4      应收利息                                                                  3,753.83

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                                                                鹏华创业板分级 2018 年第 4 季度报告


  5       应收申购款                                                                   270,243.50
  6       其他应收款                                                                              -
  7       待摊费用                                                                                -
  8       其他                                                                                    -
  9       合计                                                                         459,820.39

5.11.4 报告期末持有的处于转股期的可转换债券明细
注:无。

5.11.5 报告期末前十名股票中存在流通受限情况的说明
5.11.5.1 报告期末指数投资前十名股票中存在流通受限情况的说明
注:无。

5.11.5.2 报告期末积极投资前五名股票中存在流通受限情况的说明
注:无。

5.11.6 投资组合报告附注的其他文字描述部分
       由于四舍五入的原因,投资组合报告中数字分项之和与合计项之间可能存在尾差。


                               §6 开放式基金份额变动
                                                                                         单位:份
项目                          创业板分级                      创业板 A                   创业板 B
报告期期初基金
                           205,344,414.82            68,778,331.00                68,778,331.00
份额总额
报告期期间基金
                            43,667,964.34                            -                           -
总申购份额
减 :报告期 期间
                           104,193,954.62                            -                           -
基金总赎回份额
报告期期间基金
拆分变动份额
                            -4,611,650.73                 3,260,737.00              3,260,737.00
(份额减少以
"-"填列)
报告期期末基金
                           140,206,773.81            72,039,068.00                72,039,068.00
份额总额
注:     拆分变动份额为本基金三级份额之间的配对转换份额及定期折算变动份额。


                     §7 基金管理人运用固有资金投资本基金情况

7.1 基金管理人持有本基金份额变动情况
注:无。

7.2 基金管理人运用固有资金投资本基金交易明细
注: 无。
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                                                         鹏华创业板分级 2018 年第 4 季度报告



                     §8 影响投资者决策的其他重要信息

8.1 报告期内单一投资者持有基金份额比例达到或超过 20%的情况

注:无。

8.2 影响投资者决策的其他重要信息
    无。


                                §9 备查文件目录

9.1 备查文件目录
    (一)《鹏华创业板指数分级证券投资基金基金合同》;

(二)《鹏华创业板指数分级证券投资基金托管协议》;

(三)《鹏华创业板指数分级证券投资基金 2018 年第 4 季度报告》(原文)。

9.2 存放地点
    深圳市福田区福华三路 168 号深圳国际商会中心第 43 层鹏华基金管理有限公司。

9.3 查阅方式
    投资者可在基金管理人营业时间内免费查阅,也可按工本费购买复印件,或通过本基金管理

人网站(http://www.phfund.com)查阅。

    投资者对本报告书如有疑问,可咨询本基金管理人鹏华基金管理有限公司,本公司已开通客

户服务系统,咨询电话:4006788999。


                                                               鹏华基金管理有限公司
                                                                   2019 年 01 月 21 日




                                     第 13 页 共 13 页
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