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建信沪深300指数(LOF)(165309)

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基金公告

建信沪深300指数(LOF):2018年半年度报告

公告日期:2018-08-25

建信沪深 300 指数证券投资基金(LOF)
          2018 年半年度报告

                  2018 年 6 月 30 日




      基金管理人:建信基金管理有限责任公司

      基金托管人:中国工商银行股份有限公司

      送出日期:2018 年 8 月 25 日
                                                        建信沪深 300 指数(LOF)2018 年半年度报告



                                §1 重要提示及目录


1.1 重要提示
    基金管理人的董事会、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的法律责任。本半年度报告已经三分之二

以上独立董事签字同意,并由董事长签发。

    基金托管人中国工商银行股份有限公司根据本基金合同规定,于 2018 年 8 月 23 日复核了本

报告中的财务指标、净值表现、利润分配情况、财务会计报告、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

基金的招募说明书及其更新。

    本报告中财务资料未经审计。

    本报告期自 2018 年 1 月 1 日起至 6 月 30 日止。




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1.2 目录
§1 重要提示及目录................................................................................................................................... 2

       1.1 重要提示...................................................................................................................................... 2

       1.2 目录.............................................................................................................................................. 3

§2 基金简介............................................................................................................................................... 6

       2.1 基金基本情况.............................................................................................................................. 6

       2.2 基金产品说明.............................................................................................................................. 6

       2.3 基金管理人和基金托管人 .......................................................................................................... 6

       2.4 信息披露方式.............................................................................................................................. 7

       2.5 其他相关资料.............................................................................................................................. 7

§3 主要财务指标和基金净值表现........................................................................................................... 8

       3.1 主要会计数据和财务指标 .......................................................................................................... 8

       3.2 基金净值表现.............................................................................................................................. 8

§4 管理人报告......................................................................................................................................... 10

       4.1 基金管理人及基金经理情况 .................................................................................................... 10

       4.2 管理人对报告期内本基金运作遵规守信情况的说明 ............................................................ 14

       4.3 管理人对报告期内公平交易情况的专项说明 ........................................................................ 14

       4.4 管理人对报告期内基金的投资策略和业绩表现的说明 ........................................................ 14

       4.5 管理人对宏观经济、证券市场及行业走势的简要展望 ........................................................ 15

       4.6 管理人对报告期内基金估值程序等事项的说明 .................................................................... 15

       4.7 管理人对报告期内基金利润分配情况的说明 ........................................................................ 16

§5 托管人报告......................................................................................................................................... 17

       5.1 报告期内本基金托管人遵规守信情况声明 ............................................................................ 17

       5.2 托管人对报告期内本基金投资运作遵规守信、净值计算、利润分配等情况的说明 ........ 17

       5.3 托管人对本半年度报告中财务信息等内容的真实、准确和完整发表意见 ........................ 17

§6 半年度财务会计报告(未经审计)................................................................................................. 18

       6.1 资产负债表................................................................................................................................ 18

       6.2 利润表........................................................................................................................................ 19

       6.3 所有者权益(基金净值)变动表 ............................................................................................ 20

       6.4 报表附注.................................................................................................................................... 21
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§7 投资组合报告..................................................................................................................................... 45

       7.1 期末基金资产组合情况 ............................................................................................................ 45

       7.2 期末按行业分类的股票投资组合 ............................................................................................ 45

       7.3 期末按公允价值占基金资产净值比例大小排序的所有股票投资明细 ................................ 47

       7.4 报告期内股票投资组合的重大变动 ........................................................................................ 55

       7.5 期末按债券品种分类的债券投资组合 .................................................................................... 57

       7.6 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 ............................ 57

       7.7 期末按公允价值占基金资产净值比例大小排序的所有资产支持证券投资明细 ................ 57

       7.8 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贵金属投资明细 ................ 57

       7.9 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 ............................ 57

       7.10 报告期末本基金投资的股指期货交易情况说明 .................................................................. 57

       7.11 报告期末本基金投资的国债期货交易情况说明 .................................................................. 58

       7.12 投资组合报告附注 .................................................................................................................. 58

§8 基金份额持有人信息......................................................................................................................... 60

       8.1 期末基金份额持有人户数及持有人结构 ................................................................................ 60

       8.2 期末上市基金前十名持有人 .................................................................................................... 60

       8.3 期末基金管理人的从业人员持有本基金的情况 .................................................................... 60

       8.4 期末基金管理人的从业人员持有本开放式基金份额总量区间的情况 ................................ 60

§9 开放式基金份额变动......................................................................................................................... 61

§10 重大事件揭示................................................................................................................................... 62

       10.1 基金份额持有人大会决议 ...................................................................................................... 62

       10.2 基金管理人、基金托管人的专门基金托管部门的重大人事变动 ...................................... 62

       10.3 涉及基金管理人、基金财产、基金托管业务的诉讼 .......................................................... 62

       10.4 基金投资策略的改变 .............................................................................................................. 62

       10.5 为基金进行审计的会计师事务所情况 .................................................................................. 62

       10.6 管理人、托管人及其高级管理人员受稽查或处罚等情况 .................................................. 62

       10.7 基金租用证券公司交易单元的有关情况 .............................................................................. 62

       10.8 其他重大事件.......................................................................................................................... 64

§11 备查文件目录 ................................................................................................................................... 66

       11.1 备查文件目录 .......................................................................................................................... 66
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11.2 存放地点 .................................................................................................................................. 66

11.3 查阅方式 .................................................................................................................................. 66




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                                                      建信沪深 300 指数(LOF)2018 年半年度报告



                                 §2       基金简介


2.1 基金基本情况
基金名称                                建信沪深 300 指数证券投资基金(LOF)
基金简称                                建信沪深 300 指数(LOF)
场内简称                                建信 300
基金主代码                              165309
基金运作方式                            上市契约型开放式(LOF)
基金合同生效日                          2009 年 11 月 5 日
基金管理人                              建信基金管理有限责任公司
基金托管人                              中国工商银行股份有限公司
报告期末基金份额总额                    446,492,329.51 份
基金合同存续期                          不定期
基金份额上市的证券交易所                深圳证券交易所
上市日期                                2009 年 11 月 30 日




2.2 基金产品说明
                                        本基金采取指数化投资方式,通过严格的投资程序约
投资目标                                束和数量化风险管理手段,力争实现跟踪偏离度和跟
                                        踪误差最小化。
                                        本基金采用被动式指数化投资策略。原则上股票投资
                                        组合的构建主要按照标的指数的成份股组成及其权重
投资策略
                                        来拟合、复制标的指数,并根据标的指数成份股及其
                                        权重的变动而进行相应调整。
                                        本基金的业绩比较基准为:95%×沪深 300 指数收益率
业绩比较基准
                                        +5%×商业银行税后活期存款利率。
                                        本基金属于采用指数化操作的股票型基金,其预期的
风险收益特征                            风险和收益高于货币市场基金、债券基金、混合型基
                                        金,为证券投资基金中的较高风险、较高收益品种。




2.3 基金管理人和基金托管人
             项目                       基金管理人                     基金托管人
                               建信基金管理有限责任公
名称                                                          中国工商银行股份有限公司
                               司
                    姓名       吴曙明                         郭明
信息披露负责人      联系电话   010-66228888                   (010)66105798
                    电子邮箱   xinxipilu@ccbfund.cn           custody@icbc.com.cn
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                               400-81-95533
客户服务电话                                                95588
                               010-66228000
传真                           010-66228001                 (010)66105799
                               北京市西城区金融大街 7       北京市西城区复兴门内大街 55
注册地址
                               号英蓝国际金融中心 16 层     号
                               北京市西城区金融大街 7       北京市西城区复兴门内大街 55
办公地址
                               号英蓝国际金融中心 16 层     号
邮政编码                       100033                       100140
法定代表人                     孙志晨                       易会满




2.4 信息披露方式
本基金选定的信息披露报纸名称             《中国证券报》、《上海证券报》、《证券时报》
登载基金半年度报告正文的管理人互联网
                                         http://www.ccbfund.cn
网址
基金半年度报告备置地点                   基金管理人和基金托管人的住所




2.5 其他相关资料
       项目                       名称                                办公地址
                                                         中国北京西城区金融大街 27 号投资
注册登记机构       中国证券登记结算有限责任公司
                                                         广场 22-23 层




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


3.1 主要会计数据和财务指标
                                                                              金额单位:人民币元
 3.1.1 期间数据和指标                          报告期(2018 年 1 月 1 日 - 2018 年 6 月 30 日 )
 本期已实现收益                                                                       17,609,989.87
 本期利润                                                                         -52,546,036.74
 加权平均基金份额本期利润                                                                  -0.1243
 本期加权平均净值利润率                                                                    -10.22%
 本期基金份额净值增长率                                                                    -10.45%
 3.1.2 期末数据和指标                                     报告期末( 2018 年 6 月 30 日 )
 期末可供分配利润                                                                     46,661,249.68
 期末可供分配基金份额利润                                                                   0.1045
 期末基金资产净值                                                                 493,153,579.19
 期末基金份额净值                                                                           1.1045
 3.1.3 累计期末指标                                       报告期末( 2018 年 6 月 30 日 )
 基金份额累计净值增长率                                                                     10.45%
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、期末可供分配利润的计算方法:如果期末未分配利润的未实现部分为正数,则期末可供分配利

润的金额为期末未分配利润的已实现部分;如果期末未分配利润的未实现部分为负数,则期末可

供分配利润的金额为期末未分配利润(已实现部分相抵未实现部分);

3、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,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 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
                            份额净值     业绩比较     业绩比较基
              份额净值
    阶段                    增长率标     基准收益     准收益率标         ①-③           ②-④
              增长率①
                              准差②       率③         准差④

 过去一个月        -6.23%      1.18%        -7.29%           1.22%            1.06%         -0.04%
 过去三个月        -8.21%      1.03%        -9.45%           1.08%            1.24%         -0.05%
 过去六个月       -10.45%      1.04%       -12.25%           1.10%            1.80%         -0.06%


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 过去一年        -0.67%     0.87%        -3.97%          0.90%            3.30%         -0.03%
 过去三年       -14.29%     1.45%       -20.19%          1.41%            5.90%          0.04%
 自 基金 合同
                 10.45%     1.41%         2.87%          1.40%            7.58%          0.01%
 生效起至今




3.2.2 自基金合同生效以来基金份额累计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




本报告期,本基金的投资组合比例符合基金合同的要求。




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                                 §4 管理人报告


4.1 基金管理人及基金经理情况


4.1.1 基金管理人及其管理基金的经验
    经中国证监会证监基金字[2005]158 号文批准,建信基金管理有限责任公司成立于 2005 年 9

月 19 日,注册资本 2 亿元。目前公司的股东为中国建设银行股份有限公司、信安金融服务公司、

中国华电集团资本控股有限公司,其中中国建设银行股份有限公司出资额占注册资本的 65%,信

安金融服务公司出资额占注册资本的 25%,中国华电集团资本控股有限公司出资额占注册资本的

10%。

    公司下设综合管理部、权益投资部、固定收益投资部、金融工程及指数投资部、专户投资部、

海外投资部、资产配置及量化投资部、交易部、研究部、创新发展部、市场营销部、专户理财部、

机构业务部、网络金融部、人力资源管理部、基金运营部、财务管理部、信息技术部、风险管理

部和内控合规部,以及深圳、成都、上海、北京、广州五家分公司和华东、西北、东北、武汉、

南京五个营销中心,并在上海设立了子公司--建信资本管理有限责任公司。自成立以来,公司秉

持“创新、诚信、专业、稳健、共赢”的核心价值观,恪守“持有人利益重于泰山”的原则,以

“建设财富生活”为崇高使命,坚持规范运作,致力成为“国际一流、国内领先的综合性资产管

理公司”。

    截至 2018 年 6 月 30 日,公司旗下有建信恒久价值混合型证券投资基金、建信优选成长混合

型证券投资基金、建信核心精选混合型证券投资基金、建信内生动力混合型证券投资基金、建信

双利策略主题分级股票型证券投资基金、建信社会责任混合型证券投资基金、建信优势动力混合

型证券投资基金(LOF)、建信创新中国混合型证券投资基金、建信改革红利股票型证券投资基金、

深证基本面 60 交易型开放式指数证券投资基金及其联接基金、上证社会责任交易型开放式证券投

资指数基金及其联接基金、建信沪深 300 指数证券投资基金(LOF)、建信深证 100 指数增强型证

券投资基金、建信中证 500 指数增强型证券投资基金、建信央视财经 50 指数分级发起式证券投资

基金、建信全球机遇混合型证券投资基金、建信新兴市场优选混合型证券投资基金、建信全球资

源混合型证券投资基金、建信优化配置混合型证券投资基金、建信积极配置混合型证券投资基金、

建信恒稳价值混合型证券投资基金、建信消费升级混合型证券投资基金、建信安心保本混合型证

券投资基金、建信健康民生混合型证券投资基金、建信稳定增利债券型证券投资基金、建信收益


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增强债券型证券投资基金、建信纯债债券型证券投资基金、建信安心回报定期开放债券型证券投

资基金、建信双息红利债券型证券投资基金、建信转债增强债券型证券投资基金、建信双债增强

债券型证券投资基金、建信安心回报两年定期开放债券型证券投资基金、建信稳定添利债券型证

券投资基金、建信信用增强债券型证券投资基金、建信周盈安心理财债券型证券投资基金、建信

双周安心理财债券型证券投资基金、建信月盈安心理财债券型证券投资基金、建信双月安心理财

债券型证券投资基金、建信嘉薪宝货币市场基金、建信货币市场基金、建信中小盘先锋股票型证

券投资基金、建信潜力新蓝筹股票型证券投资基金、建信现金添利货币市场基金、建信稳定得利

债券型证券投资基金、建信睿盈灵活配置混合型证券投资基金、建信信息产业股票型证券投资基

金、建信稳健回报灵活配置混合型证券投资基金、建信环保产业股票型证券投资基金、建信回报

灵活配置混合型证券投资基金、建信鑫安回报灵活配置混合型证券投资基金、建信新经济灵活配

置混合型证券投资基金、建信鑫丰回报灵活配置混合型证券投资基金、建信互联网+产业升级股票

型证券投资基金、建信大安全战略精选股票型证券投资基金、建信中证互联网金融指数分级发起

式证券投资基金、建信精工制造指数增强型证券投资基金、建信鑫利灵活配置混合型证券投资基

金、建信稳定丰利债券型证券投资基金、建信裕利灵活配置混合型证券投资基金、建信弘利灵活

配置混合型证券投资基金、建信目标收益一年期债券型证券投资基金、建信现代服务业股票型证

券投资基金、建信汇利灵活配置混合型证券投资基金、建信兴利灵活配置混合型证券投资基金、

建信现金增利货币市场基金、建信多因子量化股票型证券投资基金、建信现金添益交易型货币市

场基金、建信丰裕多策略灵活配置混合型证券投资基金、建信天添益货币市场基金、建信瑞丰添

利混合型证券投资基金、建信恒安一年定期开放债券型证券投资基金、建信睿享纯债债券型证券

投资基金、建信恒瑞一年定期开放债券型证券投资基金、建信恒远一年定期开放债券型证券投资

基金、建信睿富纯债债券型证券投资基金、建信鑫荣回报灵活配置混合型证券投资基金、建信稳

定鑫利债券型证券投资基金、建信鑫瑞回报灵活配置混合型证券投资基金、建信中国制造 2025

股票型证券投资基金、建信民丰回报定期开放混合型证券投资基金、建信瑞福添利混合型证券投

资基金、建信高端医疗股票型证券投资基金、建信中证政策性金融债 1-3 年指数证券投资基金

(LOF)、建信中证政策性金融债 8-10 年指数证券投资基金(LOF)、建信建信量化事件驱动股票型

证券投资基金、建信福泽安泰混合型基金中基金(FOF)、建信鑫稳回报灵活配置混合型证券投资

基金、建信上证 50 交易型开放式指数证券投资基金、建信鑫利回报灵活配置混合型证券投资基金、

建信龙头企业股票型证券投资基金、建信睿和纯债定期开放债券型发起式证券投资基金、建信创

业板交易型开放式指数证券投资基金及其联接基金、建信鑫泽回报灵活配置混合型证券投资基金、

建信智享添鑫定期开放混合型证券投资基金、建信睿丰纯债定期开放债券型发起式证券投资基金、
                                  第 11 页 共 66 页
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建信战略精选灵活配置混合型证券投资基金、建信 MSCI 中国 A 股国际通交易型开放式指数证券投

资基金及其联接基金,共计 101 只开放式基金,管理的基金净资产规模共计为 6,342.88 亿元。



4.1.2 基金经理(或基金经理小组)及基金经理助理简介
                       任本基金的基金经理(助理)
   姓名       职务               期限             证券从业年限             说明
                         任职日期          离任日期
                                                                         梁洪昀先生,金融工
                                                                         程及指数投资部总经
                                                                         理。特许金融分析师
                                                                         (CFA),博士。2003
                                                                         年 1 月至 2005 年 8
                                                                         月就职于大成基金管
                                                                         理有限公司,历任金
                                                                         融工程部研究员、规
                                                                         划发展部产品设计
                                                                         师、机构理财部高级
                                                                         经理。2005 年 8 月加
                                                                         入建信基金管理有限
                                                                         责任公司,历任研究
                                                                         部研究员、高级研究
                                                                         员、研究部总监助理、
            金融工程
                                                                         研究部副总监、投资
            及指数投
                                                                         管理部副总监、投资
            资部总经   2009 年 11 月
 梁洪昀                                -                15               管理部执行总监、金
            理、本基   5日
                                                                         融工程及指数投资部
            金的基金
                                                                         总监。2009 年 11 月 5
            经理
                                                                         日起任建信沪深 300
                                                                         指数证券投资基金
                                                                         (LOF)的基金经理;
                                                                         2010 年 5 月 28 日至
                                                                         2012 年 5 月 28 日任
                                                                         上证社会责任交易型
                                                                         开放式指数证券投资
                                                                         基金及其联接基金的
                                                                         基金经理;2011 年 9
                                                                         月 8 日至 2016 年 7
                                                                         月 20 日任深证基本
                                                                         面 60 交易型开放式
                                                                         指数证券投资基金
                                                                         (ETF)及其联接基金
                                                                         的基金经理;2012 年

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                                     3 月 16 日起任建信深
                                     证 100 指数增强型证
                                     券投资基金的基金经
                                     理;2015 年 3 月 25
                                     日起任建信双利策略
                                     主题分级股票型证券
                                     投资基金的基金经
                                     理;2015 年 7 月 31
                                     日起任建信中证互联
                                     网金融指数分级发起
                                     式证券投资基金的基
                                     金经理;2015 年 8 月
                                     6 日至 2016 年 10 月
                                     25 日任建信中证申
                                     万有色金属指数分级
                                     发起式证券投资基金
                                     的基金经理;2018 年
                                     2 月 6 日起任建信创
                                     业板交易型开放式指
                                     数证券投资基金的基
                                     金经理;2018 年 2 月
                                     7 日起任建信鑫泽回
                                     报灵活配置混合型证
                                     券投资基金的基金经
                                     理;2018 年 4 月 19
                                     日起任建信 MSCI 中
                                     国 A 股国际通交易型
                                     开放式指数证券投资
                                     基金的基金经理;
                                     2018 年 5 月 16 日起
                                     任建信 MSCI 中国 A
                                     股国际通交易型开放
                                     式指数证券投资基金
                                     发起式联接基金的基
                                     金经理;2018 年 6 月
                                     13 日起任建信创业
                                     板交易型开放式指数
                                     证券投资基金发起式
                                     联接基金的基金经
                                     理。




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4.2 管理人对报告期内本基金运作遵规守信情况的说明
    本报告期内,本基金管理人严格遵守《证券投资基金法》、《证券投资基金销售管理办法》、《公

开募集证券投资基金运作管理办法》、《证券投资基金信息披露管理办法》、基金合同和其他法律法

规、部门规章,依照诚实信用、勤勉尽责、安全高效的原则管理和运用基金资产,在认真控制投

资风险的基础上,为基金持有人谋求最大利益,没有发生违反法律法规的行为。



4.3 管理人对报告期内公平交易情况的专项说明


4.3.1 公平交易制度的执行情况
    为了公平对待投资人,保护投资人利益,避免出现不正当关联交易、利益输送等违法违规行

为,公司根据《证券投资基金法》、《证券投资基金管理公司内部控制指导意见》、《证券投资基金

公司公平交易制度指导意见》、《基金管理公司特定客户资产管理业务试点办法》等法律法规和公

司内部制度,制定和修订了《公平交易管理办法》、《异常交易管理办法》、《公司防范内幕交易管

理办法》、《利益冲突管理办法》等风险管控制度。公司使用的交易系统中设置了公平交易模块,

一旦出现不同基金同时买卖同一证券时,系统自动切换至公平交易模块进行操作,确保在投资管

理活动中公平对待不同投资组合,严禁直接或通过第三方的交易安排在不同投资组合之间进行利

益输送。



4.3.2 异常交易行为的专项说明
    本报告期内,本基金管理人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%的情况有 1 次,原因是投资组合投资策略需要,未导致不公

平交易和利益输送。



4.4 管理人对报告期内基金的投资策略和业绩表现的说明


4.4.1 报告期内基金投资策略和运作分析
    在报告期内,本基金根据基金合同规定,采取了对指数的被动复制策略,将年化跟踪误差和

日均跟踪偏离度控制在了基金合同约定的范围之内。

    在报告期内,基金投资组合中部分长期停牌股票的估值调整造成了单日跟踪偏离度的放大,

也增加了报告期整体的跟踪误差。
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    在报告期内,标的指数中工商银行和建设银行两只股票限于规定无法投资,而必须用其他股

票进行替代,这是基金跟踪误差的重要来源之一。本基金管理人以量化分析研究为基础,制定及

执行了相应的替代策略,并根据市场情况,对替代方案进行优化和调整,以尽可能降低这种不利

影响。

    除此之外,基金申赎、成份股分红等因素也对跟踪误差及偏离度产生了一定影响。本基金管

理人已通过选择适当的策略尽力克服这些不利因素。

    在报告期后期,沪深 300 指数进行了成份股调整。本基金积极应对,较好地控制了期间基金

组合的跟踪误差。




4.4.2 报告期内基金的业绩表现
    本报告期基金净值增长率-10.45%,波动率 1.04%,业绩比较基准收益率-12.25%,波动率 1.1%。



4.5 管理人对宏观经济、证券市场及行业走势的简要展望
    2018 年下半年,国际贸易摩擦、化解债务压力与保持宏观经济稳健增长之间的平衡、资管新

规细化与落实节奏等因素都将对资本市场的运行造成深刻影响。在经历了上半年的调整后,预计

股票市场总体波动性趋于缓和,但需要关注可能存在的事件冲击对于市场造成的影响。

    本管理人将根据基金合同,继续秉承被动复制策略,并以量化分析研究为基础,克服个别成

份股无法投资、基金日常申赎、成份股停牌等各种因素造成的不利影响,不断优化和改进量化模

型,将基金的跟踪误差及偏离度保持在较低水平。



4.6 管理人对报告期内基金估值程序等事项的说明
    本报告期内,本管理人根据中国证监会[2017]13 号文《中国证监会关于证券投资基金估值业

务的指导意见》等相关规定,继续加强和完善对基金估值的内部控制程序。

    本公司设立资产估值委员会,主要负责审核和决定受托资产估值相关事宜,确保受托资产估

值流程和结果公允合理。资产估值委员会由公司分管核算业务的高管、督察长、内控合规部、风

险管理部和资产核算部门负责人组成。分管投资、研究业务的公司高管、相关投资管理部门负责

人、相关研究部门负责人作为投资产品价值研究的专业成员出席资产估值委员会会议。

    资产估值委员会成员均为多年从事估值运作、证券行业研究、风险管理工作,熟悉业内法律

法规的专家型人员。
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    本公司基金经理参与讨论估值原则及方法,但对估值政策和估值方案不具备最终表决权。

    本公司参与估值流程的各方之间不存在任何的重大利益冲突。

    本公司根据《中国证券投资基金业协会估值核算工作小组关于 2015 年 1 季度固定收益品种的

估值处理标准》,与中债金融估值中心有限公司签署《中债信息产品服务协议》,并依据其提供的

中债收益率曲线及估值价格对公司旗下基金持有的银行间固定收益品种进行估值(适用非货币基

金)或影子定价(适用货币基金和理财类基金);对公司旗下基金持有的在证券交易所上市或挂牌

转让的固定收益品种(可转换债券、资产支持证券和私募债券除外),本公司采用中证指数有限公

司独立提供的债券估值价格进行估值。

    本公司与中证指数有限公司签署《流通受限股票流动性折扣委托计算协议》,并依据《证券投

资基金投资流通受限股票估值指引(试行)》和中证指数有限公司独立提供的流通受限股票流动性

折扣,对公司旗下基金持有的流通受限股票进行估值。



4.7 管理人对报告期内基金利润分配情况的说明
    本报告期内本基金未实施利润分配,符合相关法律法规及本基金合同中关于收益分配条款的

规定。




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                                 §5 托管人报告


5.1 报告期内本基金托管人遵规守信情况声明
    本报告期内,本基金托管人在对建信沪深 300 指数证券投资基金(LOF)的托管过程中,严格

遵守《证券投资基金法》及其他法律法规和基金合同的有关规定,不存在任何损害基金份额持有

人利益的行为,完全尽职尽责地履行了基金托管人应尽的义务。



5.2 托管人对报告期内本基金投资运作遵规守信、净值计算、利润分配等情况的说明
    本报告期内,建信沪深 300 指数证券投资基金(LOF)的管理人——建信基金管理有限责任公

司在建信沪深 300 指数证券投资基金(LOF)的投资运作、基金资产净值计算、基金份额申购赎回

价格计算、基金费用开支等问题上,不存在任何损害基金份额持有人利益的行为,在各重要方面

的运作严格按照基金合同的规定进行。本报告期内,建信沪深 300 指数证券投资基金(LOF)未进

行利润分配。



5.3 托管人对本半年度报告中财务信息等内容的真实、准确和完整发表意见
    本托管人依法对建信基金管理有限责任公司编制和披露的建信沪深 300 指数证券投资基金

(LOF)2018 年半年度报告中财务指标、净值表现、利润分配情况、财务会计报告、投资组合报

告等内容进行了核查,以上内容真实、准确和完整。




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                      §6 半年度财务会计报告(未经审计)


6.1 资产负债表
会计主体:建信沪深 300 指数证券投资基金(LOF)

报告截止日: 2018 年 6 月 30 日

                                                                                  单位:人民币元
                                                  本期末                       上年度末
            资 产            附注号
                                             2018 年 6 月 30 日            2017 年 12 月 31 日
 资 产:
 银行存款                   6.4.7.1                 42,291,096.12                  39,027,894.66
 结算备付金                                               303,532.08                              -
 存出保证金                                                57,278.23                    14,944.66
 交易性金融资产             6.4.7.2                452,456,980.83                 485,329,900.96
 其中:股票投资                                    452,456,980.83                 485,329,900.96
       基金投资                                                     -                             -
       债券投资                                                     -                             -
       资产支持证券投资                                             -                             -
       贵金属投资                                                   -                             -
 衍生金融资产               6.4.7.3                                 -                             -
 买入返售金融资产           6.4.7.4                                 -                             -
 应收证券清算款                                                     -                             -
 应收利息                   6.4.7.5                         9,365.26                     8,042.92
 应收股利                                                           -                             -
 应收申购款                                               423,559.81                   259,070.95
 递延所得税资产                                                     -                             -
 其他资产                   6.4.7.6                                 -                             -
 资产总计                                          495,541,812.33                 524,639,854.15
                                                  本期末                       上年度末
    负债和所有者权益         附注号
                                             2018 年 6 月 30 日            2017 年 12 月 31 日
 负 债:
 短期借款                                                           -                             -
 交易性金融负债                                                     -                             -
 衍生金融负债               6.4.7.3                                 -                             -
 卖出回购金融资产款                                                 -                             -
 应付证券清算款                                                     -                             -
 应付赎回款                                               826,795.63                 1,150,815.73
 应付管理人报酬                                           312,169.32                   329,866.03
 应付托管费                                                62,433.87                    65,973.20
 应付销售服务费                                                     -                             -
 应付交易费用               6.4.7.7                       856,728.92                   790,702.95

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                                                              建信沪深 300 指数(LOF)2018 年半年度报告


 应交税费                                                              -                             -
 应付利息                                                              -                             -
 应付利润                                                              -                             -
 递延所得税负债                                                        -                             -
 其他负债                    6.4.7.8                        330,105.40                     447,604.99
 负债合计                                              2,388,233.14                      2,784,962.90
 所有者权益:
 实收基金                    6.4.7.9                 446,492,329.51                   423,095,358.73
 未分配利润                  6.4.7.10                 46,661,249.68                     98,759,532.52
 所有者权益合计                                      493,153,579.19                   521,854,891.25
 负债和所有者权益总计                                495,541,812.33                   524,639,854.15
报告截止日 2018 年 6 月 30 日,基金份额净值 1.1045 元,基金份额总额 446,492,329.51 份。



6.2 利润表
会计主体:建信沪深 300 指数证券投资基金(LOF)

本报告期:2018 年 1 月 1 日至 2018 年 6 月 30 日

                                                                                      单位:人民币元
                                                            本期                  上年度可比期间
              项 目                    附注号       2018 年 1 月 1 日至        2017 年 1 月 1 日至 2017
                                                     2018 年 6 月 30 日             年 6 月 30 日
 一、收入                                               -49,527,871.25                  57,262,644.97
 1.利息收入                                                    177,351.40                  134,147.50
 其中:存款利息收入              6.4.7.11                      177,351.40                  134,065.52
       债券利息收入                                                        -                     81.98
       资产支持证券利息收入                                                -                         -
       买入返售金融资产收入                                                -                         -
       其他利息收入                                                        -                         -
 2.投资收益(损失以“-”填列)                              20,270,726.93                6,629,451.39
 其中:股票投资收益              6.4.7.12                   15,547,228.42                2,710,087.23
       基金投资收益                                                        -                         -
       债券投资收益              6.4.7.13                                  -                19,001.39
       资产支持证券投资收益      6.4.7.13.5                                -                         -
       贵金属投资收益            6.4.7.14                                  -                         -
       衍生工具收益              6.4.7.15                                  -                         -
       股利收益                  6.4.7.16                    4,723,498.51                3,900,362.77
 3.公允价值变动收益(损失以      6.4.7.17
                                                        -70,156,026.61                  50,459,056.70
 “-”号填列)
 4.汇兑收益(损失以“-”号填
                                                                           -                         -
 列)
 5.其他收入(损失以“-”号填     6.4.7.18
                                                               180,077.03                   39,989.38
 列)
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                                                           建信沪深 300 指数(LOF)2018 年半年度报告


 减:二、费用                                             3,018,165.49                  2,492,421.04
 1.管理人报酬                   6.4.10.2.1               1,917,624.84                  1,793,606.01
 2.托管费                       6.4.10.2.2                 383,525.00                    358,721.24
 3.销售服务费                   6.4.10.2.3                            -                           -
 4.交易费用                     6.4.7.19                   428,483.24                    121,090.93
 5.利息支出                                                           -                           -
 其中:卖出回购金融资产支出                                            -                           -
 6.税金及附加                                                         -                           -
 7.其他费用                     6.4.7.20                   288,532.41                    219,002.86
 三、利润总额(亏损总额以“-”
                                                        -52,546,036.74                 54,770,223.93
 号填列)
 减:所得税费用                                                        -                           -
 四、净利润(净亏损以“-”号
                                                        -52,546,036.74                 54,770,223.93
 填列)



6.3 所有者权益(基金净值)变动表

会计主体:建信沪深 300 指数证券投资基金(LOF)

本报告期:2018 年 1 月 1 日至 2018 年 6 月 30 日

                                                                                   单位:人民币元
                                                               本期
                                              2018 年 1 月 1 日至 2018 年 6 月 30 日
          项目
                                 实收基金                   未分配利润           所有者权益合计


一、期初所有者权益(基
                                 423,095,358.73               98,759,532.52       521,854,891.25
金净值)
二、本期经营活动产生的
基金净值变动数(本期利                             -         -52,546,036.74       -52,546,036.74
润)
三、本期基金份额交易产
生的基金净值变动数                23,396,970.78                  447,753.90            23,844,724.68
(净值减少以“-”号填列)
其中:1.基金申购款               173,074,400.33               38,189,627.27       211,264,027.60
       2.基金赎回款            -149,677,429.55               -37,741,873.37      -187,419,302.92
四、本期向基金份额持有
人 分 配利 润产 生的 基 金
                                                   -                        -                     -
净值变动(净值减少以“-”
号填列)
五、期末所有者权益(基
                                 446,492,329.51               46,661,249.68       493,153,579.19
金净值)
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                                                        建信沪深 300 指数(LOF)2018 年半年度报告


                                                   上年度可比期间
                                         2017 年 1 月 1 日至 2017 年 6 月 30 日
          项目
                                实收基金                未分配利润            所有者权益合计


一、期初所有者权益(基
                                465,745,060.44            -2,588,241.71        463,156,818.73
金净值)
二、本期经营活动产生的
基金净值变动数(本期利                        -           54,770,223.93           54,770,223.93
润)
三、本期基金份额交易产
生的基金净值变动数               -7,008,108.83              -795,691.22           -7,803,800.05
(净值减少以“-”号填列)
其中:1.基金申购款               59,342,667.99             2,285,999.96           61,628,667.95
       2.基金赎回款             -66,350,776.82            -3,081,691.18        -69,432,468.00
四、本期向基金份额持有
人 分 配利 润产 生的 基 金
                                              -                         -                      -
净值变动(净值减少以“-”
号填列)
五、期末所有者权益(基
                                458,736,951.61            51,386,291.00        510,123,242.61
金净值)



报表附注为财务报表的组成部分。

本报告 6.1 至 6.4 财务报表由下列负责人签署:

______张军红______             ______吴曙明______              ____丁颖____

基金管理人负责人             主管会计工作负责人              会计机构负责人



6.4 报表附注


6.4.1 基金基本情况
    建信沪深 300 指数证券投资基金(LOF)(以下简称“本基金”)经中国证券监督管理委员会(以

下简称“中国证监会”)证监许可[2009]第 882 号《关于核准建信沪深 300 指数证券投资基金(LOF)

募集的批复》核准,由建信基金管理有限责任公司依照《中华人民共和国证券投资基金法》和《建

信沪深 300 指数证券投资基金(LOF)基金合同》负责公开募集。本基金募集期限自 2009 年 9 月 21

日至 2009 年 10 月 30 日止。本基金为契约型开放式,存续期限不定,首次设立募集不包括认购资

金利息共募集 5,324,471,976.73 元,业经普华永道中天会计师事务所有限公司普华永道中天验字

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                                                         建信沪深 300 指数(LOF)2018 年半年度报告


(2009)第 233 号验资报告予以验证。经向中国证监会备案, 建信沪深 300 指数证券投资基金(LOF)

基金合同》于 2009 年 11 月 5 日正式生效,基金合同生效日的基金份额总额为 5,326,413,369.61

份基金份额,其中认购资金利息折合 1,941,392.88 份基金份额。本基金的基金管理人为建信基金

管理有限责任公司,基金托管人为中国工商银行股份有限公司。

       经深圳证券交易所(以下简称“深交所”)深证上字[2009]第 157 号文审核同意,本基金

59,552,590.00 份基金份额于 2009 年 11 月 30 日在深交所挂牌交易。未上市交易的基金份额托管

在场外,基金份额持有人可通过跨系统转托管业务将其转至深交所场内后即可上市流通。

       根据《中华人民共和国证券投资基金法》和《建信沪深 300 指数证券投资基金(LOF)基金合同》

的有关规定,本基金投资于具有良好流动性的金融工具,包括沪深 300 指数的成份股及其备选成

份股、新股、债券以及中国证监会允许基金投资的其他金融工具。本基金投资于沪深 300 指数成

份股、备选成份股的资产不低于基金资产净值的 90%,投资于现金或者到期日在一年以内的政府

债券不低于基金资产净值 5%。本基金力争控制本基金的净值增长率与业绩比较基准之间的日平均

跟踪误差不超过 0.35%,年跟踪误差不超过 4%。本基金业绩比较基准为 95%×沪深 300 指数收益

率 + 5%×商业银行税后活期存款利率。本基金的标的指数使用费由基金管理人建信基金管理有限

责任公司承担,不计入本基金费用。



6.4.2 会计报表的编制基础
       本基金的财务报表按照财政部于 2006 年 2 月 15 日及以后期间颁布的《企业会计准则-基本

准则》、各项具体会计准则及相关规定(以下合称“企业会计准则”)、中国证监会颁布的《证券投

资基金信息披露 XBRL 模板第 3 号<年度报告和半年度报告>》、中国证券投资基金业协会(以下简称

“中国基金业协会”)颁布的《证券投资基金会计核算业务指引》、《建信沪深 300 指数证券投资基

金(LOF)基金合同》和中国证监会、中国基金业协会发布的有关规定及允许的基金行业实务操作编

制。



6.4.3 遵循企业会计准则及其他有关规定的声明
       本基金 2018 年半年度财务报表符合企业会计准则的要求,真实、完整地反映了本基金 2018

年 6 月 30 日的财务状况以及 2018 年 1 月 1 日至 2018 年 6 月 30 日止期间的经营成果和基金净值

变动情况等有关信息。




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                                                       建信沪深 300 指数(LOF)2018 年半年度报告


6.4.4 本报告期所采用的会计政策、会计估计与最近一期年度报告相一致的说明

    本报告期所采用的会计政策、会计估计与最近一期年度报告相一致。

6.4.5 会计政策和会计估计变更以及差错更正的说明

6.4.5.1 会计政策变更的说明

    本基金本报告期未发生会计政策变更。

6.4.5.2 会计估计变更的说明

    本基金本报告期未发生会计估计变更

6.4.5.3 差错更正的说明

    本基金本报告期内未发生会计差错。



6.4.6 税项
    根据财政部、国家税务总局财税[1998]55 号《关于证券投资基金税收问题的通知》、财税

[2008]1 号《关于企业所得税若干优惠政策的通知》、财税[2012]85 号《关于实施上市公司股息红

利差别化个人所得税政策有关问题的通知》、财税[2014]81 号《财政部国家税务总局证监会关于

沪港股票市场交易互联互通机制试点有关税收政策的通知》、财税[2015]101 号《关于上市公司股

息红利差别化个人所得税政策有关问题的通知》、财税[2015]125 号《关于内地与香港基金互认有

关税收政策的通知》、财税[2016]36 号《关于全面推开营业税改征增值税试点的通知》、财税

[2016]46 号《关于进一步明确全面推开营改增试点金融业有关政策的通知》、财税[2016]70 号《关

于金融机构同业往来等增值税政策的补充通知》、财税[2016]127 号《财政部国家税务总局证监会

关于深港股票市场交易互联互通机制试点有关税收政策的通知》、财税[2016]140 号《关于明确金

融 房地产开发 教育辅助服务等增值税政策的通知》、财税[2017]2 号《关于资管产品增值税政策

有关问题的补充通知》、财税[2017]56 号《关于资管产品增值税有关问题的通知》、财税[2017]90

号《关于租入固定资产进项税额抵扣等增值税政策的通知》及其他相关财税法规和实务操作,主

要税项列示如下:

    (1)资管产品运营过程中发生的增值税应税行为,以资管产品管理人为增值税纳税人。资管产

品管理人运营资管产品过程中发生的增值税应税行为,暂适用简易计税方法,按照 3%的征收率缴

纳增值税。对资管产品在 2018 年 1 月 1 日前运营过程中发生的增值税应税行为,未缴纳增值税的,

不再缴纳;已缴纳增值税的,已纳税额从资管产品管理人以后月份的增值税应纳税额中抵减。


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                                                       建信沪深 300 指数(LOF)2018 年半年度报告


    对证券投资基金管理人运用基金买卖股票、债券的转让收入免征增值税,对国债、地方政府

债以及金融同业往来利息收入亦免征增值税。资管产品管理人运营资管产品提供的贷款服务,以

2018 年 1 月 1 日起产生的利息及利息性质的收入为销售额。资管产品管理人运营资管产品转让

2017 年 12 月 31 日前取得的基金、非货物期货,可以选择按照实际买入价计算销售额,或者以 2017

年最后一个交易日的基金份额净值、非货物期货结算价格作为买入价计算销售额。

    (2)对基金从证券市场中取得的收入,包括买卖股票、债券的差价收入,股票的股息、红利收

入,债券的利息收入及其他收入,暂不征收企业所得税。

    (3)对于内地投资者持有的基金类别,对基金取得的企业债券利息收入,应由发行债券的企业

在向基金支付利息时代扣代缴 20%的个人所得税。对基金从上市公司取得的股息红利所得,持股

期限在 1 个月以内(含 1 个月)的,其股息红利所得全额计入应纳税所得额;持股期限在 1 个月以

上至 1 年(含 1 年)的,暂减按 50%计入应纳税所得额;持股期限超过 1 年的,暂免征收个人所得

税。对基金持有的上市公司限售股,解禁后取得的股息、红利收入,按照上述规定计算纳税,持

股时间自解禁日起计算;解禁前取得的股息、红利收入继续暂减按 50%计入应纳税所得额。上述

所得统一适用 20%的税率计征个人所得税。

    对于香港市场投资者通过基金互认持有的基金类别,对基金取得的企业债券利息收入,应由

发行债券的企业在向该内地基金分配利息时按照 7%的税率代扣代缴所得税。对基金从上市公司取

得的股息红利所得,应由内地上市公司向该内地基金分配股息红利时按照 10%的税率代扣代缴所

得税。

    对基金通过沪港通/深港通投资香港联交所上市 H 股取得的股息红利,H 股公司应向中国证券

登记结算有限责任公司(以下简称“中国结算”)提出申请,由中国结算向 H 股公司提供内地个人

投资者名册,H 股公司按照 20%的税率代扣个人所得税。基金通过沪港通/深港通投资香港联交所

上市的非 H 股取得的股息红利,由中国结算按照 20%的税率代扣个人所得税。

    (4)基金卖出股票按 0.1%的税率缴纳股票交易印花税,买入股票不征收股票交易印花税。基

金通过沪港通/深港通买卖、继承、赠与联交所上市股票,按照香港特别行政区现行税法规定缴纳

印花税。

    (5)本基金的城市维护建设税、教育费附加和地方教育费附加等税费按照实际缴纳增值税额的

适用比例计算缴纳。




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6.4.7 重要财务报表项目的说明

6.4.7.1 银行存款

                                                                                     单位:人民币元
                                                                         本期末
                        项目
                                                                    2018 年 6 月 30 日
活期存款                                                                                 42,291,096.12
定期存款                                                                                            -
其中:存款期限 1 个月以内                                                                           -
        存款期限 1-3 个月                                                                           -
        存款期限 3 个月以上                                                                         -
其他存款                                                                                            -
合计:                                                                                   42,291,096.12



6.4.7.2 交易性金融资产

                                                                                     单位:人民币元
                                                           本期末
           项目                                       2018 年 6 月 30 日
                                  成本                  公允价值                 公允价值变动
 股票                          446,595,711.60          452,456,980.83                    5,861,269.23
 贵金属投资-金交所
                                              -                        -                            -
 黄金合约
           交易所市场                         -                        -                            -
 债券
           银行间市场                         -                        -                            -
           合计                               -                        -                            -
 资产支持证券                                 -                        -                            -
 基金                                         -                        -                            -
 其他                                         -                        -                            -
 合计                          446,595,711.60          452,456,980.83                    5,861,269.23



6.4.7.3 衍生金融资产/负债

无。

6.4.7.4 买入返售金融资产
6.4.7.4.1 各项买入返售金融资产期末余额

无。



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6.4.7.4.2 期末买断式逆回购交易中取得的债券

无。

6.4.7.5 应收利息

                                                                          单位:人民币元
                                                              本期末
                     项目
                                                         2018 年 6 月 30 日
应收活期存款利息                                                                   9,202.86
应收定期存款利息                                                                          -
应收其他存款利息                                                                          -
应收结算备付金利息                                                                   136.60
应收债券利息                                                                              -
应收资产支持证券利息                                                                      -
应收买入返售证券利息                                                                      -
应收申购款利息                                                                            -
应收黄金合约拆借孳息                                                                      -
其他                                                                                  25.80
合计                                                                               9,365.26



6.4.7.6 其他资产

无。

6.4.7.7 应付交易费用

                                                                          单位:人民币元
                                                                 本期末
                     项目
                                                            2018 年 6 月 30 日
交易所市场应付交易费用                                                           856,728.92
银行间市场应付交易费用                                                                    -
合计                                                                             856,728.92



6.4.7.8 其他负债

                                                                          单位:人民币元
                                                                本期末
                     项目
                                                           2018 年 6 月 30 日
应付券商交易单元保证金                                                                   -
应付赎回费                                                                         1,943.97
预提费用                                                                         263,455.91

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应付指数使用费                                                                          64,705.52
合计                                                                                   330,105.40



6.4.7.9 实收基金

                                                                            金额单位:人民币元
                                                             本期
                项目                        2018 年 1 月 1 日至 2018 年 6 月 30 日
                                     基金份额(份)                         账面金额
上年度末                                   423,095,358.73                       423,095,358.73
本期申购                                   173,074,400.33                       173,074,400.33
本期赎回(以"-"号填列)                     -149,677,429.55                      -149,677,429.55
- 基金拆分/份额折算前                                      -                                    -
基金拆分/份额折算变动份额                                  -                                    -
本期申购                                                   -                                    -
本期赎回(以"-"号填列)                                      -                                    -
本期末                                     446,492,329.51                       446,492,329.51
1、 申购含转换入份额,赎回含转换出份额;

2、 截至 2018 年 6 月 30 日止,本基金于深交所上市的基金份额为 3,677,095.00 份,托管在场外

   未上市交易的基金份额为 442,815,234.51 份。上市的基金份额登记在证券登记结算系统,可

   选择按市价流通或按基金份额净值申购或赎回;未上市的基金份额登记在注册登记系统,按

   基金份额净值申购或赎回。通过跨系统转登记可实现基金份额在两个系统之间的转换。

6.4.7.10 未分配利润

                                                                                单位:人民币元
         项目               已实现部分                 未实现部分             未分配利润合计
上年度末                      257,106,287.75           -158,346,755.23           98,759,532.52
本期利润                       17,609,989.87            -70,156,026.61          -52,546,036.74
本 期基 金份 额交 易
                               15,853,278.14            -15,405,524.24             447,753.90
产生的变动数
其中:基金申购款              109,416,598.55            -71,226,971.28           38,189,627.27
         基金赎回款           -93,563,320.41              55,821,447.04         -37,741,873.37
本期已分配利润                              -                           -                      -
本期末                        290,569,555.76           -243,908,306.08           46,661,249.68



6.4.7.11 存款利息收入

                                                                                单位:人民币元


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                                                              本期
                    项目
                                             2018 年 1 月 1 日至 2018 年 6 月 30 日
 活期存款利息收入                                                              174,262.04
 定期存款利息收入                                                                          -
 其他存款利息收入                                                                          -
 结算备付金利息收入                                                              2,132.40
 其他                                                                               956.96
 合计                                                                          177,351.40



6.4.7.12 股票投资收益
6.4.7.12.1 股票投资收益——买卖股票差价收入

                                                                           单位:人民币元
                                                                   本期
                    项目
                                                  2018 年 1 月 1 日至 2018 年 6 月 30 日
卖出股票成交总额                                                          135,779,975.42
减:卖出股票成本总额                                                      120,232,747.00
买卖股票差价收入                                                           15,547,228.42



6.4.7.13 债券投资收益
6.4.7.13.1 债券投资收益项目构成

无。

6.4.7.13.2 债券投资收益——买卖债券差价收入

无。

6.4.7.13.3 债券投资收益——赎回差价收入

无。

6.4.7.13.4 债券投资收益——申购差价收入

无。

6.4.7.13.5 资产支持证券投资收益

无。




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                                                   建信沪深 300 指数(LOF)2018 年半年度报告


6.4.7.14 贵金属投资收益
6.4.7.14.1 贵金属投资收益项目构成

无。



6.4.7.14.2 贵金属投资收益——买卖贵金属差价收入

无。

6.4.7.14.3 贵金属投资收益——赎回差价收入

无。

6.4.7.14.4 贵金属投资收益——申购差价收入

无。



6.4.7.15 衍生工具收益
6.4.7.15.1 衍生工具收益——买卖权证差价收入

无。

6.4.7.15.2 衍生工具收益 ——其他投资收益

无。

6.4.7.16 股利收益

                                                                         单位:人民币元
                                                              本期
                    项目
                                             2018 年 1 月 1 日至 2018 年 6 月 30 日
 股票投资产生的股利收益                                                      4,723,498.51
 基金投资产生的股利收益                                                                    -
 合计                                                                        4,723,498.51



6.4.7.17 公允价值变动收益

                                                                           单位:人民币元
                                                                   本期
                项目名称
                                                  2018 年 1 月 1 日至 2018 年 6 月 30 日
1.交易性金融资产                                                          -70,156,026.61
——股票投资                                                              -70,156,026.61

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                                                    建信沪深 300 指数(LOF)2018 年半年度报告


——债券投资                                                                                -
——资产支持证券投资                                                                        -
——贵金属投资                                                                              -
——其他                                                                                    -
2.衍生工具                                                                                  -
——权证投资                                                                                -
3.其他                                                                                      -
减: 应税金融商品公允价值变动产生的预估
                                                                                            -
       增值税
合计                                                                       -70,156,026.61



6.4.7.18 其他收入

                                                                          单位:人民币元
                                                                    本期
                     项目
                                                   2018 年 1 月 1 日至 2018 年 6 月 30 日
基金赎回费收入                                                                   174,713.37
基金转换费收入                                                                     5,363.66
合计                                                                             180,077.03

6.4.7.19 交易费用

                                                                          单位:人民币元
                                                                    本期
                     项目
                                                   2018 年 1 月 1 日至 2018 年 6 月 30 日
交易所市场交易费用                                                               428,483.24
银行间市场交易费用                                                                              -
合计                                                                             428,483.24



6.4.7.20 其他费用

                                                                            单位:人民币元
                                                                    本期
                     项目
                                                   2018 年 1 月 1 日至 2018 年 6 月 30 日
 审计费用                                                                        29,752.78
 信息披露费                                                                     148,723.39
 上市费用                                                                        29,752.78
 其他费用                                                                        13,500.00
 指数使用费                                                                      64,705.52
 银行费用                                                                         2,097.94
 合计                                                                           288,532.41
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6.4.8 或有事项、资产负债表日后事项的说明

6.4.8.1 或有事项

       无。

6.4.8.2 资产负债表日后事项

       无。



6.4.9 关联方关系

6.4.9.1 本报告期存在控制关系或其他重大利害关系的关联方发生变化的情况

       本报告期,存在控制关系或其他重大利害关系的关联方没有发生变化。

6.4.9.2 本报告期与基金发生关联交易的各关联方
                  关联方名称                                         与本基金的关系
 建 信 基 金 管 理 有 限 责 任 公 司 (“ 建 信 基
                                                    基金管理人、基金销售机构
 金”)
 中国工商银行股份有限公司(“中国工商
                                                    基金托管人、基金销售机构
 银行”)
 中国建设银行股份有限公司(“中国建设
                                                    基金管理人的股东、基金销售机构
 银行”)
 美国信安金融服务公司                               基金管理人的股东
 中国华电集团资本控股有限公司                       基金管理人的股东
 建信资本管理有限责任公司                           基金管理人的子公司
下述关联交易均在正常业务范围内按一般商业条款订立。



6.4.10 本报告期及上年度可比期间的关联方交易
       无。

6.4.10.1 通过关联方交易单元进行的交易
6.4.10.1.1 股票交易

无。

6.4.10.1.2 债券交易

无。


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6.4.10.1.3 债券回购交易

无。

6.4.10.1.4 权证交易

无。

6.4.10.1.5 应支付关联方的佣金

无。

6.4.10.2 关联方报酬
6.4.10.2.1 基金管理费

                                                                               单位:人民币元
                                      本期                          上年度可比期间
         项目             2018 年 1 月 1 日至 2018 年 6    2017 年 1 月 1 日至 2017 年 6 月 30
                                    月 30 日                                日
 当期发生的基金应支付
                                          1,917,624.84                           1,793,606.01
 的管理费
 其中:支付销售机构的客
                                            395,477.03                             400,912.14
 户维护费
1、支付基金管理人建信基金管理有限责任公司的管理人报酬按前一日基金资产净值 0.75%的年费

率计提,逐日累计至每月月底,按月支付。其计算公式为:日管理人报酬=前一日基金资产净值 X

0.75% / 当年天数;

2、客户维护费是指基金管理人与基金销售机构约定的用以向基金销售机构支付客户服务及销售活

动中产生的相关费用,该费用从基金管理人收取的基金管理费中列支,不属于从基金资产中列支

的费用项目。

6.4.10.2.2 基金托管费

                                                                               单位:人民币元
                                      本期                          上年度可比期间
         项目             2018 年 1 月 1 日至 2018 年 6    2017 年 1 月 1 日至 2017 年 6 月 30
                                    月 30 日                                日
 当期发生的基金应支付
                                            383,525.00                             358,721.24
 的托管费
支付基金托管人中国工商银行的托管费按前一日基金资产净值 0.15%的年费率计提,逐日累计至

每月月底,按月支付。其计算公式为:

日托管费=前一日基金资产净值 X 0.15% / 当年天数。

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6.4.10.2.3 销售服务费

无。

6.4.10.3 与关联方进行银行间同业市场的债券(含回购)交易

无。

6.4.10.4 各关联方投资本基金的情况
6.4.10.4.1 报告期内基金管理人运用固有资金投资本基金的情况

无。

6.4.10.4.2 报告期末除基金管理人之外的其他关联方投资本基金的情况

无。

6.4.10.5 由关联方保管的银行存款余额及当期产生的利息收入

                                                                                 单位:人民币元
                                  本期                              上年度可比期间
       关联方
                 2018 年 1 月 1 日至 2018 年 6 月 30 日   2017 年 1 月 1 日至 2017 年 6 月 30 日
         名称
                     期末余额         当期利息收入           期末余额           当期利息收入
工商银行:活期
                    42,291,096.12          174,262.04       35,072,830.94              132,629.69
存款
本基金的银行存款由基金托管人中国工商银行保管,按银行同业利率计息。

6.4.10.6 本基金在承销期内参与关联方承销证券的情况

本基金本报告期内及上年度可比期间未发生承销期内参与关联方承销证券的情况。

6.4.10.7 其他关联交易事项的说明

       无。

6.4.11 利润分配情况
本基金本报告期内未实施利润分配。



6.4.12 期末(2018 年 6 月 30 日)本基金持有的流通受限证券

6.4.12.1 因认购新发/增发证券而于期末持有的流通受限证券

                                                                              金额单位:人民币元
6.4.12.1.1 受限证券类别:股票
 证券 证券 成功 可流 流通受 认购 期末估     数量                     期末        期末估值
                                                                                          备注
 代码 名称 认购日 通日 限类型 价格 值单价 (单位:                 成本总额        总额
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                                                                 建信沪深 300 指数(LOF)2018 年半年度报告


                                                                股)
            2018 年 2018
       江苏                 新股流
603693      6 月 25 年 7 月                 9.00       9.00       5,384     48,456.00 48,456.00         -
       新能                 通受限
            日      3日
            2018 年 2018
       东方                 新股流
603706      6 月 29 年 7 月        13.09            13.09         1,765     23,103.85 23,103.85         -
       环宇                 通受限
            日      9日
            2018 年 2018
       芯能                 新股流
603105      6 月 29 年 7 月                 4.83       4.83       3,410     16,470.30 16,470.30         -
       科技                 通受限
            日      9日



基金可使用以基金名义开设的股票账户,选择网上或者网下一种方式进行新股申购。其

中基金作为一般法人或战略投资者认购的新股,根据基金与上市公司所签订申购协议的

规定,在新股上市后的约定期限内不能自由转让;基金作为个人投资者参与网上认购获

配的新股,从新股获配日至新股上市日之间不能自由转让。

6.4.12.2 期末持有的暂时停牌等流通受限股票

                                                                                    金额单位:人民币元

         股           停
                            期末             复牌
股票代 票 停牌 牌                   复牌                                  期末
                           估值单           开盘单 数量(股)                       期末估值总额 备注
  码     名 日期 原                 日期                               成本总额
                             价                价
         称           因

                      重

         中   2018 大               2018

         国   年5 资                 年8
601390                       7.47               7.25      218,818      1,993,607.18 1,634,570.46        -
         中   月7 产                月 20

         铁   日      重              日

                      组

                      重
         海   2018                  2018
                      大
         航   年1                    年7
600221                资     3.23               2.91      474,236      1,619,551.79 1,531,782.28        -
         控   月 10                 月 20
                      产
         股   日                      日
                      重

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                                                            建信沪深 300 指数(LOF)2018 年半年度报告



                   组

                   重

              2018 大
         康
              年6 资
002450 得                17.08     -           -      89,360     1,322,703.45 1,526,268.80         -
              月4 产
         新
              日   重

                   组

                   重

         上   2018 大

         海   年2 资
002252                   19.52     -           -      65,983     1,373,991.72 1,287,988.16         -
         莱   月 23 产

         士   日   重

                   组

                   重

         信   2016 大

         威   年 12 资
600485                   14.59     -           -      66,949     1,582,730.94     976,785.91       -
         集   月 27 产

         团   日   重

                   组

         上   2018 重            2018

         海   年6 大             年8
601727                    6.34              5.71     148,785     1,475,026.48     943,296.90       -
         电   月6 事             月7

         气   日   项             日

                   重

         中   2018 大

         天   年5 资
000540                    4.87     -           -     184,950       822,274.01     900,706.50       -
         金   月 18 产

         融   日   重

                   组


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                                                             建信沪深 300 指数(LOF)2018 年半年度报告



         三   2018 重            2018

         聚   年6 大              年7
300072                   23.28              18.38      36,960     1,152,070.92     860,428.80       -
         环   月 18 事           月 10

         保   日   项              日

                   重

         东   2018 大

         方   年5 资
002310                   15.03      -           -      56,500       899,186.34     849,195.00       -
         园   月 25 产

         林   日   重

                   组

                   重

         渤   2018 大            2018

         海   年1 资              年7
000415                    5.84               5.20      74,600       540,137.57     435,664.00       -
         金   月 17 产           月 17

         控   日   重              日

                   组

                   重

         世   2018 大

         纪   年6 资
002602                   32.50      -           -      12,000       408,773.44     390,000.00       -
         华   月 12 产

         通   日   重

                   组

         必   2018 重            2018

         康   年6 大              年8
002411                   28.34              28.24      12,700       358,057.23     359,918.00       -
         股   月 18 事           月 24

         份   日   项              日

         神   2018 重            2018

000008 州     年6 大      4.96 年 8          4.46      71,300       587,787.92     353,648.00       -

         高   月8 事              月7


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                                                             建信沪深 300 指数(LOF)2018 年半年度报告



         铁   日   项              日

                   重

         海   2018 大

         南   年5 资
601118                    6.62      -           -      52,856       389,200.53     349,906.72       -
         橡   月 24 产

         胶   日   重

                   组

                   重

         美   2018 大            2018

         锦   年3 资              年7
000723                    5.43               4.89      47,600       338,811.53     258,468.00       -
         能   月 27 产           月 31

         源   日   重              日

                   组

                   重

         万   2017 大

         达   年7 资
002739                   38.03      -           -            70        6,112.60      2,662.10       -
         电   月4 产

         影   日   重

                   组

本基金截至 2018 年 6 月 30 日止持有以上因公布的重大事项可能产生重大影响而被暂时停牌的股

票,该类股票将在所公布事项的重大影响消除后,经交易所批准复牌。

6.4.12.3 期末债券正回购交易中作为抵押的债券
6.4.12.3.1 银行间市场债券正回购

无。

6.4.12.3.2 交易所市场债券正回购

       无。




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6.4.13 金融工具风险及管理

6.4.13.1 风险管理政策和组织架构

       本基金在日常经营活动中涉及的风险主要包括信用风险、流动性风险及市场风险。本基金管

理人制定政策和程序来识别及分析这些风险,运用特定的风险量化模型和指标评估风险损失的程

度,设定适当的风险限额及内部控制流程,通过可靠的管理及信息系统持续对这些风险进行监督

和检查评估,并通过相应决策,将风险控制在可承受的范围内。

       本基金风险管理的主要目标是通过事前监测、事中监控和事后评估,有效管理和控制上述风

险,追求基金资产长期稳定增值。

       本基金管理人建立了以董事会审计与风险控制委员会为核心的、由风险管理委员会、督察长、

内控合规部和相关业务部门构成的风险管理架构体系,并由独立于公司管理层和其他业务部门的

督察长和内控合规部对公司合规风险状况及各部门风险控制措施进行检查、监督及报告。

6.4.13.2 信用风险

       信用风险是指基金在交易过程中因交易对手未履行合约责任,或者基金所投资证券之发行人

出现违约、拒绝支付到期本息等情况,导致基金资产损失和收益变化的风险。

       本基金的活期存款存放于本基金托管人的帐户,与该机构存款相关的信用风险不重大。本基

金在交易所进行的交易均以中国证券登记结算有限责任公司为交易对手完成证券交收和款项清

算,违约风险可能性很小。在定期存款和银行间同业市场交易前均对交易对手进行信用评估并对

证券交割方式进行限制以控制相应的信用风险。

       本基金的基金管理人建立了信用产品投资流程,通过对投资品种信用等级评估来控制证券发

行人的信用风险,且通过分散化投资以分散信用风险。

       本基金债券投资的信用评级情况按《中国人民银行信用评级管理指导意见》设定的标准统计

及汇总。按信用评级列示的债券、资产支持证券和同业存单的投资情况如下表所示,如无表格,

则本基金于本期末及上年年末未持有除国债、央行票据、政策性金融债以外的债券。

6.4.13.2.1 按短期信用评级列示的债券投资

无。

6.4.13.2.2 按短期信用评级列示的资产支持证券投资

无。




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                                                        建信沪深 300 指数(LOF)2018 年半年度报告


6.4.13.2.3 按短期信用评级列示的同业存单投资

无。

6.4.13.2.4 按长期信用评级列示的债券投资

无。

6.4.13.2.5 按长期信用评级列示的资产支持证券投资

无。

6.4.13.2.6 按长期信用评级列示的同业存单投资

无。

6.4.13.3 流动性风险

       流动性风险是指基金管理人未能以合理价格及时变现基金资产以支付投资者赎回款项的风

险。

       公司建立了健全有效的流动性风险内部控制体系,对流动性风险管理的组织架构、职责分工

以及指标监控体系进行了明确规定,同时建立了以流动性风险为核心的压力测试体系,由独立的

风险管理部门负责压力测试的实施,多维度对投资组合流动性风险进行管控。

6.4.13.3.1 金融资产和金融负债的到期期限分析

无。

6.4.13.3.2 报告期内本基金组合资产的流动性风险分析

       在日常运作中,本基金严格按照相关法律法规要求、基金合同约定的投资范围与比例限制实

施投资管理,确保投资组合资产变现能力与投资者赎回需求保持动态平衡。

       在资产端,本基金遵循组合管理、分散投资的基本原则,主要投资于基金合同约定的具有良

好流动性的金融工具。基金管理人对基金持有资产的集中度、高流动性资产比例、流动性受限资

产比例、逆回购分布等指标进行监控,定期开展压力测试,持续对投资组合流动性水平进行监测

与评估。

       在负债端,基金管理人建立了投资者申购赎回管理机制,结合市场形势对投资者申购赎回情

况进行分析,合理控制投资组合持有人结构。在极端情形下,投资组合面临巨额赎回时,基金管

理人将根据相关法律法规要求以及基金合同的约定,审慎利用流动性风险管理工具处理赎回申请,

保障基金持有人利益。

       本报告期内,本基金未发生重大流动性风险事件。
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                                                         建信沪深 300 指数(LOF)2018 年半年度报告


6.4.13.4 市场风险

    市场风险是指基金所持金融工具的公允价值或未来现金流量因所处市场各类价格因素的变动

而发生波动的风险,包括利率风险、外汇风险和其他价格风险。

6.4.13.4.1 利率风险

    利率风险是指金融工具的公允价值或现金流量受市场利率变动而发生波动的风险。利率敏感

性金融工具面临由于市场利率上升而导致公允价值下降的风险,其中浮动利率类金融工具还面临

每个付息期间结束根据市场利率重新定价时对于未来现金流影响的风险。

    本基金持有的利率敏感性资产主要为银行存款、结算备付金和买入返售金融资产等,其余大

部分金融资产和金融负债不计息,因此本基金的收入及经营活动的现金流量在很大程度上独立于

市场利率变化。本基金的基金管理人定期对本基金面临的利率敏感性缺口进行监控,并通过调整

投资组合的久期等方法对利率风险进行管理。

6.4.13.4.1.1 利率风险敞口

                                                                                  单位:人民币元
           本期末
                             1 年以内       1-5 年       5 年以上    不计息         合计
      2018 年 6 月 30 日
            资产
          银行存款          42,291,096.12       0.00            -             - 42,291,096.12

         结算备付金            303,532.08            -          -             -     303,532.08

         存出保证金            57,278.23             -          -             -      57,278.23

       交易性金融资产                   -            -          - 452,456,980.83452,456,980.83

        衍生金融资产                    -            -          -             -            0.00

      买入返售金融资产              0.00        0.00            -             -            0.00

       应收证券清算款                   -            -          -          0.00            0.00

          应收利息                      -            -          -      9,365.26       9,365.26

          应收股利                      -            -          -          0.00            0.00

         应收申购款             1,799.88             -          -    421,759.93     423,559.81

          其他资产                      -            -          -          0.00            0.00

          资产总计          42,653,706.31       0.00         0.00 452,888,106.02495,541,812.33
            负债
     卖出回购金融资产款             0.00        0.00            -             -            0.00
          短期借款                      -            -          -             -            0.00
       交易性金融负债                   -            -          -             -            0.00
        衍生金融负债                    -            -          -             -            0.00
       应付证券清算款                   -            -          -          0.00            0.00

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   应付赎回款                       -               -            -     826,795.63      826,795.63
  应付管理人报酬                    -               -            -     312,169.32      312,169.32
   应付托管费                       -               -            -     62,433.87           62,433.87
  应付销售服务费                    -               -            -          0.00               0.00
   应付交易费用                     -               -            -     856,728.92      856,728.92
    应交税费                        -               -            -          0.00               0.00
    应付利息                        -               -            -          0.00               0.00
    应付利润                        -               -            -          0.00               0.00
    其他负债                        -               -            -     330,105.40      330,105.40
    负债总计                      0.00            0.00        0.00   2,388,233.14    2,388,233.14
  利率敏感度缺口      42,653,706.31               0.00        0.00 450,499,872.88493,153,579.19
    上年度末
                      1 年以内           1-5 年          5 年以上 不计息            合计
2017 年 12 月 31 日
       资产
    银行存款          39,027,894.66               0.00           -             - 39,027,894.66
   结算备付金                     0.00              -            -             -               0.00
   存出保证金             14,944.66                 -            -             -           14,944.66
  交易性金融资产                    -               -            - 485,329,900.96485,329,900.96
   衍生金融资产                     -               -            -             -               0.00
 买入返售金融资产                 0.00            0.00           -             -               0.00
  应收证券清算款                    -               -            -          0.00               0.00
    应收利息                        -               -            -      8,042.92            8,042.92
    应收股利                        -               -            -          0.00               0.00
   应收申购款                    99.40              -            -     258,971.55      259,070.95
    其他资产                        -               -            -          0.00               0.00
    资产总计          39,042,938.72               0.00        0.00 485,596,915.43524,639,854.15
       负债
卖出回购金融资产款                0.00            0.00           -             -               0.00
    短期借款                        -               -            -             -               0.00
  交易性金融负债                    -               -            -             -               0.00
   衍生金融负债                     -               -            -             -               0.00
  应付证券清算款                    -               -            -          0.00               0.00
   应付赎回款                       -               -            -   1,150,815.73    1,150,815.73
  应付管理人报酬                    -               -            -     329,866.03      329,866.03
   应付托管费                       -               -            -     65,973.20           65,973.20
  应付销售服务费                    -               -            -          0.00               0.00
   应付交易费用                     -               -            -     790,702.95      790,702.95
    应交税费                        -               -            -          0.00               0.00
    应付利息                        -               -            -          0.00               0.00
    应付利润                        -               -            -          0.00               0.00
    其他负债                        -               -            -     447,604.99      447,604.99
    负债总计                      0.00            0.00        0.00   2,784,962.90    2,784,962.90
  利率敏感度缺口      39,042,938.72               0.00        0.00 482,811,952.53521,854,891.25

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表中所示为本基金资产及负债的账面价值,并按照合约规定的利率重新定价日或到期日孰早者予

以分类。

6.4.13.4.1.2 利率风险的敏感性分析

于本期末,本基金未持有交易性债券投资,因此市场利率的变动对于本基金资产净值无重大影响

(上年末:同)。

6.4.13.4.2 外汇风险

    外汇风险是指金融工具的公允价值或未来现金流量因外汇汇率变动而发生波动的风险。本基

金的所有资产及负债以人民币计价,无重大外汇风险。

6.4.13.4.3 其他价格风险

    其他价格风险是指基金所持金融工具的公允价值或未来现金流量因除市场利率和外汇汇率以

外的市场价格因素变动而发生波动的风险。本基金主要投资于证券交易所上市或银行间同业市场

交易的股票和债券,所面临的其他价格风险来源于单个证券发行主体自身经营情况或特殊事项的

影响,也可能来源于证券市场整体波动的影响。

    本基金为以完全复制为目标的被动型指数基金,按照成份股在沪深 300 指数中的基准权重构

建指数化投资组合。当预期成份股发生调整和成份股发生配股、增发、分红等行为时,以及因基

金的申购和赎回对本基金跟踪标的指数的效果可能带来影响时,基金管理人会对投资组合进行适

当调整,以便实现对跟踪误差的有效控制。

    本基金通过投资组合的分散化降低其他价格风险。本基金投资于沪深 300 指数成份股、备选

成份股的资产不低于基金资产净值的 90%,投资于现金或者到期日在一年以内的政府债券不低于

基金资产净值 5%。此外,本基金的基金管理人每日对本基金所持有的证券价格实施监控,定期运

用多种定量方法对基金进行风险度量,及时可靠地对风险进行跟踪和控制。

6.4.13.4.3.1 其他价格风险敞口

                                                                        金额单位:人民币元
                                     本期末                           上年度末
                                2018 年 6 月 30 日                2017 年 12 月 31 日
                                                 占基金
           项目                                                                     占基金资
                                                 资产净
                              公允价值                          公允价值            产净值比
                                                 值比例
                                                                                    例(%)
                                                 (%)
交易性金融资产-股票投资        452,456,980.83        91.75       485,329,900.96          93.00
交易性金融资产-基金投资                     -            -                     -              -
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交易性金融资产-债券投资                           -             -                      -            -
交易性金融资产-贵金属投
                                                   -             -                      -            -

衍生金融资产-权证投资                             -             -                      -            -
其他                                               -             -                      -            -
合计                               452,456,980.83           91.75        485,329,900.96         93.00



6.4.13.4.3.2 其他价格风险的敏感性分析

                                                           对资产负债表日基金资产净值的
                                                           影响金额(单位:人民币元)
                     相关风险变量的变动
                                              本期末( 2018 年 6 月        上年度末( 2017 年 12 月
    分析
                                                    30 日 )                       31 日 )
                       业绩比较基准上升 5%              23,514,520.62                 25,603,578.79
                       业绩比较基准下降 5%             -23,514,520.62               -25,603,578.79



6.4.13.4.4 采用风险价值法管理风险

无。



6.4.14 有助于理解和分析会计报表需要说明的其他事项
       (1)公允价值

       (a)金融工具公允价值计量的方法

       公允价值计量结果所属的层次,由对公允价值计量整体而言具有重要意义的输入值所属的最

低层次决定:

       第一层次:相同资产或负债在活跃市场上未经调整的报价。

       第二层次:除第一层次输入值外相关资产或负债直接或间接可观察的输入值。

       第三层次:相关资产或负债的不可观察输入值。

       (b)持续的以公允价值计量的金融工具

       (i)各层次金融工具公允价值

       于 2018 年 06 月 30 日,本基金持有的以公允价值计量且其变动计入当期损益的金融资产中属

于第一层次的余额为 439,692,185.75 元,属于第二层次的余额为 22,881,986.79 元,无属于第三

层次的余额。(2017 年 06 月 30 日:第一层次 454,493,561.12 元,第二层次 22,881,986.79 元,

无属于第三层次的余额)。

       (ii)公允价值所属层次间的重大变动
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    对于证券交易所上市的股票和债券,若出现重大事项停牌或交易不活跃(包括涨跌停时的交易

不活跃)等情况,本基金不会于停牌日至交易恢复活跃日期间及交易不活跃期间将相关股票和债券

的公允价值列入第一层次;并根据估值调整中采用的不可观察输入值对于公允价值的影响程度,

确定相关股票和债券公允价值应属第二层次还是第三层次。

    (iii)第三层次公允价值余额和本期变动金额

    无。

    (c)非持续的以公允价值计量的金融工具

    于 2018 年 06 月 30 日,本基金未持有非持续的以公允价值计量的金融资产。

    (d)不以公允价值计量的金融工具

    不以公允价值计量的金融资产和负债主要包括应收款项和其他金融负债,其账面价值与公允

价值相差很小。




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                                §7 投资组合报告


7.1 期末基金资产组合情况
                                                                          金额单位:人民币元
                                                                                占基金总资产的
 序号                    项目                               金额
                                                                                  比例(%)
  1     权益投资                                             452,456,980.83               91.31
        其中:股票                                           452,456,980.83               91.31
  2     固定收益投资                                                        -                   -
        其中:债券                                                          -                   -
               资产支持证券                                                 -                   -
  3     贵金属投资                                                          -                   -
  4     金融衍生品投资                                                      -                   -
  5     买入返售金融资产                                                    -                   -
        其中:买断式回购的买入返售金融资产                                  -                   -
  6     银行存款和结算备付金合计                              42,594,628.20                8.60
  7     其他各项资产                                               490,203.30              0.10
  8     合计                                                 495,541,812.33              100.00




7.2 期末按行业分类的股票投资组合
7.2.1 期末指数投资按行业分类的境内股票投资组合
                                                                          金额单位:人民币元

 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                               653,562.00                        0.13
  B     采矿业                                    14,654,822.66                          2.97
  C     制造业                                   190,036,051.14                         38.53
  D     电力、热力、燃气及水生产和                12,075,769.94                          2.45
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        供应业
   E    建筑业                                    15,441,289.52                          3.13
   F    批发和零售业                               8,817,211.73                          1.79
   G    交通运输、仓储和邮政业                    14,517,488.92                          2.94
   H    住宿和餐饮业                                             -                           -
        信息传输、软件和信息技术服
   I                                              16,835,444.66                          3.41
        务业
   J    金融业                                   142,675,635.21                         28.93
   K    房地产业                                  20,865,313.28                          4.23
   L    租赁和商务服务业                           6,773,179.70                          1.37
   M    科学研究和技术服务业                                     -                           -
   N    水利、环境和公共设施管理业                 1,637,875.79                          0.33
   O    居民服务、修理和其他服务业                               -                           -
   P    教育                                                     -                           -
   Q    卫生和社会工作                             2,687,571.42                          0.54
   R    文化、体育和娱乐业                         1,908,486.00                          0.39
   S    综合                                                     -                           -
        合计                                     449,579,701.97                         91.16
以上行业分类以 2018 年 6 月 30 日的中国证监会行业分类标准为依据。



7.2.2 期末积极投资按行业分类的境内股票投资组合
                                                                          金额单位:人民币元
 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                               349,906.72                         0.07
   B    采掘业                                                   -                           -
   C    制造业                                     2,374,586.15                           0.48
        电力、热力、燃气及水生产
   D                                                    71,559.85                         0.01
        和供应业
   E    建筑业                                                   -                           -
   F    批发和零售业                                             -                           -
   G    交通运输、仓储和邮政业                                   -                           -
   H    住宿和餐饮业                                             -                           -
        信息传输、软件和信息技术
   I                                                             -                           -
        服务业
   J    金融业                                                   -                           -
   K    房地产业                                                 -                           -
   L    租赁和商务服务业                                         -                           -
   M    科学研究和技术服务业                                     -                           -
        水利、环境和公共设施管理
   N                                                    81,226.14                         0.02
        业
   O    居民服务、修理和其他服务                                 -                           -

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            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                                       2,877,278.86                           0.58
以上行业分类以 2018 年 6 月 30 日的中国证监会行业分类标准为依据。



7.2.3 报告期末按行业分类的港股通投资股票投资组合
本基金本报告期未投资港股通股票。

7.3 期末按公允价值占基金资产净值比例大小排序的所有股票投资明细


7.3.1 期末指数投资按公允价值占基金资产净值比例大小排序的所有股票投资明细
                                                                              金额单位:人民币元
                                                                                     占基金资产净
    序号    股票代码        股票名称     数量(股)               公允价值
                                                                                     值比例(%)
1          601318      中国平安                 458,832             26,878,378.56              5.45
2          600519      贵州茅台                  21,242             15,537,673.32              3.15
3          600036      招商银行                 476,383             12,595,566.52              2.55
4          000333      美的集团                 195,340             10,200,654.80              2.07
5          000651      格力电器                 203,826               9,610,395.90             1.95
6          600016      民生银行              1,154,982                8,084,874.00             1.64
7          601166      兴业银行                 552,101               7,950,254.40             1.61
8          601288      农业银行              2,241,899                7,712,132.56             1.56
9          600887      伊利股份                 257,472               7,183,468.80             1.46
10         600276      恒瑞医药                  93,590               7,090,378.40             1.44
11         601328      交通银行              1,200,620                6,891,558.80             1.40
12         000858      五 粮 液                  82,187               6,246,212.00             1.27
13         002415      海康威视                 156,308               5,803,716.04             1.18
14         600030      中信证券                 333,390               5,524,272.30             1.12
15         601988      中国银行              1,488,571                5,373,741.31             1.09
16         600104      上汽集团                 148,437               5,193,810.63             1.05
17         000002      万   科A                205,979               5,067,083.40             1.03
18         601668      中国建筑                 889,550               4,856,943.00             0.98
19         600000      浦发银行                 497,345               4,754,618.20             0.96
20         600900      长江电力                 279,520               4,511,452.80             0.91
21         601601      中国太保                 133,158               4,241,082.30             0.86

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22   601169   北京银行            626,965               3,780,598.95             0.77
23   600048   保利地产            301,408               3,677,177.60             0.75
24   000725   京东方A         1,004,119                3,554,581.26             0.72
25   002304   洋河股份             25,500               3,355,800.00             0.68
26   000001   平安银行            363,679               3,305,842.11             0.67
27   600837   海通证券            342,775               3,246,079.25             0.66
28   600309   万华化学             69,418               3,152,965.56             0.64
29   600690   青岛海尔            154,940               2,984,144.40             0.61
30   002027   分众传媒            310,872               2,975,045.04             0.60
31   600019   宝钢股份            377,344               2,939,509.76             0.60
32   600518   康美药业            126,393               2,891,871.84             0.59
33   600028   中国石化            445,263               2,889,756.87             0.59
34   600585   海螺水泥             84,674               2,834,885.52             0.57
35   601888   中国国旅             41,316               2,661,163.56             0.54
36   601229   上海银行            165,270               2,604,655.20             0.53
37   603288   海天味业             34,300               2,525,852.00             0.51
38   601818   光大银行            674,542               2,468,823.72             0.50
39   601766   中国中车            309,176               2,380,655.20             0.48
40   000538   云南白药             22,023               2,355,580.08             0.48
41   601211   国泰君安            159,184               2,346,372.16             0.48
42   600009   上海机场             40,773               2,262,086.04             0.46
43   002024   苏宁易购            157,759               2,221,246.72             0.45
44   601857   中国石油            274,330               2,115,084.30             0.43
45   601688   华泰证券            138,324               2,070,710.28             0.42
46   601006   大秦铁路            251,877               2,067,910.17             0.42
47   600015   华夏银行            271,564               2,023,151.80             0.41
48   300059   东方财富            153,186               2,018,991.48             0.41
49   600703   三安光电            103,608               1,991,345.76             0.40
50   002230   科大讯飞             61,681               1,978,109.67             0.40
51   601009   南京银行            251,504               1,944,125.92             0.39
52   600050   中国联通            394,290               1,939,906.80             0.39
53   002008   大族激光             36,134               1,921,967.46             0.39
54   001979   招商蛇口            100,370               1,912,048.50             0.39
55   000568   泸州老窖             31,000               1,886,660.00             0.38
56   600919   江苏银行            293,400               1,880,694.00             0.38
57   002594   比亚迪               38,400               1,830,912.00             0.37
58   002475   立讯精密             80,581               1,816,295.74             0.37
59   000338   潍柴动力            205,104               1,794,660.00             0.36
60   600196   复星医药             42,563               1,761,682.57             0.36
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61   600031   三一重工            195,900               1,757,223.00             0.36
62   002142   宁波银行            107,295               1,747,835.55             0.35
63   601186   中国铁建            194,903               1,680,063.86             0.34
64   601088   中国神华             83,765               1,670,274.10             0.34
65   000776   广发证券            125,371               1,663,673.17             0.34
66   002236   大华股份             73,590               1,659,454.50             0.34
67   300003   乐普医疗             45,200               1,657,936.00             0.34
68   601390   中国中铁            218,818               1,634,570.46             0.33
69   601628   中国人寿             70,574               1,589,326.48             0.32
70   601899   紫金矿业            439,592               1,586,927.12             0.32
71   600741   华域汽车             66,713               1,582,432.36             0.32
72   601989   中国重工            387,702               1,566,316.08             0.32
73   600221   海航控股            474,236               1,531,782.28             0.31
74   002450   康得新               89,360               1,526,268.80             0.31
75   600660   福耀玻璃             59,329               1,525,348.59             0.31
76   601336   新华保险             35,297               1,513,535.36             0.31
77   000963   华东医药             30,850               1,488,512.50             0.30
78   603799   华友钴业             15,000               1,462,050.00             0.30
79   600867   通化东宝             60,800               1,457,376.00             0.30
80   002466   天齐锂业             28,990               1,437,614.10             0.29
81   600436   片仔癀               12,700               1,421,511.00             0.29
82   601225   陕西煤业            169,383               1,392,328.26             0.28
83   300124   汇川技术             42,265               1,387,137.30             0.28
84   600958   东方证券            151,648               1,384,546.24             0.28
85   002044   美年健康             61,200               1,383,120.00             0.28
86   601012   隆基股份             82,760               1,381,264.40             0.28
87   000100   TCL 集团            459,146               1,331,523.40             0.27
88   600999   招商证券             96,864               1,325,099.52             0.27
89   600352   浙江龙盛            110,210               1,317,009.50             0.27
90   600795   国电电力            499,400               1,308,428.00             0.27
91   300015   爱尔眼科             40,398               1,304,451.42             0.26
92   002456   欧菲科技             80,492               1,298,335.96             0.26
93   600340   华夏幸福             50,061               1,289,070.75             0.26
94   002252   上海莱士             65,983               1,287,988.16             0.26
95   002460   赣锋锂业             33,050               1,275,069.00             0.26
96   600029   南方航空            148,732               1,256,785.40             0.25
97   600886   国投电力            172,486               1,253,973.22             0.25
98   000166   申万宏源            286,409               1,251,607.33             0.25
99   600487   亨通光电             56,420               1,244,061.00             0.25
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100   601933   永辉超市            162,168               1,238,963.52             0.25
101   600406   国电南瑞             77,624               1,226,459.20             0.25
102   600271   航天信息             47,324               1,195,877.48             0.24
103   601155   新城控股             38,200               1,183,054.00             0.24
104   601607   上海医药             48,867               1,167,921.30             0.24
105   601901   方正证券            174,371               1,166,541.99             0.24
106   600011   华能国际            177,900               1,131,444.00             0.23
107   601111   中国国航            126,550               1,125,029.50             0.23
108   601985   中国核电            197,800               1,117,570.00             0.23
109   300070   碧水源               79,635               1,109,315.55             0.22
110   000895   双汇发展             41,929               1,107,344.89             0.22
111   600516   方大炭素             45,400               1,106,852.00             0.22
112   600570   恒生电子             20,863               1,104,695.85             0.22
113   600115   东方航空            166,200               1,100,244.00             0.22
114   600089   特变电工            157,276               1,089,922.68             0.22
115   002202   金风科技             86,164               1,089,112.96             0.22
116   600066   宇通客车             56,236               1,079,168.84             0.22
117   601600   中国铝业            278,500               1,069,440.00             0.22
118   600111   北方稀土             92,276               1,050,100.88             0.21
119   601669   中国电建            194,418               1,042,080.48             0.21
120   000423   东阿阿胶             19,338               1,040,577.78             0.21
121   300408   三环集团             44,200               1,038,700.00             0.21
122   601377   兴业证券            196,520               1,035,660.40             0.21
123   300136   信维通信             33,300               1,023,309.00             0.21
124   600606   绿地控股            154,600               1,011,084.00             0.21
125   000069   华侨城A            139,010               1,005,042.30             0.20
126   600535   天士力               38,412                 991,797.84             0.20
127   600588   用友网络             40,205                 985,424.55             0.20
128   000413   东旭光电            162,500                 984,750.00             0.20
129   600383   金地集团             95,584                 974,000.96             0.20
130   600398   海澜之家             76,100                 969,514.00             0.20
131   000503   国新健康             30,456                 967,891.68             0.20
132   002736   国信证券            104,120                 947,492.00             0.19
133   601727   上海电气            148,785                 943,296.90             0.19
134   300122   智飞生物             20,300                 928,522.00             0.19
135   000768   中航飞机             58,584                 916,253.76             0.19
136   600522   中天科技            103,821                 914,663.01             0.19
137   600176   中国巨石             89,000                 910,470.00             0.18
138   601788   光大证券             82,749                 908,584.02             0.18
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139   600332   白云山               23,753                 903,801.65             0.18
140   000540   中天金融            184,950                 900,706.50             0.18
141   600010   包钢股份            579,311                 897,932.05             0.18
142   000783   长江证券            163,900                 889,977.00             0.18
143   600705   中航资本            190,060                 887,580.20             0.18
144   002572   索菲亚               27,300                 878,514.00             0.18
145   300072   三聚环保             36,960                 860,428.80             0.17
146   600893   航发动力             38,086                 850,079.52             0.17
147   002310   东方园林             56,500                 849,195.00             0.17
148   600068   葛洲坝              117,000                 843,570.00             0.17
149   600637   东方明珠             55,937                 842,411.22             0.17
150   002241   歌尔股份             82,450                 840,165.50             0.17
151   600085   同仁堂               23,230                 819,554.40             0.17
152   600177   雅戈尔              106,145                 817,316.50             0.17
153   600674   川投能源             93,200                 812,704.00             0.16
154   601877   正泰电器             36,400                 812,448.00             0.16
155   601998   中信银行            129,784                 805,958.64             0.16
156   600023   浙能电力            172,800                 805,248.00             0.16
157   300024   机器人               46,222                 804,262.80             0.16
158   601919   中远海控            161,710                 795,613.20             0.16
159   600739   辽宁成大             51,823                 786,673.14             0.16
160   000157   中联重科            189,885                 780,427.35             0.16
161   601198   东兴证券             58,400                 761,536.00             0.15
162   600018   上港集团            127,616                 760,591.36             0.15
163   002007   华兰生物             23,597                 758,879.52             0.15
164   601618   中国中冶            226,800                 755,244.00             0.15
165   000425   徐工机械            178,046                 754,915.04             0.15
166   600547   山东黄金             31,420                 751,566.40             0.15
167   002493   荣盛石化             72,700                 750,264.00             0.15
168   000625   长安汽车             82,573                 743,157.00             0.15
169   601800   中国交建             64,600                 735,794.00             0.15
170   600804   鹏博士               60,648                 727,776.00             0.15
171   601997   贵阳银行             58,400                 721,824.00             0.15
172   300144   宋城演艺             30,700                 721,450.00             0.15
173   000623   吉林敖东             39,348                 707,477.04             0.14
174   601018   宁波港              167,400                 704,754.00             0.14
175   600208   新湖中宝            182,094                 695,599.08             0.14
176   600362   江西铜业             43,873                 695,387.05             0.14
177   601555   东吴证券            101,618                 694,050.94             0.14
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178   600809   山西汾酒             11,000                 691,790.00             0.14
179   600926   杭州银行             62,000                 687,580.00             0.14
180   002065   东华软件             79,774                 686,056.40             0.14
181   002081   金 螳 螂             67,130                 678,013.00             0.14
182   002050   三花智控             35,900                 676,715.00             0.14
183   000786   北新建材             36,500                 676,345.00             0.14
184   603833   欧派家居              5,300                 675,909.00             0.14
185   601099   太平洋              288,745                 675,663.30             0.14
186   600816   安信信托             92,632                 670,655.68             0.14
187   300017   网宿科技             61,841                 662,317.11             0.13
188   600100   同方股份             75,273                 660,896.94             0.13
189   002294   信立泰               17,700                 657,909.00             0.13
190   002714   牧原股份             14,700                 653,562.00             0.13
191   002146   荣盛发展             73,658                 643,034.34             0.13
192   600482   中国动力             36,700                 640,415.00             0.13
193   000792   盐湖股份             58,950                 637,839.00             0.13
194   600109   国金证券             89,685                 637,660.35             0.13
195   600219   南山铝业            235,100                 637,121.00             0.13
196   000728   国元证券             85,507                 632,751.80             0.13
197   603858   步长制药             14,400                 616,176.00             0.12
198   002508   老板电器             20,100                 615,462.00             0.12
199   603993   洛阳钼业             97,200                 611,388.00             0.12
200   601333   广深铁路            143,600                 610,300.00             0.12
201   002558   巨人网络             25,640                 609,719.20             0.12
202   600297   广汇汽车            103,500                 606,510.00             0.12
203   002797   第一创业             88,980                 602,394.60             0.12
204   000630   铜陵有色            267,540                 591,263.40             0.12
205   600498   烽火通信             23,500                 583,975.00             0.12
206   600170   上海建工            188,568                 573,246.72             0.12
207   600438   通威股份             82,200                 567,180.00             0.12
208   000876   新 希 望             89,304                 566,187.36             0.11
209   601117   中国化学             83,500                 561,955.00             0.11
210   002673   西部证券             74,082                 559,319.10             0.11
211   000839   中信国安            116,150                 549,389.50             0.11
212   600549   厦门钨业             35,909                 545,098.62             0.11
213   600153   建发股份             60,010                 539,489.90             0.11
214   000709   河钢股份            179,900                 530,705.00             0.11
215   000826   启迪桑德             30,238                 528,560.24             0.11
216   002085   万丰奥威             55,500                 521,700.00             0.11
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217   002624   完美世界             16,700                 517,867.00             0.11
218   000060   中金岭南            105,834                 514,353.24             0.10
219   600977   中国电影             31,600                 506,864.00             0.10
220   002352   顺丰控股             11,200                 504,000.00             0.10
221   601633   长城汽车             51,040                 501,212.80             0.10
222   000983   西山煤电             66,700                 500,917.00             0.10
223   600489   中金黄金             73,006                 497,900.92             0.10
224   600038   中直股份             12,427                 496,955.73             0.10
225   600415   小商品城            115,210                 496,555.10             0.10
226   000961   中南建设             78,500                 495,335.00             0.10
227   601360   三六零               17,100                 494,190.00             0.10
228   600583   海油工程             93,558                 492,115.08             0.10
229   600188   兖州煤业             37,600                 490,304.00             0.10
230   600663   陆家嘴               31,000                 489,490.00             0.10
231   002500   山西证券             71,880                 484,471.20             0.10
232   601216   君正集团            142,900                 481,573.00             0.10
233   600118   中国卫星             24,969                 476,907.90             0.10
234   600820   隧道股份             79,900                 472,209.00             0.10
235   600346   恒力股份             32,100                 470,586.00             0.10
236   600157   永泰能源            263,143                 468,394.54             0.09
237   300433   蓝思科技             22,200                 465,756.00             0.09
238   601992   金隅集团            141,300                 463,464.00             0.09
239   600369   西南证券            119,520                 460,152.00             0.09
240   002470   金正大               66,656                 458,593.28             0.09
241   601228   广州港               78,700                 457,247.00             0.09
242   601881   中国银河             54,600                 443,898.00             0.09
243   002555   三七互娱             36,400                 442,260.00             0.09
244   000627   天茂集团             62,700                 440,154.00             0.09
245   600909   华安证券             76,700                 438,724.00             0.09
246   000415   渤海金控             74,600                 435,664.00             0.09
247   000898   鞍钢股份             78,100                 435,017.00             0.09
248   600008   首创股份            102,036                 430,591.92             0.09
249   000671   阳 光 城             68,600                 409,542.00             0.08
250   000402   金 融 街             50,587                 407,225.35             0.08
251   601021   春秋航空             11,570                 405,297.10             0.08
252   002074   国轩高科             28,800                 404,928.00             0.08
253   000559   万向钱潮             58,315                 396,542.00             0.08
254   002153   石基信息             13,539                 392,631.00             0.08
255   002602   世纪华通             12,000                 390,000.00             0.08
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256   600682   南京新百             23,500                 386,340.00             0.08
257   600376   首开股份             54,600                 383,838.00             0.08
258   000938   紫光股份              6,100                 381,860.00             0.08
259   600704   物产中大             72,955                 381,554.65             0.08
260   300251   光线传媒             37,200                 378,696.00             0.08
261   601898   中煤能源             77,500                 374,325.00             0.08
262   002385   大北农               89,800                 370,874.00             0.08
263   002411   必康股份             12,700                 359,918.00             0.07
264   300033   同花顺                9,100                 353,717.00             0.07
265   600688   上海石化             62,000                 352,780.00             0.07
266   600959   江苏有线             65,810                 335,631.00             0.07
267   601866   中远海发            134,363                 334,563.87             0.07
268   002601   龙蟒佰利             25,800                 333,594.00             0.07
269   600061   国投资本             35,800                 332,224.00             0.07
270   600339   中油工程             70,900                 318,341.00             0.06
271   601991   大唐发电            105,000                 318,150.00             0.06
272   601238   广汽集团             27,040                 301,225.60             0.06
273   601718   际华集团             74,400                 299,088.00             0.06
274   600373   中文传媒             23,254                 298,813.90             0.06
275   600372   中航电子             22,294                 291,159.64             0.06
276   000959   首钢股份             67,200                 276,192.00             0.06
277   601611   中国核建             33,300                 263,070.00             0.05
278   000723   美锦能源             47,600                 258,468.00             0.05
279   601958   金钼股份             40,941                 256,700.07             0.05
280   603160   汇顶科技              3,800                 246,582.00             0.05
281   601808   中海油服             25,000                 238,500.00             0.05
282   600025   华能水电             76,200                 231,648.00             0.05
283   002468   申通快递             12,900                 221,235.00             0.04
284   603260   合盛硅业              3,100                 218,767.00             0.04
285   002625   光启技术             18,170                 212,770.70             0.04
286   002925   盈趣科技              3,800                 210,444.00             0.04
287   601828   美凯龙               13,400                 204,752.00             0.04
288   001965   招商公路             23,500                 191,290.00             0.04
289   600233   圆通速递             14,300                 188,760.00             0.04
290   601108   财通证券             16,700                 188,376.00             0.04
291   600390   五矿资本             22,200                 172,050.00             0.03
292   002608   江苏国信             22,400                 154,560.00             0.03
293   601838   成都银行             16,800                 147,000.00             0.03
294   601212   白银有色             35,400                 144,786.00             0.03
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295        601878      浙商证券                      15,500                 130,200.00             0.03
296        002739      万达电影                           70                  2,662.10             0.00




7.3.2 期末积极投资按公允价值占基金资产净值比例大小排序的所有股票投资明细
                                                                                  金额单位:人民币元
                                                                                         占基金资产净
    序号   股票代码       股票名称           数量(股)               公允价值
                                                                                         值比例(%)
1          600485      信威集团                      66,949                 976,785.91             0.20
2          002129      中环股份                      65,082                 509,592.06             0.10
3          000008      神州高铁                      71,300                 353,648.00             0.07
4          601118      海南橡胶                      52,856                 349,906.72             0.07
5          600666      奥瑞德                        34,400                 135,536.00             0.03
6          300747      锐科激光                       1,543                 123,995.48             0.03
7          300745      欣锐科技                       1,304                 107,032.32             0.02
8          601330      绿色动力                       4,971                  81,226.14             0.02
9          603596      伯特利                         1,532                  52,118.64             0.01
10         603650      彤程新材                       2,376                  50,988.96             0.01
11         603693      江苏新能                       5,384                  48,456.00             0.01
12         002863      今飞凯达                       3,824                  33,345.28             0.01
13         603706      东方环宇                       1,765                  23,103.85             0.00
14         603105      芯能科技                       3,410                  16,470.30             0.00
15         603269      海鸥股份                          795                 15,073.20             0.00




7.4 报告期内股票投资组合的重大变动
7.4.1 累计买入金额超出期初基金资产净值 2%或前 20 名的股票明细
                                                                                  金额单位:人民币元
                                                                                    占期初基金资产净
    序号    股票代码            股票名称               本期累计买入金额
                                                                                      值比例(%)
1          601318                   中国平安                         7,994,241.00                  1.53
2          000002                      万科 A                        4,366,999.80                  0.84
3          600519                   贵州茅台                         3,901,425.00                  0.75
4          600036                   招商银行                         3,814,953.84                  0.73
5          603288                   海天味业                         2,837,322.30                  0.54
6          000333                   美的集团                         2,804,598.00                  0.54
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7          000651                 格力电器                       2,723,906.00                  0.52
8          600016                 民生银行                       2,516,343.00                  0.48
9          601166                 兴业银行                       2,511,295.00                  0.48
10         601288                 农业银行                       2,261,546.00                  0.43
11         601229                 上海银行                       2,177,690.64                  0.42
12         600887                 伊利股份                       2,071,570.00                  0.40
13         601328                 交通银行                       2,030,624.00                  0.39
14         002415                 海康威视                       1,666,566.00                  0.32
15         000858                   五粮液                       1,643,162.90                  0.31
16         600030                 中信证券                       1,616,374.00                  0.31
17         600867                 通化东宝                       1,606,165.17                  0.31
18         600276                 恒瑞医药                       1,584,585.16                  0.30
19         600000                 浦发银行                       1,555,874.99                  0.30
20         601988                 中国银行                       1,507,654.80                  0.29

上述买入金额为买入成交金额(成交单价乘以成交数量),不包括相关交易费用。



7.4.2 累计卖出金额超出期初基金资产净值 2%或前 20 名的股票明细
                                                                              金额单位:人民币元
                                                                                占期初基金资产净
    序号    股票代码        股票名称               本期累计卖出金额
                                                                                  值比例(%)
1          601318      中国平安                                  7,945,463.00                  1.52
2          000002      万科 A                                    3,936,415.71                  0.75
3          600519      贵州茅台                                  3,705,409.40                  0.71
4          600036      招商银行                                  3,547,553.47                  0.68
5          000333      美的集团                                  2,610,595.00                  0.50
6          000651      格力电器                                  2,569,561.00                  0.49
7          601166      兴业银行                                  2,333,571.09                  0.45
8          600016      民生银行                                  2,162,827.00                  0.41
9          000063      中兴通讯                                  1,987,516.08                  0.38
10         600887      伊利股份                                  1,977,318.83                  0.38
11         601288      农业银行                                  1,935,056.00                  0.37
12         601328      交通银行                                  1,839,313.00                  0.35
13         002415      海康威视                                  1,615,618.00                  0.31
14         600030      中信证券                                  1,550,374.00                  0.30
15         600000      浦发银行                                  1,491,994.00                  0.29
16         000858      五粮液                                    1,413,533.00                  0.27

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17      000725     京东方 A                                1,408,862.00                  0.27
18      601668     中国建筑                                1,401,858.00                  0.27
19      600276     恒瑞医药                                1,371,610.00                  0.26
20      600104     上汽集团                                1,279,887.00                  0.25
上述卖出金额为卖出成交金额(成交单价乘以成交数量),不包括相关交易费用。



7.4.3 买入股票的成本总额及卖出股票的收入总额
                                                                             单位:人民币元
买入股票成本(成交)总额                                                    157,515,853.48
卖出股票收入(成交)总额                                                    135,779,975.42
上述买入股票成本总额和卖出股票收入总额均为买卖成交金额(成交单价乘以成交数量),不包

含相关交易费用。



7.5 期末按债券品种分类的债券投资组合


本基金本报告期末未持有债券。


7.6 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


本基金本报告期末未持有债券。


7.7 期末按公允价值占基金资产净值比例大小排序的所有资产支持证券投资明细
本基金本报告期末未持有资产支持证券。

7.8 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贵金属投资明细
本基金本报告期末未持有贵金属。



7.9 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


本基金本报告期末未持有权证。


7.10 报告期末本基金投资的股指期货交易情况说明




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7.10.1 报告期末本基金投资的股指期货持仓和损益明细


本基金本报告期末未持有股指期货。


7.10.2 本基金投资股指期货的投资政策
      本基金本报告期末未投资股指期货。



7.11 报告期末本基金投资的国债期货交易情况说明


7.11.1 本期国债期货投资政策
      本基金本报告期末未投资国债期货。

7.11.2 报告期末本基金投资的国债期货持仓和损益明细
本基金本报告期末未投资国债期货。

7.11.3 本期国债期货投资评价
      本基金本报告期末未投资国债期货。

7.12 投资组合报告附注

7.12.1

      本基金投资的前十名证券的发行主体本期未披露被监管部门立案调查,或在报告编制日前一

年内受到公开谴责、处罚的情形。

7.12.2

      本基金投资的前十名股票未超出基金合同规定的备选股票库。

7.12.3 期末其他各项资产构成
                                                                               单位:人民币元
 序号                     名称                                        金额
  1      存出保证金                                                                  57,278.23
  2      应收证券清算款                                                                        -
  3      应收股利                                                                              -
  4      应收利息                                                                     9,365.26
  5      应收申购款                                                                 423,559.81
  6      其他应收款                                                                            -
  7      待摊费用                                                                              -
  8      其他                                                                                  -
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    9     合计                                                                      490,203.30



7.12.4 期末持有的处于转股期的可转换债券明细
本基金本报告期末未持有处于转股期的可转换债券。

7.12.5 期末前十名股票中存在流通受限情况的说明

7.12.5.1 期末指数投资前十名股票中存在流通受限情况的说明

本基金本报告期末前十名股票中不存在流通受限情况。

7.12.5.2 期末积极投资前五名股票中存在流通受限情况的说明

                                                                          金额单位:人民币元
                                                       占基金资产
序号 股票代码     股票名称   流通受限部分的公允价值                      流通受限情况说明
                                                       净值比例(%)
1       600485   信威集团                 976,785.91            0.20             重大资产重组
2       000008   神州高铁                 353,648.00            0.07                  重大事项
3       601118   海南橡胶                 349,906.72            0.07             重大资产重组




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                               §8 基金份额持有人信息


8.1 期末基金份额持有人户数及持有人结构
                                                                                  份额单位:份
                                                         持有人结构
 持有人户数   户均持有的             机构投资者                          个人投资者
     (户)       基金份额                           占总份                               占总份
                                  持有份额                            持有份额
                                                   额比例                               额比例
 29,123          15,331.26       39,635,476.44         8.88%         406,856,853.07      91.12%




8.2 期末上市基金前十名持有人
 序号               持有人名称                         持有份额(份)            占上市总份额
                                                                                     比例
 1                     李晓年                                      662,193.00            18.01%
 2                      薛玲                                       383,457.00            10.43%
 3                     赵新霞                                      297,080.00             8.08%
 4                      张雁                                       125,460.00             3.41%
 5                     范晨心                                      108,178.00             2.94%
 6                     龚秀琴                                      103,000.00             2.80%
 7                     黎雯婧                                       73,600.00             2.00%
 8                      杨凯                                        69,060.00             1.88%
 9                     郭艳荣                                       68,928.00             1.87%
 10                    刘凌云                                       61,200.00             1.66%
持有人为场内持有人。



8.3 期末基金管理人的从业人员持有本基金的情况
          项目                     持有份额总数(份)                   占基金总份额比例
 基金管理人所有从业人员
                                                        9,945.00                          0.00%
 持有本基金
8.4 期末基金管理人的从业人员持有本开放式基金份额总量区间的情况
截至本报告期末,本公司高级管理人员、基金投资和研究部门负责人及本基金基金经理未持有本

基金。




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                             §9 开放式基金份额变动
                                                                                      单位:份
 基金合同生效日(2009 年 11 月 5 日)基金份额总额                           5,326,413,369.61
 本报告期期初基金份额总额                                                     423,095,358.73
 本报告期基金总申购份额                                                       173,074,400.33
 减:本报告期基金总赎回份额                                                    149,677,429.55
 本报告期基金拆分变动份额(份额减少以"-"填列)                                                -
 本报告期期末基金份额总额                                                     446,492,329.51

上述总申购份额含转换入份额,总赎回份额含转换出份额。




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                               §10 重大事件揭示


10.1 基金份额持有人大会决议
    本报告期,本基金未召开基金份额持有人大会。




10.2 基金管理人、基金托管人的专门基金托管部门的重大人事变动
    经本基金管理人建信基金管理有限责任公司 2018 年第一次临时股东会和第五届董事会第一
次会议审议通过,自 2018 年 4 月 18 日起,许会斌先生不再担任本公司董事长(法定代表人),
由孙志晨先生担任本公司董事长(法定代表人);孙志晨先生不再担任本公司总裁,由张军红先
生担任本公司总裁。上述事项本公司已按相关规定报中国证券监督管理委员会北京监管局和中国
证券投资基金业协会备案并于 2018 年 4 月 20 日公告。
    报告期内,本基金托管人的专门基金托管部门未发生重大人事变动。



10.3 涉及基金管理人、基金财产、基金托管业务的诉讼
    本报告期无涉及本基金基金管理人、基金财产以及基金托管人基金托管业务的诉讼事项。




10.4 基金投资策略的改变
    本报告期基金投资策略未发生改变。




10.5 为基金进行审计的会计师事务所情况
    自本基金基金合同生效日起普华永道中天会计师事务所为本基金提供审计服务至今,本报告
期内会计师事务所未发生改变。



10.6 管理人、托管人及其高级管理人员受稽查或处罚等情况
    本报告期未发生公司和董事、监事和高级管理人员被中国证监会、证券业协会、证券交易所
处罚或公开谴责,以及被财政、外汇和审计等部门施以重大处罚的情况。
    本报告期内,本基金托管人涉及托管业务的高级管理人员未受到监管部门的稽查和处罚。



10.7 基金租用证券公司交易单元的有关情况




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10.7.1 基金租用证券公司交易单元进行股票投资及佣金支付情况
                                                                                金额单位:人民币元
                                 股票交易                        应支付该券商的佣金
               交易单元                   占当期股票
 券商名称                                                                      占当期佣金     备注
                 数量     成交金额        成交总额的比            佣金
                                                                               总量的比例
                                              例
长城证券              4 148,765,514.41          51.17%          137,409.06          51.49%           -
海通证券              2 61,786,691.05           21.25%            56,306.26         21.10%           -
广发证券              1 42,064,191.69           14.47%            38,331.85         14.36%           -
国开证券              1 31,697,546.19           10.90%            28,882.32         10.82%           -
天风证券              1   6,401,449.99           2.20%             5,961.51          2.23%           -
财富证券              1               -                  -                 -              -          -
川财证券              1               -                  -                 -              -          -
中银国际证
                      1               -                  -                 -              -          -

方正证券              1               -                  -                 -              -          -
兴业证券              1               -                  -                 -              -          -
国泰君安              1               -                  -                 -              -          -
招商证券              1               -                  -                 -              -          -
民生证券              1               -                  -                 -              -          -
国信证券              1               -                  -                 -              -          -
国元证券              2               -                  -                 -              -          -
渤海证券              1               -                  -                 -              -          -
上海证券              2               -                  -                 -              -          -
安信证券              1               -                  -                 -              -          -
东兴证券              1               -                  -                 -              -          -
东方证券              3               -                  -                 -              -          -
中信建投              1               -                  -                 -              -          -
中投证券(莫
                      1               -                  -                 -              -          -
尼塔)
华宝证券              2               -                  -                 -              -          -
中金公司              2               -                  -                 -              -          -
长江证券              1               -                  -                 -              -          -
平安证券              1               -                  -                 -              -          -
中信证券              1               -                  -                 -              -          -
申万宏源              3               -                  -                 -              -          -

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广州证券              1            -                  -                 -              -         -
东北证券              2            -                  -                 -              -         -
中信证券(山
                      1            -                  -                 -              -         -
东)
中投证券              2            -                  -                 -              -         -
华泰证券              1            -                  -                 -              -         -
银河证券              2            -                  -                 -              -         -

1、本基金根据中国证监会《关于完善证券投资基金交易席位制度有关问题的通知》(证监基金字

[2007]48 号)的规定及本基金管理人的《基金专用交易席位租用制度》,基金管理人制定了提供

交易单元的券商的选择标准,具体如下:

(1)财务状况良好、经营管理规范、内部管理制度健全、风险管理严格,能够满足基金运作高度

保密的要求,在最近一年内没有重大违规行为;

(2)具备基金运作所需的高效、安全的通讯条件,交易设施满足基金进行证券交易的需要;

(3)具备较强的研究能力,有固定的研究机构和专门的研究人员,能够对宏观经济、证券市场、

行业、个股、个券等进行深入、全面的研究,能够积极、有效地将研究成果及时传递给基金管理

人,能够根据基金管理人所管理基金的特定要求进行专项研究服务;

(4)佣金费率合理。

2、根据以上标准进行考察后,基金管理人确定券商,与被选择的券商签订委托协议,并报中国证

监会备案及通知基金托管人;

3、本基金本报告期内无新增或剔除交易单元。

4、本基金与托管在同一托管行的公司其他基金共用交易单元。



10.7.2 基金租用证券公司交易单元进行其他证券投资的情况
本基金本报告期内未使用租用的证券公司交易单元进行其他证券投资。




10.8 其他重大事件

 序号             公告事项                  法定披露方式                    法定披露日期
        关于公司旗下部分开放式基金参
        加交通银行手机银行渠道基金申    指定报刊和/或公司
 1                                                                  2018 年 6 月 30 日
        购及定期定额投资手续费率优惠    网站
        活动的公告
 2      建信基金管理有限责任公司关于    指定报刊和/或公司           2018 年 3 月 31 日

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                                                  建信沪深 300 指数(LOF)2018 年半年度报告


    公司旗下部分开放式基金参加交    网站
    通银行手机银行渠道基金申购及
    定期定额投资手续费率优惠活动
    的公告
    关于建信基金管理有限责任公司
                                    指定报刊和/或公司
3   旗下部分证券投资基金修改基金                            2018 年 3 月 23 日
                                    网站
    合同的公告
    关于建信基金管理有限责任公司
    旗下部分证券投资基金调整赎回    指定报刊和/或公司
4                                                           2018 年 3 月 23 日
    费率及赎回费计入基金财产比例    网站
    的公告
    关于公司旗下部分开放式基金参
                                    指定报刊和/或公司
5   加中国工商银行“2018 倾心回                             2018 年 1 月 3 日
                                    网站
    馈”基金定投优惠活动的公告




                              第 65 页 共 66 页
                                                      建信沪深 300 指数(LOF)2018 年半年度报告



                                §11 备查文件目录


11.1 备查文件目录
   1、中国证监会批准建信沪深 300 指数证券投资基金(LOF)设立的文件;

   2、《建信沪深 300 指数证券投资基金(LOF)基金合同》;

   3、《建信沪深 300 指数证券投资基金(LOF)招募说明书》;

   4、《建信沪深 300 指数证券投资基金(LOF)托管协议》;

   5、基金管理人业务资格批件和营业执照;

   6、基金托管人业务资格批件和营业执照;

   7、报告期内基金管理人在指定报刊上披露的各项公告。



11.2 存放地点
   基金管理人或基金托管人处。



11.3 查阅方式
   投资者可在营业时间免费查阅。也可在支付工本费后,在合理时间内取得上述文件的复印件。




                                                              建信基金管理有限责任公司
                                                                         2018 年 8 月 25 日




                                  第 66 页 共 66 页
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