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中欧沪深300指数增强A(LOF)(166007)公告正文

中欧沪深300指数增强(LOF):2012年半年度报告

公告日期 2012-08-24 来源 巨潮网

                       中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告中欧沪深 300 指数增强型证券投资基金(LOF)
             2012 年半年度报告
              2012 年 6 月 30 日
         基金管理人:中欧基金管理有限公司
         基金托管人:兴业银行股份有限公司
         报告送出日期: 二〇一二年八月二十四日
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 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。
    基金托管人兴业银行股份有限公司根据本基金合同规定,于 2012 年 8 月 22 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 2012 年 1 月 1 日起至 6 月 30 日止。
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                                                  中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    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 ............................................................................................................................. 5
    2.1     基金基本情况 ..................................................................................................................... 5
    2.2     基金产品说明 ..................................................................................................................... 5
    2.3     基金管理人和基金托管人 ................................................................................................. 6
    2.4     信息披露方式 ..................................................................................................................... 6
    2.5     其他相关资料 ..................................................................................................................... 6
    3       主要财务指标和基金净值表现 ......................................................................................... 6
    3.1     主要会计数据和财务指标 ................................................................................................. 6
    3.2     基金净值表现 ..................................................................................................................... 7
    4       管理人报告 ......................................................................................................................... 8
    4.1     基金管理人及基金经理情况 ............................................................................................. 8
    4.2     管理人对报告期内本基金运作遵规守信情况的说明 ..................................................... 9
    4.3     管理人对报告期内公平交易情况的专项说明 ................................................................. 9
    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 ............................................... 10
    4.5     管理人对宏观经济、证券市场及行业走势的简要展望 ............................................... 10
    4.6     管理人对报告期内基金估值程序等事项的说明 ........................................................... 10
    4.7     管理人对报告期内基金利润分配情况的说明 ............................................................... 11
    5       托管人报告 ....................................................................................................................... 11
    5.1     报告期内本基金托管人遵规守信情况声明 ................................................................... 11
    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 11
    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 ............... 11
    6       半年度财务会计报告(未经审计) ............................................................................... 12
    6.1     资产负债表 ....................................................................................................................... 12
    6.2     利润表............................................................................................................................... 13
    6.3     所有者权益(基金净值)变动表 ................................................................................... 14
    6.4     报表附注 ........................................................................................................................... 15
    7       投资组合报告 ................................................................................................................... 30
    7.1     期末基金资产组合情况 ................................................................................................... 30
    7.2     期末按行业分类的股票投资组合 ................................................................................... 30
    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 ....................... 32
    7.4     报告期内股票投资组合的重大变动 ............................................................................... 41
    7.5     期末按债券品种分类的债券投资组合 ........................................................................... 42
    7.6     期末按公允价值占基金资产净值比例大小排名的前五名债券投资明细 ................... 42
    7.7     期末按公允价值占基金资产净值比例大小排名的所有资产支持证券投资明细 ....... 42
    7.8     期末按公允价值占基金资产净值比例大小排名的前五名权证投资明细 ................... 42
    7.9     投资组合报告附注 ........................................................................................................... 43
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                                                中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    8      基金份额持有人信息 ....................................................................................................... 43
    8.1    期末基金份额持有人户数及持有人结构 ....................................................................... 43
    8.2    期末上市基金前十名持有人 ........................................................................................... 44
    8.3    期末基金管理人的从业人员持有本基金的情况 ........................................................... 44
    9      开放式基金份额变动 ....................................................................................................... 44
    10     重大事件揭示 ................................................................................................................... 45
    10.1   基金份额持有人大会决议 ............................................................................................... 45
    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 ............................... 45
    10.3   涉及基金管理人、基金财产、基金托管业务的诉讼 ................................................... 45
    10.4   基金投资策略的改变 ....................................................................................................... 45
    10.5   报告期内改聘会计师事务所情况 ................................................................................... 45
    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 ........................................... 46
    10.7   基金租用证券公司交易单元的有关情况 ....................................................................... 46
    10.8   其他重大事件 ................................................................................................................... 47
    11     备查文件目录 ................................................................................................................... 49
    11.1   备查文件目录 ................................................................................................................... 49
    11.2   存放地点 ........................................................................................................................... 49
    11.3   查阅方式 ........................................................................................................................... 49
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                              中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                2   基金简介
    2.1      基金基本情况
    基金名称                                 中欧沪深300指数增强型证券投资基金(LOF)
    基金简称                         中欧沪深300指数增强(LOF)(场内简称:中欧300)
    基金主代码                                                                        166007
    交易代码                                                                          166007
    基金运作方式                                                 契约型上市开放式(LOF)
    基金合同生效日                                                            2010年6月24日
    基金管理人                                                        中欧基金管理有限公司
    基金托管人                                                        兴业银行股份有限公司
    报告期末基金份额总额                                                    235,153,293.64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                                                                  2010年8月16日
    2.2      基金产品说明
                           本基金以沪深300指数作为基金投资组合跟踪的标的指数,在对
                           标的指数有效跟踪的被动投资基础上,结合增强型的主动投资,
    投资目标                   力求控制本基金净值增长率与业绩比较基准之间的日平均误差
                           不超过0.5%,年化跟踪误差不超过7.75%,以实现高于标的指数
                           的投资收益和基金资产的长期增值。
                           本基金结合深入的基本面研究及数量化投资技术,在指数化投
    投资策略                   资的基础上对投资组合进行适度优化调整,在控制与业绩比较
                           基准偏离风险的前提下,力求取得超越标的指数的投资收益。
    业绩比较基准               95%×沪深300指数收益率+5%×银行活期存款利率(税后)
                           本基金是一只股票指数增强型基金,属于较高预期风险、较高
    风险收益特征               预期收益的证券投资基金品种,其预期风险与收益高于混合型
                           基金、债券型基金与货币市场基金。
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                                        中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    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
    名称                                     中欧基金管理有限公司            兴业银行股份有限公司
                            姓名                  黎忆海                         张志永
    信息披露负责人            联系电话             021-68609600              021-62677777-212004
                          电子邮箱        liyihai@lcfunds.com            zhangzhy@cib.com.cn
                                             021-68609700、
    客户服务电话                                                                      95561
                                              400-700-9700
    传真                                           021-33830351                   021-62159217
                                       上海市浦东新区花园石桥路
    注册地址                                                                  福州市湖东路 154 号
                                       66 号东亚银行金融大厦 8 层
                                       上海市浦东新区花园石桥路       上海市江宁路 168 号兴业大办公地址
                                       66 号东亚银行金融大厦 8 层             厦 20 楼
    邮政编码                                          200120                         200041
    法定代表人                                         唐步                          高建平
    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
                                       www.lcfunds.com互联网网址
    基金半年度报告备置地点                 基金管理人、基金托管人的办公场所
    2.5     其他相关资料
         项目                           名称                                办公地址
    注册登记机构              中国证券登记结算有限责任公司         中国北京市西城区太平桥大街 17 号
                               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(2012 年 1 月 1 日至 2012 年 6 月 30 日)
    本期已实现收益                                                                         -8,014,006.21
    本期利润                                                                               9,950,279.55
    加权平均基金份额本期利润                                                                     0.0412
    本期加权平均净值利润率                                                                       4.92%
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    本期基金份额净值增长率                                                                      5.05%
    3.1.2 期末数据和指标                                报告期末(2012 年 6 月 30 日)
    期末可供分配利润                                                                    -43,302,604.72
    期末可供分配基金份额利润                                                                   -0.1841
    期末基金资产净值                                                                   191,850,688.92
    期末基金份额净值                                                                            0.8159
    3.1.3 累计期末指标                                  报告期末(2012 年 6 月 30 日)
    基金份额累计净值增长率                                                                    -15.08%
    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、期末可供分配利润采用期末资产负债表中未分配利润与未分配利润中已实现部分的孰低数(为期末余额,不是当期发生数)。
    3、所述基金业绩指标不包括基金份额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             -5.17%         1.05%        -6.15%           1.04%       0.98%       0.01%
    过去三个月             1.34%          1.06%         0.28%           1.07%       1.06%      -0.01%
    过去六个月             5.05%          1.27%         4.75%           1.26%       0.30%       0.01%
    过去一年             -16.20%          1.27%       -18.16%           1.28%       1.96%      -0.01%自基金合同生
                      -15.08%          1.19%        -9.98%           1.32%      -5.10%      -0.13%效起至今
    注:本基金大类资产的投资比例为:股票资产占基金资产的 90%-95%,其中被动投资于标的指数成份股及备选成份股的比例不低于基金资产的 80%;现金或者到期日在一年以内的政府债券不少于基金资产净值的 5%;其他金融工具的投资比例符合法律法规和监管机构的规定。根据本基金的大类资产投资标的及具体比例范围,具有较强代表性的沪深 300 指数成为股票资产的标的指数,比较基准中股票的权重 95%。比较基准每个交易日进行一次再平衡,每个交易日在加入损益后根据设定的权重比例进行大类资产之间的再平衡,使大类资产比例保持恒定。
    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
                           中欧沪深 300 指数增强型证券投资基金(LOF)
                  份额累计净值增长率与业绩比较基准收益率历史走势对比图
                            (2010 年 6 月 24 日至 2012 年 6 月 30 日)
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    注:本基金合同生效日为 2010 年 6 月 24 日,建仓期为 2010 年 6 月 24 日至 2010 年 12 月23 日,建仓期结束时各项资产配置比例符合本基金基金合同规定;本报告期内,本基金各项资产配置比例符合本基金基金合同规定。
                                      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
    中欧基金管理有限公司经中国证监会(证监基字[2006]102 号文)批准,于 2006 年 7 月 19日正式成立。股东为意大利意联银行股份合作公司、国都证券有限责任公司、万盛基业投资有限责任公司,注册资本为 1.2 亿元人民币。截至 2012 年 6 月 30 日,本基金管理人共管理 11 只开放式基金,即中欧新趋势股票型证券投资基金(LOF)、中欧新蓝筹灵活配置混合型证券投资基金、中欧稳健收益债券型证券投资基金、中欧价值发现股票型证券投资基金、中欧中小盘股票型证券投资基金(LOF)、中欧沪深 300 指数增强型证券投资基金(LOF)、中欧增强回报债券型证券投资基金(LOF)、中欧新动力股票型证券投资基金(LOF)、中欧鼎利分级债券型证券投资基金、中欧盛世成长分级股票型证券投资基金和中欧信用增利分级债券型证券投资基金。
    4.1.2 基金经理(或基金经理小组)及基金经理助理的简介
                       任本基金的基金经理(助理)期限        证券从
    姓名       职务                                                                说明
                          任职日期            离任日期       业年限
    林钟斌     本基金基     2010-06-24          2012-04-25       13 年    世界经济学硕士。历任招
            金经理                                                     商证券研究发展中心研
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                                                                         究员、行业研究主管,融
                                                                         通基金管理有限公司研
                                                                         究策划部总监助理。2009
                                                                         年 6 月加入中欧基金管理
                                                                         有限公司。
    张大方       本基金基     2011-09-01               -            4年     历任天治基金管理有限
              金经理,                                                   公司系统管理员,光大保
              金融工程                                                   德信基金管理有限公司
              部副总监                                                   IT 部高级经理、投资部研
                                                                         究员、高级研究员。2010
                                                                         年 4 月加入中欧基金管理
                                                                         有限公司,任金融工程部
                                                                         副总监、中欧沪深 300 指
                                                                         数增强型证券投资基金
                                                                         (LOF)基金经理。
    注:1、任职日期和离任日期一般情况下指公司作出决定之日;若该基金经理自基金合同生效日起即任职,则任职日期为基金合同生效日。
    2、证券从业的含义遵从行业协会《证券业从业人员资格管理办法》的相关规定。
       4.2   管理人对报告期内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循了《证券投资基金法》及其各项实施细则、《中欧沪深300 指数增强型证券投资基金(LOF)基金合同》和其他相关法律法规的规定,本着诚实信用、勤勉尽责、取信于市场、取信于社会的原则管理和运用基金资产,为基金份额持有人谋求最大利益。本报告期内,基金投资管理符合有关法规和基金合同的规定,无违法违规、未履行基金合同承诺或损害基金份额持有人利益的行为。
       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
    报告期内,本基金管理人严格按照《证券投资基金管理公司公平交易制度指导意见》及公司内部相关制度等规定,从研究分析、投资决策、交易执行、事后监控等环节严格把关,通过系统和人工等方式在各个环节严格控制交易公平执行,未发现不同投资组合之间存在非公平交易的情况。
    4.3.2 异常交易行为的专项说明
    报告期内,本基金管理人管理的所有投资组合不存在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,且不存在其他可能导致非公平交易和利
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                                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告益输送的异常交易行为。
    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
    本基金在报告期内严格按照基金合同进行投资,被动部分采用精确的数量化方法全复制沪深300 指数,力争跟踪误差最小化,在不高于基金资产 15%的范围内采用增强策略,增强策略我们采用量化择时、选行业及择股相结合的方法,并取得一定超额收益。从整个基金层面看,报告期内基金运行平稳,总体跟踪误差较小,满足基金合同规定。
    4.4.2 报告期内基金的业绩表现
    本报告期内,基金净值增长率为 5.05%,同期业绩比较基准增长率为 4.75%,基金投资收益略好于同期业绩比较基准。
    4.5   管理人对宏观经济、证券市场及行业走势的简要展望
    通胀回落为货币政策的放松打开了空间,且经济下滑已超出中央政府的忍耐极限,央行于2012 年 6 月 8 日宣布下调人民币存贷款基准利率,这是时隔三年半后的首次降息,降息周期或已开启,因此未来市场流动性将逐渐改善,以美林投资时钟方式看待我们的市场,或许我们正处在衰退、复苏的重要转折点,目前 A 股正在筑底的概率较高,故我们对未来保持谨慎乐观态度。对于基金主动增强部分我们将结合对市场未来走势的判断及量化选股方式进行投资,力争取得超额收益,被动部分仍以数量化方法控制跟踪误差最小化。
    4.6   管理人对报告期内基金估值程序等事项的说明
    报告期内,本基金管理人严格按照本公司制订的《估值委员会议事规则》以及相关法律法规的规定,有效地控制基金估值流程。公司估值委员会主席为公司分管运营副总经理,成员包括总经理、督察长、投资总监,基金运营部总监,监察稽核部总监以及基金核算、金融工程、行业研究等方面的骨干。估值委员会负责基金估值相关工作的评估、决策、执行和监督,确保基金估值的公允、合理,防止估值被歪曲进而对基金持有人产生不利影响。基金经理如认为估值有被歪曲或有失公允的情况,可向估值委员会报告并提出相关意见和建议。
    本基金管理人按照最新的估值准则、证监会相关规定和基金合同关于估值的约定,对基金投资品种进行估值。具体估值流程为:基金日常估值由基金管理人进行,基金托管人按基金合同规
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告定的估值方法、时间、程序进行复核,基金份额净值由基金管理人完成估值后,将估值结果以 XBRL形式报给基金托管人,基金托管人复核无误后签章返回给基金管理人,由基金管理人依据本基金合同和有关法律法规的规定予以公布。报告期内相关基金估值政策的变更由托管银行进行复核确认。
    上述参与估值流程人员均具有估值业务所需的专业胜任能力及相关工作经历。上述参与估值流程各方之间不存在重大利益冲突。
       4.7   管理人对报告期内基金利润分配情况的说明
    本基金本报告期内未实施利润分配。截止本报告期末,根据本基金基金合同和相关法律法规的规定,本基金无需实施利润分配。
                                      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
    报告期内,本托管人严格遵守《中华人民共和国证券投资基金法》及其他有关法律法规、基金合同和托管协议的规定,诚信、尽责地履行了基金托管人义务,不存在损害本基金份额持有人利益的行为。
       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
    报告期内,本托管人根据国家有关法律法规、基金合同和托管协议的规定,对基金管理人在本基金的投资运作、基金资产净值的计算、基金收益的计算、基金费用开支等方面进行了必要的监督、复核和审查,未发现其存在任何损害本基金份额持有人利益的行为;基金管理人在报告期内,严格遵守了《证券投资基金法》等有关法律法规,在各重要方面的运作严格按照基金合同的规定进行。
       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
    本托管人认真复核了本半年度报告中的财务指标、净值表现、收益分配情况、财务会计报告、投资组合报告等内容,认为其真实、准确和完整,不存在虚假记载、误导性陈述或者重大遗漏。
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                                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                         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:中欧沪深 300 指数增强型证券投资基金(LOF)
    报告截止日:2012 年 6 月 30 日
                                                                             单位:人民币元
                                                 本期末                     上年度末
             资 产           附注号
                                            2012 年 6 月 30 日         2011 年 12 月 31 日资 产:
    银行存款                      6.4.7.1               10,264,243.63                11,935,274.75
    结算备付金                                              132,326.81                   97,963.08
    存出保证金                                                       -                  121,787.04
    交易性金融资产                6.4.7.2              181,979,694.28              181,429,545.18
    其中:股票投资                                     181,979,694.28              181,429,545.18
      基金投资                                                   -                               -
      债券投资                                                   -                           -
      资产支持证券投资                                           -                           -
    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                                          376,337.25                           -
    应收利息                      6.4.7.5                     4,098.09                    2,392.82
    应收股利                                                327,113.34                           -
    应收申购款                                               17,126.43                    1,986.65
    递延所得税资产                                                   -                           -
    其他资产                      6.4.7.6                            -                           -
    资产总计                                           193,100,939.83              193,588,949.52
                                                 本期末                     上年度末
    负债和所有者权益         附注号
                                            2012 年 6 月 30 日         2011 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                                          597,745.70                  952,372.18
    应付赎回款                                              170,034.04                  231,717.14
    应付管理人报酬                                          161,531.87                  168,560.35
    应付托管费                                               24,229.78                   25,284.03
    应付销售服务费                                                   -                           -
    应付交易费用                  6.4.7.7                    66,775.17                  101,185.39
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                                        中欧沪深 300 指数增强型证券投资基金(LOF)2012 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                     229,934.35                  378,783.89
    负债合计                                                    1,250,250.91                1,857,902.98所有者权益:
    实收基金                          6.4.7.9               235,153,293.64                246,851,329.39
    未分配利润                       6.4.7.10               -43,302,604.72                -55,120,282.85
    所有者权益合计                                          191,850,688.92                191,731,046.54
    负债和所有者权益总计                                    193,100,939.83                193,588,949.52
    注:1、报告截止日 2012 年 6 月 30 日,基金份额净值 0.8159 元,基金份额总额 235,153,293.64份。
      6.2   利润表
      会计主体:中欧沪深 300 指数增强型证券投资基金(LOF)
      本报告期:2012 年 1 月 1 日至 2012 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      2012 年 1 月 1 日至 2012       2011 年 1 月 1 日至 2011
                                                   年 6 月 30 日                   年 6 月 30 日
    一、收入                                                 11,683,071.80                 -4,313,168.89
    1.利息收入                                                     88,170.11                   82,775.47
    其中:存款利息收入               6.4.7.11                      88,127.21                   82,665.49
         债券利息收入                                               42.90                      109.98
         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)                               -6,378,003.31               4,955,200.45
    其中:股票投资收益               6.4.7.12                   -8,451,142.32               2,837,242.97
         基金投资收益                                                    -                            -
         债券投资收益             6.4.7.13                      20,054.10                   63,807.32
         资产支持证券投资收                                              -                          -益
         衍生工具收益             6.4.7.14                               -                          -
         股利收益                 6.4.7.15                   2,053,084.91                2,054,150.16
    3.公允价值变动收益(损失以       6.4.7.16                17,964,285.76                 -9,479,175.11“-”号填列)
    4.汇兑收益(损失以“-”号                                              -                          -
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告填列)
    5.其他收入(损失以“-”号填     6.4.7.17                     8,619.24                   128,030.30列)
    减:二、费用                                              1,732,792.25                 2,882,722.42
    1.管理人报酬                                             1,004,784.54                 1,476,267.57
    2.托管费                                                  150,717.63                   221,440.22
    3.销售服务费                                                          -                          -
    4.交易费用                     6.4.7.18                   296,357.15                   901,878.75
    5.利息支出                                                            -                          -
    其中:卖出回购金融资产支出                                             -                          -
    6.其他费用                     6.4.7.19                   280,932.93                   283,135.88
    三、利润总额(亏损总额以“-”                             9,950,279.55                -7,195,891.31号填列)
    减:所得税费用                                                         -                          -
    四、净利润(净亏损以“-”                                 9,950,279.55                -7,195,891.31号填列)
    6.3   所有者权益(基金净值)变动表
    会计主体:中欧沪深 300 指数增强型证券投资基金(LOF)
    本报告期:2012 年 1 月 1 日至 2012 年 6 月 30 日
                                                                                单位:人民币元
                                                             本期
         项目                               2012 年 1 月 1 日至 2012 年 6 月 30 日
                                 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
                                  246,851,329.39            -55,120,282.85           191,731,046.54金净值)二、本期经营活动产生的
    基金净值变动数(本期利                           -           9,950,279.55              9,950,279.55润)三、本期基金份额交易产
    生的基金净值变动数(净            -11,698,035.75             1,867,398.58             -9,830,637.17值减少以“-”号填列)
    其中:1.基金申购款                  3,641,773.31              -606,464.28              3,035,309.03
      2.基金赎回款                -15,339,809.06             2,473,862.86            -12,865,946.20四、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
                                  235,153,293.64            -43,302,604.72           191,850,688.92金净值)
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                                                    上年度可比期间
          项目                            2011 年 1 月 1 日至 2011 年 6 月 30 日
                               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
                                352,687,899.80              2,849,865.99           355,537,765.79金净值)二、本期经营活动产生的
    基金净值变动数(本期利                        -            -7,195,891.31            -7,195,891.31润)三、本期基金份额交易产
    生的基金净值变动数(净          -93,179,608.80             -2,499,240.26           -95,678,849.06值减少以“-”号填列)
    其中:1.基金申购款                 7,288,185.26              -68,452.30              7,219,732.96
       2.基金赎回款            -100,467,794.06              -2,430,787.96          -102,898,582.02四、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
                                259,508,291.00              -6,845,265.58          252,663,025.42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:
    基金管理公司负责人:刘建平,主管会计工作负责人:黄桦,会计机构负责人:丁驿雯
    6.4   报表附注
    6.4.1 基金基本情况
    中欧沪深 300 指数增强型证券投资基金(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[2010]第 588 号《关于核准中欧沪深 300 指数增强型证券投资基金(LOF)募集的批复》核准,由中欧基金管理有限公司依照《中华人民共和国证券投资基金法》和《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》负责公开募集。本基金为上市契约型开放式,存续期限不定,首次设立募集不包括认购资金利息共募集 1,201,873,408.58 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(2010)第 163 号验资报告予以验证。经向中国证监会备案,《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》于 2010 年 6 月24 日正式生效,基金合同生效日的基金份额总额为 1,202,197,493.33 份基金份额,其中认购资金利息折合 324,084.75 份基金份额。本基金的基金管理人为中欧基金管理有限公司,基金托管人为兴业银行股份有限公司。
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    经深圳证券交易所(以下简称“深交所”)深证上字[2010]第 254 号文审核同意,本基金57,032,620 份基金份额于 2010 年 8 月 16 日在深交所挂牌交易。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。
    根据《中华人民共和国证券投资基金法》和《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》的有关规定,本基金的投资范围限于具有良好流动性的金融工具,包括股票、债券、权证、货币市场工具、资产支持证券以及法律法规或中国证监会允许基金投资的其他金融工具。本基金投资于股票资产占基金资产的比例为 90%-95%,其中被动投资于标的指数成份股及备选成份股的比例不低于基金资产的 80%;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的 5%。本基金以沪深 300 指数作为基金投资组合跟踪的标的指数,力求控制本基金的净值增长率与业绩比较基准之间的日平均误差不超过 0.5%,年化跟踪误差不超过 7.75%。本基金的业绩比较基准为:95%×沪深 300 指数收益率+5%×银行活期存款利率(税后)。
    本财务报表由本基金的基金管理人中欧基金管理有限公司于 2012 年 8 月 24 日批准报出。
    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 日颁布的《企业会计准则-基本准则》和 38项具体会计准则、其后颁布的企业会计准则应用指南、企业会计准则解释以及其他相关规定(以下合称“企业会计准则”)、中国证监会公告[2010]5 号《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>》、中国证券业协会于 2007 年 5 月 15 日颁布的《证券投资基金会计核算业务指引》、《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》和在财务报表附注 6.4.4所列示的中国证监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 2012 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 2012年 6 月 30 日的财务状况以及 2012 年 1 月 1 日至 2012 年 6 月 30 日半年度经营成果和基金净值变动情况等有关信息。
    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
    无。
    6.4.5.2 会计估计变更的说明
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    无。
    6.4.5.3 差错更正的说明
    无。
    6.4.6 税项
    根据财政部、国家税务总局财税[2002]128 号《关于开放式证券投资基金有关税收问题的通知》、财税[2004]78 号《关于证券投资基金税收政策的通知》、财税[2005]102 号《关于股息红利个人所得税有关政策的通知》、财税[2005]107 号《关于股息红利有关个人所得税政策的补充通知》、财税[2008]1 号《关于企业所得税若干优惠政策的通知》及其他相关财税法规和实务操作,主要税项列示如下:
    (1)以发行基金方式募集资金不属于营业税征收范围,不征收营业税。
    (2)基金买卖股票、债券的差价收入暂免征营业税和企业所得税。
    (3)对基金取得的企业债券利息收入,由发行债券的企业在向基金派发利息时代扣代缴 20%的个人所得税,暂不征收企业所得税。对基金取得的股票的股息、红利收入,由上市公司在向基金派发股息、红利时暂减按 50%计入个人应纳税所得额,依照现行税法规定即 20%代扣代缴个人所得税,暂不征收企业所得税。
    (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。
    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
                                                         2012 年 6 月 30 日
    活期存款                                                                          10,264,243.63
    定期存款                                                                                      -
    其他存款                                                                                      -
    合计                                                                              10,264,243.63
    6.4.7.2 交易性金融资产
                                                                               单位:人民币元
                                                          本期末
            项目                                      2012年6月30日
                                    成本                 公允价值             公允价值变动
    股票                              209,355,288.50         181,979,694.28          -27,375,594.22
              交易所市场                        -                       -                      -债券
              银行间市场                        -                       -                      -
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                                中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
             合计                          -                       -                       -
    资产支持证券                               -                       -                       -
    基金                                       -                       -                       -
    其他                                       -                       -                       -
         合计                 209,355,288.50         181,979,694.28           -27,375,594.22
    6.4.7.3 衍生金融资产/负债
    无余额。
    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
    无余额。
    6.4.7.4.2 期末买断式逆回购交易中取得的债券
    无余额。
    6.4.7.5 应收利息
                                                                            单位:人民币元
                                                            本期末
                 项目
                                                       2012 年 6 月 30 日
    应收活期存款利息                                                                   4,044.54
    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                                                                    53.55
    应收债券利息                                                                               -
    应收买入返售证券利息                                                                       -
    应收申购款利息                                                                             -
    其他                                                                                       -
                 合计                                                              4,098.09
    6.4.7.6 其他资产
    无余额。
    6.4.7.7 应付交易费用
                                                                            单位:人民币元
                                                            本期末
                 项目
                                                       2012 年 6 月 30 日
    交易所市场应付交易费用                                                            66,775.17
    银行间市场应付交易费用                                                                     -
    合计                                                                              66,775.17
    6.4.7.8 其他负债
                                                                            单位:人民币元
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                                                                本期末
                   项目
                                                           2012 年 6 月 30 日
    应付券商交易单元保证金                                                                          -
    应付赎回费                                                                                  35.06
    应付信息披露费                                                                        159,124.42
    应付审计费                                                                             24,863.02
    预提上市费                                                                             29,835.26
    指数使用费                                                                             16,076.59
    合计                                                                                  229,934.35
    6.4.7.9 实收基金
                                                                            金额单位:人民币元
                                                          本期
            项目                         2012 年 1 月 1 日至 2012 年 6 月 30 日
                                   基金份额(份)                           账面金额
    上年度末                                    246,851,329.39                       246,851,329.39
    本期申购                                      3,641,773.31                         3,641,773.31
    本期赎回(以“-”号填列)                   -15,339,809.06                       -15,339,809.06
    本期末                                      235,153,293.64                       235,153,293.64
    注:1. 申购含转换入份额;赎回含转换出份额。
    2. 截至 2012 年 6 月 30 日止,本基金于深交所上市的基金份额为 5,417,739.00 份,托管在场外未上市交易的基金份额为 229,735,554.64 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                          7,718,015.74          -62,838,298.59           -55,120,282.85
    本期利润                          -8,014,006.21          17,964,285.76             9,950,279.55本期基金份额交易产生的
                                    -124,087.78            1,991,486.36             1,867,398.58变动数
    其中:基金申购款                     36,547.15               -643,011.43              -606,464.28
        基金赎回款                  -160,634.93            2,634,497.79             2,473,862.86
    本期已分配利润                                -                        -                        -
    本期末                             -420,078.25          -42,882,526.47           -43,302,604.72
    6.4.7.11 存款利息收入
                                                                                单位:人民币元
                                                               本期
                项目
                                              2012 年 1 月 1 日至 2012 年 6 月 30 日
    活期存款利息收入                                                                       86,659.38
    定期存款利息收入                                                                                -
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    其他存款利息收入                                                                            -
    结算备付金利息收入                                                                  1,466.62
    其他                                                                                     1.21
    合计                                                                               88,127.21
    6.4.7.12 股票投资收益
                                                                           单位:人民币元
                                                                本期
                   项目
                                               2012 年 1 月 1 日至 2012 年 6 月 30 日
    卖出股票成交总额                                                             100,090,877.46
    减:卖出股票成本总额                                                         108,542,019.78
    买卖股票差价收入                                                               -8,451,142.32
    6.4.7.13 债券投资收益
                                                                           单位:人民币元
                                                                    本期
                          项目
                                                        2012年1月1日至2012年6月30日
    卖出债券(债转股及债券到期兑付)成交总额                                          281,097.00
    减:卖出债券(债转股及债券到期兑付)成本总额                                      261,000.00
    减:应收利息总额                                                                        42.90
    债券投资收益                                                                       20,054.10
    6.4.7.14 衍生工具收益
    6.4.7.14.1 衍生工具收益——买卖权证差价收入
    无。
    6.4.7.15 股利收益
                                                                           单位:人民币元
                                                           本期
               项目
                                               2012年1月1日至2012年6月30日
    股票投资产生的股利收益                                                          2,053,084.91
    基金投资产生的股利收益                                                                      -
    合计                                                                            2,053,084.91
    6.4.7.16 公允价值变动收益
                                                                           单位:人民币元
                                                           本期
               项目
                                               2012年1月1日至2012年6月30日
    1.交易性金融资产                                                               17,964,285.76
    ——股票投资                                                                   17,964,285.76
    ——债券投资                                                                                -
    ——资产支持证券投资                                                                        -
    ——基金投资                                                                                -
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    2.衍生工具                                                                                 -
    ——权证投资                                                                               -
    3.其他                                                                                     -
    合计                                                                           17,964,285.76
    6.4.7.17 其他收入
                                                                            单位:人民币元
                                                            本期
                项目
                                                2012年1月1日至2012年6月30日
    基金赎回费收入                                                                      8,415.95
    转换费收入                                                                            203.29
    合计                                                                                8,619.24
    注:1. 本基金的场内赎回费率为赎回金额的 0.5%,场外赎回费率按持有期间递减,赎回费总额的 25%归入基金资产。
    2. 基金之间的转换费由赎回费和申购费补差两部分构成,其中赎回费部分的 25%归入转出基金的基金资产。
    6.4.7.18 交易费用
                                                                            单位:人民币元
                                                            本期
                项目
                                                2012年1月1日至2012年6月30日
    交易所市场交易费用                                                                296,357.15
    银行间市场交易费用                                                                         -
    合计                                                                              296,357.15
    6.4.7.19 其他费用
                                                                            单位:人民币元
                                                            本期
                项目
                                                2012年1月1日至2012年6月30日
    审计费用                                                                           24,863.02
    信息披露费                                                                        159,124.42
    银行费用                                                                              343.50
    债券账户服务费                                                                      9,000.00
    指数使用费                                                                         57,766.73
    上市费                                                                             29,835.26
    合计                                                                              280,932.93
    注:根据《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》及《中证指数有限公司指数使用许可协议》,本基金的指数使用费从基金财产中列支,收取标准为每年本基金的资产净值的0.016%,收取下限为每季度 5 万元。
    在通常情况下,指数使用费按前一日的基金资产净值的 0.016%的年费率计提,逐日累计,每季支付一次。计算方法如下:
    日指数使用费=前一日基金资产净值 ×0.016% / 当年天数。
    6.4.8 或有事项、资产负债表日后事项的说明
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    6.4.8.1 或有事项
    截至资产负债表日,本基金并无须作披露的或有事项。
    6.4.8.2 资产负债表日后事项
    截至本财务报表批准报出日,本基金无需要说明的资产负债表日后事项。
    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
    本报告期内,与本基金存在控制关系或其他重大利害关系的关联方未发生变化。
    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
    中欧基金管理有限公司                                                 基金管理人、基金销售机构
    兴业银行股份有限公司(“兴业银行”)                                   基金托管人、基金代销机构
    国都证券有限责任公司(“国都证券”)                           基金管理人的股东、基金代销机构
    注: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
    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
                                                                           金额单位:人民币元
                             本期                                上年度可比期间
                 2012年1月1日至2012年6月30日               2011年1月1日至2011年6月30日关联方名称
                                     占当期股票成                                  占当期股票成
                   成交金额                                     成交金额
                                     交总额的比例                                  交总额的比例
    国都证券             10,997,769.13            5.76%              125,953,108.07          22.28%
    6.4.10.1.2 权证交易
    无。
    6.4.10.1.3 债券交易
                                                                           金额单位:人民币元
                             本期                                上年度可比期间
                 2012年1月1日至2012年6月30日               2011年1月1日至2011年6月30日关联方名称
                                     占当期债券成                                  占当期债券成
                   成交金额                                     成交金额
                                     交总额的比例                                  交总额的比例
    国都证券                281,097.00         100.00%                            -                 -
    6.4.10.1.4 债券回购交易
    无。
    6.4.10.1.5 应支付关联方的佣金
                                                                           金额单位:人民币元
    关联方名称                                            本期
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                                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                         2012年1月1日至2012年6月30日
                            当期         占当期佣金           期末应付         占期末应付佣
                            佣金         总量的比例           佣金余额         金总额的比例
    国都证券                     9,165.66        5.73%                 7,453.47           11.16%
                                               上年度可比期间
                                         2011年1月1日至2011年6月30日
    关联方名称
                            当期         占当期佣金           期末应付         占期末应付佣
                            佣金         总量的比例           佣金余额         金总额的比例
    国都证券                   102,842.33       21.92%                17,024.79            8.54%
    注:1. 上述佣金按市场佣金率计算,以扣除由中国证券登记结算有限责任公司收取的证管费和经手费后的净额列示。
    2. 该类佣金协议的服务范围还包括佣金收取方为本基金提供的证券投资研究成果和市场信息服务等。
    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
                            2012年1月1日至2012年6月30日        2011年1月1日至2011年6月30日当期发生的基金应支付的管
                                               1,004,784.54                       1,476,267.57理费其中:支付销售机构的客户
                                                 236,704.72                         365,874.29维护费
    注:支付基金管理人中欧基金管理有限公司的基金管理费按前一日基金资产净值 1.00%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:
    日基金管理费=前一日基金资产净值 × 1.00% / 当年天数。
    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
                            2012年1月1日至2012年6月30日        2011年1月1日至2011年6月30日当期发生的基金应支付的托
                                                 150,717.63                         221,440.22管费
    注:支付基金托管人兴业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 × 0.15% / 当年天数。
    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
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                                                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
            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
          关联方名称             2012年1月1日至2012年6月30日                  2011年1月1日至2011年6月30日
                                 期末余额            当期利息收入              期末余额            当期利息收入
         兴业银行                10,264,243.63              86,659.38          16,312,098.97             79,297.87
            注:本基金的银行存款由基金托管人兴业银行保管,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
            无。
            6.4.11 利润分配情况
            无。
            6.4.12 期末(2012 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
            无。
            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
                                         期末                   复牌
    股票      股票                    停牌               复牌                  数量           期末                    期末   备
                    停牌日期             估值                   开盘
    代码      名称                    原因               日期                  (股)     成本总额                估值总额   注
                                         单价                   单价
                                  公告
    00005    辽通化
                    2012-06-26    重大      7.91   2012-07-03    8.15       18,254        196,778.78        144,389.14   -
    9         工
                                  事项
                                  重大
    00250    山西证
                    2012-05-15    资产      8.19       -               -    16,037        139,507.28        131,343.03   -
    0         券
                                  重组
            注:本基金截至 2012 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
            于本报告期末,本基金无银行间市场债券正回购交易中作为抵押的债券。
            6.4.12.3.2 交易所市场债券正回购
            于本报告期末,本基金无交易所市场债券正回购交易中作为抵押的债券。
            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
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                                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    本基金是一只股票指数增强型基金,以沪深 300 指数作为基金投资组合跟踪的标的指数,在对标的指数有效跟踪的被动投资基础上,结合增强型的主动投资,属于较高预期风险、较高预期收益的证券投资基金品种。本基金投资范围限于具有良好流动性的金融工具,包括股票、债券、权证、货币市场工具、资产支持证券以及法律法规或中国证监会允许基金投资的其他金融工具。本基金在日常经营活动中面临的与这些金融工具相关的风险主要包括信用风险、流动性风险及市场风险。本基金的基金管理人从事风险管理的主要目标是争取将以上风险控制在限定的范围之内,使本基金在风险和收益之间取得最佳的平衡以实现高于标的指数的投资收益和基金资产的长期增值。
    本基金的基金管理人奉行全面风险管理体系的建设,建立了以风险控制委员会为核心的、由督察长、风险控制委员会、监察稽核部和相关业务部门构成的风险管理架构体系。风险控制委员会负责协助确立公司风险控制的原则、目标和策略,并就风险控制重要事项提出意见和建议。督察长负责组织和指导公司的监察稽核工作。监察稽核部独立于公司各业务部门开展监察稽核工作,根据监管机构及公司内部控制的要求对基金投资进行定期、不定期检查,出具监察稽核报告,进而从合规层面对基金投资进行风险控制。公司设立金融工程部,负责进行风险的实时监控和定期计算,并定期出具基金投资业绩和风险分析报告。
    本基金的基金管理人对于金融工具的风险管理方法主要是通过定性分析和定量分析的方法去估测各种风险产生的可能损失。从定性分析的角度出发,判断风险损失的严重程度和出现同类风险损失的频度。而从定量分析的角度出发,根据本基金的投资目标,结合基金资产所运用金融工具特征通过特定的风险量化指标、模型,日常的量化报告,确定风险损失的限度和相应置信程度,及时可靠地对各种风险进行监督、检查和评估,并通过相应决策,将风险控制在可承受的范围内。
    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。
    本基金的基金管理人在交易前对交易对手的资信状况进行了充分的评估。本基金的银行存款存放在本基金的托管行兴业银行,与该银行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;在银行间同业市场进行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风险管理流程,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。于 2012 年 6 月 30 日,本基金未持有交易性债券投资(2011 年 12 月 31 日:同)。
    6.4.13.3 流动性风险
    流动性风险是指基金所持金融工具变现的难易程度。本基金的流动性风险一方面来自于基金份额持有人可随时要求赎回其持有的基金份额,另一方面来自于投资品种所处的交易市场不活跃而带来的变现困难或因投资集中而无法在市场出现剧烈波动的情况下以合理的价格变现。
    针对兑付赎回资金的流动性风险,本基金的基金管理人每日对本基金的申购赎回情况进行严密监控并预测流动性需求,保持基金投资组合中的可用现金头寸与之相匹配。本基金的基金管理人在基金合同中设计了巨额赎回条款,约定在非常情况下赎回申请的处理方式,控制因开放申购赎回模式带来的流动性风险,有效保障基金持有人利益。
    针对投资品种变现的流动性风险,本基金的基金管理人通过独立的风险管理部门设定流动性比例要求,对流动性指标进行持续的监测和分析,包括组合持仓集中度指标、组合在短时间内变现能力的综合指标、组合中变现能力较差的投资品种比例以及流通受限制的投资品种比例等。本基金投资于一家公司发行的股票市值不超过基金资产净值的 10%,且本基金与由本基金的基金管
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                                        中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    理人管理的其他基金共同持有一家公司发行的证券不得超过该证券的 10%。本基金所持大部分证
    券在证券交易所上市,其余亦可在银行间同业市场交易,因此除附注 6.4.12 中列示的部分基金资
    产流通暂时受限制不能自由转让的情况外,其余金融资产均能以合理价格适时变现。此外,本基
    金可通过卖出回购金融资产方式借入短期资金应对流动性需求,其上限一般不超过基金持有的债
    券投资的公允价值。
       本基金所持有的全部金融负债的合约约定到期日均为一个月以内且不计息,可赎回基金份额
    净值(所有者权益)无固定到期日且不计息,因此账面余额即为未折现的合约到期现金流量。
       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
    性金融工具均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。
       本基金持有的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。本基金持有的利率敏感性资产主要为银行存款和结算备付金
    等。
       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2012 年 6 月 30 日资产
    银行存款               10,264,243.63               -                -                 -    10,264,243.63
    结算备付金                 132,326.81              -                -                 -      132,326.81
    存出保证金                          -              -                -                 -                -
    交易性金融资产                      -              -                -    181,979,694.28   181,979,694.28
    应收证券清算款                      -              -                -       376,337.25       376,337.25
    应收利息                            -              -                -          4,098.09         4,098.09
    应收股利                            -              -                -       327,113.34       327,113.34
    应收申购款                          -              -                -         17,126.43        17,126.43
    资产总计               10,396,570.44               -                -    182,704,369.39   193,100,939.83负债
    应付证券清算款                      -              -                -       597,745.70       597,745.70
    应付赎回款                          -              -                -       170,034.04       170,034.04
    应付管理人报酬                      -              -                -       161,531.87       161,531.87
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                                           中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    应付托管费                             -              -                -         24,229.78        24,229.78
    应付销售服务费                         -              -                -                 -                -
    应付交易费用                           -              -                -         66,775.17        66,775.17
    应交税费                               -              -                -                 -                -
    其他负债                               -              -                -       229,934.35       229,934.35
    负债总计                               -              -                -      1,250,250.91     1,250,250.91
    利率敏感度缺口           10,396,570.44                -                -    181,454,118.48   191,850,688.92
       上年度末
                        1年以内             1-5年           5年以上           不计息            合计2011年12月31日资产
    银行存款                 11,935,274.75                -                -                 -    11,935,274.75
    结算备付金                     97,963.08              -                -                 -        97,963.08
    存出保证金                             -              -                -       121,787.04       121,787.04
    交易性金融资产                         -              -                -    181,429,545.18   181,429,545.18
    应收利息                               -              -                -          2,392.82         2,392.82
    应收申购款                             -              -                -          1,986.65         1,986.65
    资产总计                 12,033,237.83                -                -    181,555,711.69   193,588,949.52负债
    应付证券清算款                         -              -                -       952,372.18       952,372.18
    应付赎回款                             -              -                -       231,717.14       231,717.14
    应付管理人报酬                         -              -                -       168,560.35       168,560.35
    应付托管费                             -              -                -         25,284.03        25,284.03
    应付交易费用                           -              -                -       101,185.39       101,185.39
    其他负债                               -              -                -       378,783.89       378,783.89
    负债总计                               -              -                -      1,857,902.98     1,857,902.98
    利率敏感度缺口           12,033,237.83                -                -    179,697,808.71   191,731,046.54
       注:表中所示为本基金资产及负债的公允价值,并按照合约规定的利率重新定价日或到期日
    孰早予以分类。
         6.4.13.4.1.2 利率风险的敏感性分析
       于 2012 年 6 月 30 日,本基金未持有交易性债券投资(2011 年 12 月 31 日:同),因此市场
    利率的变动对于本基金资产净值无重大影响(2011 年 12 月 31 日: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
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                                      中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告金的所有资产及负债以人民币计价,因此无重大外汇风险。
    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。
    本基金的基金管理人在构建和管理投资组合的过程中,采用“自上而下”的策略,通过对宏观经济情况及政策的分析,结合证券市场运行情况,做出资产配置及组合构建的决定;通过对单个证券的定性分析及定量分析,选择符合基金合同约定范围的投资品种进行投资。本基金的基金管理人定期结合宏观及微观环境的变化,对投资策略、资产配置、投资组合进行修正,来主动应对可能发生的市场价格风险。
    本基金通过投资组合的分散化降低其他价格风险。本基金投资于股票资产占基金资产的比例为 90%-95%,其中被动投资于标的指数成份股及备选成份股的比例不低于基金资产的 80%;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的 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,包括 VaR(Value atRisk)指标等来测试本基金面临的潜在价格风险,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
                               2012 年 6 月 30 日                   2011 年 12 月 31 日
         项目                               占基金资产                              占基金资产
                           公允价值         净值比例             公允价值             净值比例
                                              (%)                                     (%)
    交易性金融资产-股         181,979,694.28           94.85         181,429,545.18            94.63票投资
    衍生金融资产-权证                      -                 -                     -                -投资
    其他                                   -                 -                     -                -
    合计                      181,979,694.28           94.85         181,429,545.18            94.63
    6.4.13.4.3.2 其他价格风险的敏感性分析
    假设    除业绩比较基准(附注6.4.1)以外的其他市场变量保持不变
                                                    对资产负债表日基金资产净值的
    分析          相关风险变量的变动
                                                      影响金额(单位:人民币)
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                              本期末                       上年度末
                                           2012 年 6 月 30 日           2011 年 12 月 31 日
           业绩比较基准(附注6.4.1)              增加约995.01万元              增加约932.09万元
                   上升5%
           业绩比较基准(附注6.4.1)              减少约995.01万元              减少约932.09万元
                   下降5%
    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)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。
    (b)以公允价值计量的金融工具
    (i)金融工具公允价值计量的方法
    根据在公允价值计量中对计量整体具有重大意义的最低层级的输入值,公允价值层级可分为:
    第一层级:相同资产或负债在活跃市场上(未经调整)的报价。
    第二层级:直接(比如取自价格)或间接(比如根据价格推算的)可观察到的、除第一层级中的市场报价以外的资产或负债的输入值。
    第三层级:以可观察到的市场数据以外的变量为基础确定的资产或负债的输入值(不可观察输入值)。
    (ii)各层次金融工具公允价值
    于 2012 年 6 月 30 日,本基金持有的以公允价值计量的金融工具中属于第一层级的余额为181,703,962.11 元,属于第二层级的余额为 275,732.17 元,无属于第三层级的余额(2011 年 12月 31 日:第一层级 180,793,489.46 元,第二层级 636,055.72 元,无第三层级)。
    (iii)公允价值所属层次间的重大变动
    对于证券交易所上市的股票和债券,若出现重大事项停牌、交易不活跃(包括涨跌停时的交易不活跃)、或属于非公开发行等情况,本基金分别于停牌日至交易恢复活跃日期间、交易不活跃期间及限售期间不将相关股票和债券的公允价值列入第一层级;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级或第三层级。
    (iv)第三层次公允价值余额和本期变动金额
    无。
    (2)除公允价值外,截至资产负债表日本基金无需要说明的其他重要事项。
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                                  中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                  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                                          181,979,694.28                94.24
        其中:股票                                        181,979,694.28                94.24
    2      固定收益投资                                                    -                   -
        其中:债券                                                      -                   -
               资产支持证券                                             -                   -
    3      金融衍生品投资                                                  -                   -
    4      买入返售金融资产                                                -                   -
        其中:买断式回购的买入返售金融资产                              -                   -
    5      银行存款和结算备付金合计                           10,396,570.44                 5.38
    6      其他各项资产                                          724,675.11                 0.38
    7      合计                                              193,100,939.83               100.00
    7.2    期末按行业分类的股票投资组合7.2.1 指数投资期末按行业分类的股票投资组合
                                                                       金额单位:人民币元
                                                                            占基金资产净值
    代码                   行业类别                          公允价值
                                                                              比例(%)
    A      农、林、牧、渔业                                      981,906.35                 0.51
    B      采掘业                                             16,111,917.01                 8.40
    C      制造业                                             55,468,852.43                28.91
    C0             食品、饮料                                  11,570,773.87                 6.03
    C1             纺织、服装、皮毛                               563,581.32                 0.29
    C2             木材、家具                                               -                   -
    C3             造纸、印刷                                               -                   -
    C4             石油、化学、塑胶、塑料                        3,339,015.27                1.74
    C5             电子                                          3,019,560.62                1.57
    C6             金属、非金属                                12,612,278.20                 6.57
    C7             机械、设备、仪表                            16,631,584.02                 8.67
    C8             医药、生物制品                                7,684,295.83                4.01
    C99            其他制造业                                      47,763.30                 0.02
    D      电力、煤气及水的生产和供应业                         4,084,427.55                2.13
    E      建筑业                                               4,735,041.12                2.47
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                                 中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    F     交通运输、仓储业                                     4,507,586.89                2.35
    G     信息技术业                                           4,349,161.26                2.27
    H     批发和零售贸易                                       4,132,069.28                2.15
    I     金融、保险业                                       47,684,707.69                24.86
    J     房地产业                                             8,864,282.59                4.62
    K     社会服务业                                           1,976,586.65                1.03
    L     传播与文化产业                                        497,736.38                 0.26
    M     综合类                                               2,386,933.71                1.24
       合计                                              155,781,208.91                81.207.2.2 积极投资期末按行业分类的股票投资组合
                                                                      金额单位:人民币元
                                                                           占基金资产净值
    代码                  行业类别                          公允价值
                                                                             比例(%)
    A     农、林、牧、渔业                                                -                   -
    B     采掘业                                               1,029,205.60                0.54
    C     制造业                                             16,640,577.31                 8.67
    C0            食品、饮料                                    5,491,181.60                2.86
    C1            纺织、服装、皮毛                               437,607.00                 0.23
    C2            木材、家具                                               -                   -
    C3            造纸、印刷                                     635,554.78                 0.33
    C4            石油、化学、塑胶、塑料                         993,546.00                 0.52
    C5            电子                                          2,653,280.00                1.38
    C6            金属、非金属                                   872,456.00                 0.45
    C7            机械、设备、仪表                              4,393,411.93                2.29
    C8            医药、生物制品                                1,163,540.00                0.61
    C99           其他制造业                                               -                   -
    D     电力、煤气及水的生产和供应业                          408,114.00                 0.21
    E     建筑业                                                956,040.00                 0.50
    F     交通运输、仓储业                                                -                   -
    G     信息技术业                                           1,418,440.06                0.74
    H     批发和零售贸易                                       1,773,549.00                0.92
    I     金融、保险业                                          789,660.00                 0.41
    J     房地产业                                              742,180.00                 0.39
    K     社会服务业                                           1,144,642.40                0.60
    L     传播与文化产业                                        654,777.00                 0.34
    M     综合类                                                641,300.00                 0.33
       合计                                               26,198,485.37                13.66
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    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
    序号     股票代码         股票名称        数量(股)        公允价值         净值比例
                                                                               (%)
    1        600016          民生银行            935,768         5,605,250.32            2.92
    2        601318          中国平安            117,850         5,390,459.00            2.81
    3        600036          招商银行            393,528         4,297,325.76            2.24
    4        601328          交通银行            789,655         3,585,033.70            1.87
    5        600519          贵州茅台             13,724         3,282,094.60            1.71
    6        600000          浦发银行            367,968         2,991,579.84            1.56
    7        000002           万 科A            327,188         2,915,245.08            1.52
    8        600030          中信证券            229,687         2,900,946.81            1.51
    9        600837          海通证券            285,456         2,748,941.28            1.43
    10       601088          中国神华            119,992         2,697,420.16            1.41
    11       601601          中国太保             96,601         2,142,610.18            1.12
    12       600111          包钢稀土             50,177         1,979,984.42            1.03
    13       601398          工商银行            493,649         1,949,913.55            1.02
    14       601288          农业银行            740,762         1,918,573.58            1.00
    15       000858          五 粮 液             57,696         1,890,120.96            0.99
    16       600048          保利地产            135,590         1,537,590.60            0.80
    17       601668          中国建筑            455,979         1,522,969.86            0.79
    18       000157          中联重科            149,331         1,497,789.93            0.78
    19       000001          深发展A             91,548         1,387,867.68            0.72
    20       000651          格力电器             64,003         1,334,462.55            0.70
    21       002304          洋河股份              9,850         1,325,317.50            0.69
    22       601169          北京银行            133,741         1,306,649.57            0.68
    23       600518          康美药业             84,407         1,301,555.94            0.68
    24       600031          三一重工             92,330         1,285,233.60            0.67
    25       601006          大秦铁路            180,767         1,270,792.01            0.66
    26       600256          广汇能源             91,267         1,229,366.49            0.64
    27       601939          建设银行            283,470         1,190,574.00            0.62
    28       600887          伊利股份             52,563         1,081,746.54            0.56
    29       002024          苏宁电器            127,602         1,070,580.78            0.56
    30       601818          光大银行            368,719         1,047,161.96            0.55
    31       600900          长江电力            150,468         1,023,182.40            0.53
    32       601899          紫金矿业            259,831         1,008,144.28            0.53
    33       600015          华夏银行            104,108          985,902.76             0.51
    34       601857          中国石油            106,052          959,770.60             0.50
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                  中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    35   600050   中国联通           257,748          958,822.56             0.50
    36   600585   海螺水泥            64,512          956,067.84             0.50
    37   600104   上汽集团            65,772          939,881.88             0.49
    38   002415   海康威视            34,284          932,524.80             0.49
    39   601888   中国国旅            32,793          925,418.46             0.48
    40   000568   泸州老窖            21,194          896,718.14             0.47
    41   600383   金地集团           135,926          880,800.48             0.46
    42   000063   中兴通讯            62,736          875,794.56             0.46
    43   601628   中国人寿            45,602          834,516.60             0.43
    44   600999   招商证券            70,839          822,440.79             0.43
    45   600028   中国石化           128,951          812,391.30             0.42
    46   600011   华能国际           125,500          809,475.00             0.42
    47   000776   广发证券            26,988          805,052.04             0.42
    48   000983   西山煤电            47,897          747,193.20             0.39
    49   601600   中国铝业           120,803          745,354.51             0.39
    50   600362   江西铜业            30,907          738,986.37             0.39
    51   000338   潍柴动力            24,815          736,757.35             0.38
    52   600547   山东黄金            21,632          710,394.88             0.37
    53   000069   华侨城A           110,521          705,123.98             0.37
    54   601688   华泰证券            66,642          699,741.00             0.36
    55   601989   中国重工           133,781          694,323.39             0.36
    56   600019   宝钢股份           159,705          689,925.60             0.36
    57   000527   美的电器            61,719          681,994.95             0.36
    58   000792   盐湖股份            19,338          653,044.26             0.34
    59   600739   辽宁成大            41,487          647,197.20             0.34
    60   600489   中金黄金            29,824          641,812.48             0.33
    61   000423   东阿阿胶            15,907          636,439.07             0.33
    62   600795   国电电力           233,985          631,759.50             0.33
    63   601898   中煤能源            78,932          610,933.68             0.32
    64   601299   中国北车           151,617          607,984.17             0.32
    65   000538   云南白药            10,242          607,145.76             0.32
    66   601699   潞安环能            27,975          580,201.50             0.30
    67   601988   中国银行           204,881          577,764.42             0.30
    68   600690   青岛海尔            48,978          574,022.16             0.30
    69   000629   攀钢钒钛            87,027          572,637.66             0.30
    70   000895   双汇发展             9,210          569,914.80             0.30
    71   601766   中国南车           123,315          562,316.40             0.29
    72   600348   阳泉煤业            36,558          559,337.40             0.29
    73   601788   光大证券            41,563          547,384.71             0.29
    74   600089   特变电工            80,097          542,256.69             0.28
    75   600276   恒瑞医药            18,795          539,604.45             0.28
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                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    76    601009   南京银行            63,168          538,191.36             0.28
    77    600406   国电南瑞            28,738          537,113.22             0.28
    78    000425   徐工机械            36,857          528,529.38             0.28
    79    000100   TCL 集团           252,495          512,564.85             0.27
    80    000024   招商地产            20,880          512,186.40             0.27
    81    601669   中国水电           114,300          499,491.00             0.26
    82    601168   西部矿业            57,957           496,111.92            0.26
    83    601390   中国中铁           190,333          489,155.81             0.25
    84    000402   金 融 街            73,612          480,686.36             0.25
    85    601111   中国国航            76,779          472,190.85             0.25
    86    600600   青岛啤酒            12,051          460,227.69             0.24
    87    000783   长江证券            50,466          459,240.60             0.24
    88    601991   大唐发电            79,297          446,442.11             0.23
    89    601808   中海油服            26,722          441,180.22             0.23
    90    600309   烟台万华            32,858          438,654.30             0.23
    91    600875   东方电气            23,853          427,445.76             0.22
    92    601919   中国远洋            91,261          423,451.04             0.22
    93    000039   中集集团            31,720          421,876.00             0.22
    94    600115   东方航空           100,689          420,880.02             0.22
    95    000630   铜陵有色            21,605          416,976.50             0.22
    96    600068    葛洲坝             63,612          415,386.36             0.22
    97    600100    同方股             48,345          407,064.90             0.21
    98    600029   南方航空            87,655          404,089.55             0.21
    99    600535    天士力              9,185          401,568.20             0.21
    100   600642   申能股份            86,249          397,607.89             0.21
    101   600188   兖州煤业            20,941          397,460.18             0.21
    102   600369   西南证券            34,515          390,364.65             0.20
    103   600315   上海家化             9,971          388,968.71             0.20
    104   000878   云南铜业            21,521          385,225.90             0.20
    105   600150   中国船舶            16,757          384,908.29             0.20
    106   000725   京东方A           201,400          384,674.00             0.20
    107   600010   包钢股份            78,090          381,079.20             0.20
    108   000060   中金岭南            43,903          378,443.86             0.20
    109   000623   吉林敖东            21,756          377,249.04             0.20
    110   600123   兰花科创            20,838          376,334.28             0.20
    111   600009   上海机场            29,286          373,103.64             0.19
    112   601958   金钼股份            29,426          372,827.42             0.19
    113   600549   厦门钨业             8,291          364,057.81             0.19
    114   601666   平煤股份            35,884          363,146.08             0.19
    115   600583   海油工程            59,104          359,943.36             0.19
    116   600196   复星医药            34,739          358,159.09             0.19
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                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    117   000709   河北钢铁           129,094          352,426.62             0.18
    118   002142   宁波银行            35,053          349,828.94             0.18
    119   601117   中国化学            59,973          346,044.21             0.18
    120   600085    同仁堂             19,791          345,352.95             0.18
    121   600177    雅戈尔             40,594          344,643.06             0.18
    122   601607   上海医药            31,961          341,023.87             0.18
    123   000012   南 玻A             37,856          340,704.00             0.18
    124   002422   科伦药业             7,295          340,384.70             0.18
    125   000581   威孚高科            12,407          339,951.80             0.18
    126   600143   金发科技            56,056          334,654.32             0.17
    127   601998   中信银行            83,640          334,560.00             0.17
    128   601186   中国铁建            74,988          333,696.60             0.17
    129   600660   福耀玻璃            42,633          333,390.06             0.17
    130   000009   中国宝安            33,163          331,630.00             0.17
    131   600005   武钢股份           122,716          330,106.04             0.17
    132   000728   国元证券            29,854          325,707.14             0.17
    133   600415   小商品城            41,371          322,693.80             0.17
    134   601633   长城汽车            18,099          322,162.20             0.17
    135   000937   冀中能源            21,088          322,013.76             0.17
    136   600066   宇通客车            14,336          321,986.56             0.17
    137   600166   福田汽车            44,903          321,056.45             0.17
    138   600271   航天信息            16,850          318,633.50             0.17
    139   600881   亚泰集团            57,605          316,827.50             0.17
    140   002155   辰州矿业            16,307          315,703.52             0.16
    141   002202   金风科技            49,143          315,006.63             0.16
    142   600376   首开股份            22,726          300,892.24             0.16
    143   600694   大商股份             8,930          298,708.50             0.16
    144   600809   山西汾酒             7,896          297,600.24             0.16
    145   000768   西飞国际            37,670          295,709.50             0.15
    146   000562   宏源证券            17,771          293,932.34             0.15
    147   600058   五矿发展            13,137          293,349.21             0.15
    148   600153   建发股份            40,819          292,264.04             0.15
    149   600703   三安光电            21,465          292,138.65             0.15
    150   000528    柳 工              23,443          290,927.63             0.15
    151   600252   中恒集团            26,540          290,878.40             0.15
    152   600827   友谊股份            25,579          289,298.49             0.15
    153   601717    郑煤机             24,939          289,292.40             0.15
    154   601018    宁波港            114,289          289,151.17             0.15
    155   601618   中国中冶           116,157          288,069.36             0.15
    156   000401   冀东水泥            20,476          287,892.56             0.15
    157   600741   华域汽车            31,408          281,729.76             0.15
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                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    158   000869   张 裕A              4,168          280,339.68             0.15
    159   600497   驰宏锌锗            19,910          280,133.70             0.15
    160   000729   燕京啤酒            38,332          279,823.60             0.15
    161   000933   神火股份            30,648          279,509.76             0.15
    162   000625   长安汽车            56,704          276,715.52             0.14
    163   601901   方正证券            54,400          276,352.00             0.14
    164   600655   豫园商城            34,941          275,335.08             0.14
    165   002241   歌尔声学             7,500          273,675.00             0.14
    166   000960   锡业股份            13,784          271,544.80             0.14
    167   600395   盘江股份            10,062          270,466.56             0.14
    168   000800   一汽轿车            24,739          268,665.54             0.14
    169   000422   湖北宜化            21,844          267,589.00             0.14
    170   000758   中色股份            13,981          265,219.57             0.14
    171   002081   金 螳 螂             6,900          262,200.00             0.14
    172   002353   杰瑞股份             5,400          261,900.00             0.14
    173   600267   海正药业            14,914          260,696.72             0.14
    174   000999   华润三九            11,900          260,015.00             0.14
    175   600832   东方明珠            48,418          260,004.66             0.14
    176   002106   莱宝高科            12,779          256,474.53             0.13
    177   601992   金隅股份            38,133          253,584.45             0.13
    178   601333   广深铁路            86,134          253,233.96             0.13
    179   600779    水井坊             10,396          252,310.92             0.13
    180   600649   城投控股            34,937          252,245.14             0.13
    181   601106   中国一重            79,513          251,261.08             0.13
    182   600259   广晟有色             3,792          250,006.56             0.13
    183   000825   太钢不锈            69,259          244,484.27             0.13
    184   600804    鹏博士             40,682          241,651.08             0.13
    185   601118   海南橡胶            35,118          241,260.66             0.13
    186   000876   新 希 望            15,848          237,403.04             0.12
    187   600125   铁龙物流            27,986          237,321.28             0.12
    188   600839   四川长虹           112,304          236,961.44             0.12
    189   002385    大北农             12,182          236,330.80             0.12
    190   600219   南山铝业            35,269          236,302.30             0.12
    191   600208   新湖中宝            56,627          233,869.51             0.12
    192   002001   新 和 成            11,033          233,127.29             0.12
    193   600588   用友软件            14,879          227,053.54             0.12
    194   600320   振华重工            53,382          225,272.04             0.12
    195   002038   双鹭药业             6,944          223,596.80             0.12
    196   601001   大同煤业            20,356          222,898.20             0.12
    197   600811   东方集团            40,550          222,214.00             0.12
    198   600718   东软集团            25,502          219,572.22             0.11
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                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    199   600372   中航电子            11,984          215,592.16             0.11
    200   600893   航空动力            16,563          215,484.63             0.11
    201   002007   华兰生物             8,755          215,197.90             0.11
    202   002310   东方园林             3,664          215,113.44             0.11
    203   002092   中泰化学            28,066          214,704.90             0.11
    204   000061   农 产 品            36,424          211,259.20             0.11
    205   601179   中国西电            52,946          210,725.08             0.11
    206   601101   昊华能源            12,161          208,196.32             0.11
    207   600674   川投能源            29,973          207,413.16             0.11
    208   600971   恒源煤电            14,856          206,944.08             0.11
    209   600216   浙江医药             8,213          206,556.95             0.11
    210   601918   国投新集            16,871          205,994.91             0.11
    211   600266   北京城建            13,507          205,171.33             0.11
    212   600108   亚盛集团            41,415          204,175.95             0.11
    213   600895   张江高科            23,553          201,849.21             0.11
    214   600331   宏达股份            25,088          201,707.52             0.11
    215   000718   苏宁环球            24,837          201,179.70             0.10
    216   600062   华润双鹤            10,429          198,985.32             0.10
    217   600997   开滦股份            18,758          196,396.26             0.10
    218   601928   凤凰传媒            22,700          195,220.00             0.10
    219   002299   圣农发展            13,511          195,098.84             0.10
    220   000778   新兴铸管            29,136          194,919.84             0.10
    221   000969   安泰科技            15,733          192,414.59             0.10
    222   600859    王府井              7,030          192,340.80             0.10
    223   000839   中信国安            28,604          192,218.88             0.10
    224   600664   哈药股份            29,143          192,052.37             0.10
    225   600132   重庆啤酒             8,829          190,618.11             0.10
    226   600863   内蒙华电            23,539          185,958.10             0.10
    227   002146   荣盛发展            17,006          185,365.40             0.10
    228   600221   海南航空            37,629          183,629.52             0.10
    229   601933   永辉超市             6,769          183,439.90             0.10
    230   600550   天威保变            20,863          182,133.99             0.09
    231   000046   泛海建设            40,700          181,929.00             0.09
    232   002069   獐 子 岛             8,644          180,227.40             0.09
    233   601866   中海集运            71,045          179,743.85             0.09
    234   600352   浙江龙盛            31,236          178,982.28             0.09
    235   600498   烽火通信             6,723          178,226.73             0.09
    236   600169   太原重工            50,490          177,219.90             0.09
    237   600770   综艺股份            15,334          176,034.32             0.09
    238   600118   中国卫星            13,929          175,366.11             0.09
    239   600160   巨化股份            17,237          174,093.70             0.09
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                   中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    240   601158   重庆水务            29,179          171,864.31             0.09
    241   000898   鞍钢股份            43,949          171,401.10             0.09
    242   601558   华锐风电            24,450          171,394.50             0.09
    243   000703   恒逸石化            10,300          171,289.00             0.09
    244   600109   国金证券            11,902          171,269.78             0.09
    245   600316   洪都航空            13,079          170,419.37             0.09
    246   600516   方大炭素            19,437          165,991.98             0.09
    247   000807   云铝股份            28,076          165,367.64             0.09
    248   600432   吉恩镍业            12,324          163,662.72             0.09
    249   600873   梅花集团            24,187          163,262.25             0.09
    250   600096    云天化             12,303          163,137.78             0.09
    251   000680   山推股份            27,700          162,045.00             0.08
    252   600598    北大荒             21,630          161,143.50             0.08
    253   601336   新华保险             4,700          160,928.00             0.08
    254   600508   上海能源             8,784          159,253.92             0.08
    255   600812   华北制药            25,011          159,069.96             0.08
    256   002128   露天煤业            12,102          158,294.16             0.08
    257   601555   东吴证券            17,800          157,352.00             0.08
    258   601098   中南传媒            16,378          156,901.24             0.08
    259   601099    太平洋             22,299          153,863.10             0.08
    260   600970   中材国际            13,295          153,424.30             0.08
    261   600170   上海建工            21,094          152,298.68             0.08
    262   002073   软控股份            18,053          151,284.14             0.08
    263   600528   中铁二局            22,196          150,044.96             0.08
    264   600418   江淮汽车            27,420          148,342.20             0.08
    265   600500   中化国际            21,857          147,753.32             0.08
    266   600022   山东钢铁            57,361          147,417.77             0.08
    267   600037   歌华有线            19,338          145,615.14             0.08
    268   000059   辽通化工            18,254          144,389.14             0.08
    269   601566    九牧王              5,100          142,035.00             0.07
    270   601369   陕鼓动力            14,948          138,418.48             0.07
    271   002344   海宁皮城                 5,112      133,320.96             0.07
    272   000686   东北证券             7,776          133,280.64             0.07
    273   000961   中南建设            10,648          132,674.08             0.07
    274   002500   山西证券            16,037          131,343.03             0.07
    275   600183   生益科技            25,349          130,547.35             0.07
    276   000780   平庄能源            12,336          129,281.28             0.07
    277   600595   中孚实业            23,016          128,429.28             0.07
    278   002570    贝因美              6,300          126,945.00             0.07
    279   600546    山煤国              6,028          126,105.76             0.07
    280   600456   宝钛股份             6,534          122,643.18             0.06
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                                中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    281       000559           万向钱潮             24,226          121,856.78             0.06
    282       002431           棕榈园林              4,673          120,516.67             0.06
    283       000968           煤 气 化              7,803          118,995.75             0.06
    284       002122           天马股份             18,072          116,745.12             0.06
    285       601718           际华集团             35,195           111,216.20            0.06
    286       600783           鲁信创投              6,789          108,352.44             0.06
    287       000021           长城开发             20,046          107,847.48             0.06
    288       601216           内蒙君正             15,186          105,846.42             0.06
    289       002493           荣盛石化              6,762          103,661.46             0.05
    290       002399            海普瑞               4,863          103,095.60             0.05
    291       002405           四维图新              8,544          102,015.36             0.05
    292       601258           庞大集团             15,938            97,221.80            0.05
    293       002603           以岭药业              3,359            92,540.45            0.05
    294       600307           酒钢宏兴             24,903            86,413.41            0.05
    295       002378           章源钨业              2,606            82,505.96            0.04
    296       601233           桐昆股份              8,799            76,903.26            0.04
    297       601377           兴业证券              6,947            72,804.56            0.04
    298       601268           二重重装             10,278            63,004.14            0.03
    299       002594            比亚迪               2,405            47,763.30            0.02注:深发展 A(000001)从 2012 年 8 月 2 日起更名为平安银行。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
    序号     股票代码          股票名称        数量(股)        公允价值         净值比例
                                                                                (%)
    1        600199           金种子酒             64,500         1,611,210.00            0.84
    2        600066           宇通客车             49,500         1,111,770.00            0.58
    3        002311           海大集团             46,410          828,882.60             0.43
    4        600837           海通证券             82,000          789,660.00             0.41
    5        002157           正邦科技             73,000          769,420.00             0.40
    6        300007           汉威电子             40,200          743,298.00             0.39
    7        600366           宁波韵升             35,700          741,132.00             0.39
    8        002241           歌尔声学             20,000          729,800.00             0.38
    9        600739           辽宁成大             46,500          725,400.00             0.38
    10       600881           亚泰集团            116,600          641,300.00             0.33
    11       600433           冠豪高新             86,002          635,554.78             0.33
    12       000596           古井贡酒             12,800          604,672.00             0.32
    13       002081           金 螳 螂             15,750          598,500.00             0.31
    14       000651           格力电器             27,500          573,375.00             0.30
    15       000157           中联重科             55,959          561,268.77             0.29
    16       000430            张家界              57,000          539,220.00             0.28
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    17   600063   皖维高新           192,000          535,680.00             0.28
    18   600111   包钢稀土            12,600          497,196.00             0.26
    19   600518   康美药业            30,000          462,600.00             0.24
    20   600844   丹化科技            36,600          457,866.00             0.24
    21   002304   洋河股份             3,360          452,088.00             0.24
    22   000861   海印股份            27,900          443,610.00             0.23
    23   002146   荣盛发展            40,000          436,000.00             0.23
    24   600582   天地科技            30,000          433,500.00             0.23
    25   600887   伊利股份            20,500          421,890.00             0.22
    26   002236   大华股份            13,600          417,520.00             0.22
    27   600073   上海梅林            57,600          409,536.00             0.21
    28   000016   深康佳A           109,800          408,456.00             0.21
    29   600396   金山股份            55,300          408,114.00             0.21
    30   000568   泸州老窖             9,300          393,483.00             0.21
    31   002155   辰州矿业            20,160          390,297.60             0.20
    32   002065   东华软件            17,000          377,400.00             0.20
    33   000786   北新建材            29,000          375,260.00             0.20
    34   300183   东软载波            13,931          365,828.06             0.19
    35   000788   西南合成            49,700          362,810.00             0.19
    36   600491   龙元建设            59,000          357,540.00             0.19
    37   600060   海信电器            21,200          356,372.00             0.19
    38   600967   北方创业            19,500          354,705.00             0.18
    39   002148   北纬通信            21,700          342,860.00             0.18
    40   000888   峨眉山A            16,000          342,080.00             0.18
    41   000623   吉林敖东            19,500          338,130.00             0.18
    42   600397   安源股份            25,000          335,500.00             0.17
    43   300166   东方国信            14,400          332,352.00             0.17
    44   600637    百视通             25,100          328,810.00             0.17
    45   300226   上海钢联            23,300          325,967.00             0.17
    46   601717    郑煤机             28,000          324,800.00             0.17
    47   600682    南京新             38,900          317,035.00             0.17
    48   600048   保利地产            27,000          306,180.00             0.16
    49   600123   兰花科创            16,800          303,408.00             0.16
    50   600335   国机汽车            23,800          287,504.00             0.15
    51   002051   中工国际             9,915          263,342.40             0.14
    52   000982   中银绒业            25,000          242,000.00             0.13
    53   002327    富安娜              4,300          195,607.00             0.10
    54   002298   鑫龙电器            21,900          178,485.00             0.09
    55   600587   新华医疗             4,492          112,210.16             0.06
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                               中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    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
    序号     股票代码         股票名称              本期累计买入金额           产净值比例
                                                                             (%)
    1        600016          民生银行                          2,902,440.00              1.51
    2        601088          中国神华                          1,474,737.80              0.77
    3        000002           万 科A                          1,281,544.66              0.67
    4        002089          新 海 宜                          1,241,400.09              0.65
    5        600066          宇通客车                          1,238,598.84              0.65
    6        600199          金种子酒                          1,150,555.10              0.60
    7        000001          深发展A                          1,097,069.68              0.57
    8        000962          东方钽业                          1,050,718.75              0.55
    9        002268          卫 士 通                          1,038,614.80              0.54
    10       601328          交通银行                          1,020,609.00              0.53
    11       002431          棕榈园林                          1,005,919.65              0.52
    12       600837          海通证券                           998,108.00               0.52
    13       300007          汉威电子                           995,627.00               0.52
    14       002073          软控股份                           989,835.62               0.52
    15       000418          小天鹅A                           967,996.69               0.50
    16       002129          中环股份                           880,474.00               0.46
    17       600518          康美药业                           871,882.00               0.45
    18       002033          丽江旅游                           870,004.00               0.45
    19       600739          辽宁成大                           856,941.93               0.45
    20       601818          光大银行                           820,688.43               0.43注:1、买入金额均按买卖成交金额(成交单价乘以成交数量)填列,不考虑相关交易费用。2、深发展 A(000001)从 2012 年 8 月 2 日起更名为平安银行。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
    序号     股票代码         股票名称              本期累计卖出金额           产净值比例
                                                                             (%)
    1        300181          佐力药业                          5,502,654.73              2.87
    2        600016          民生银行                          5,269,638.32              2.75
    3        600036          招商银行                          4,911,903.84              2.56
    4        600519          贵州茅台                          1,962,381.28              1.02
    5        600000          浦发银行                          1,887,373.40              0.98
    6        601088          中国神华                          1,639,802.61              0.86
    7        000002           万 科A                          1,613,664.84              0.84
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                                  中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    8         601699           潞安环能                         1,546,630.62               0.81
    9         601601           中国太保                         1,457,578.02               0.76
    10        000001           深发展A                         1,377,986.66               0.72
    11        601328           交通银行                         1,376,524.10               0.72
    12        002089           新 海 宜                         1,318,311.03               0.69
    13        601117           中国化学                         1,203,214.50               0.63
    14        000063           中兴通讯                         1,081,607.11               0.56
    15        000962           东方钽业                         1,006,518.21               0.52
    16        002073           软控股份                          995,754.10                0.52
    17        002268           卫 士 通                          968,805.70                0.51
    18        000157           中联重科                          960,913.65                0.50
    19        600805           悦达投资                          955,509.00                0.50
    20        000024           招商地产                          945,411.91                0.49
    注:1、卖出金额均按买卖成交金额(成交单价乘以成交数量)填列,不考虑相关交易费用。
    2、深发展 A(000001)从 2012 年 8 月 2 日起更名为平安银行。
    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
    买入股票的成本(成交)总额                                                      91,127,883.12
    卖出股票的收入(成交)总额                                                     100,090,877.46
    注:买入股票成本、卖出股票收入均按买卖成交金额(成交单价乘以成交数量)填列,不考虑相关交易费用。
    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名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名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   期末按公允价值占基金资产净值比例大小排名的前五名权证投资明细
    本基金本报告期末未持有权证。
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    7.9     投资组合报告附注
    7.9.1 本基金投资的前十名证券的发行主体本报告期内没有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。
    7.9.2 本基金投资的前十名股票中,没有投资于超出基金合同规定备选库之外的股票。
    7.9.3 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                                                                                -
    2      应收证券清算款                                                                 376,337.25
    3      应收股利                                                                       327,113.34
    4      应收利息                                                                         4,098.09
    5      应收申购款                                                                      17,126.43
    6      其他应收款                                                                                -
    7      待摊费用                                                                                  -
    8      其他                                                                                      -
    9      合计                                                                           724,675.11
    7.9.4 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。
    7.9.5.1 期末指数投资前十名股票中存在流通受限情况的说明
    本基金本报告期末指数投资前十名股票中不存在流通受限情况。
    7.9.5.2 期末积极投资前五名股票中存在流通受限情况的说明
    本基金本报告期末积极投资前五名股票中不存在流通受限情况。
    7.9.6 投资组合报告附注的其他文字描述部分
    本报告中因四舍五入原因,投资组合报告中市值占总资产或净资产比例的分项之和与合计可能存在尾差。
                                    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
                                        机构投资者                          个人投资者
    持有人户     户均持有的
    数(户)         基金份额                         占总份额比                              占总份额
                                持有份额                             持有份额
                                                     例                                   比例
    6,909          34,035.79      30,854,702.28         13.12%        204,298,591.36          86.88%
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    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      李国庆                                             1,000,070.00                18.46%
    2      李坚                                                 200,006.00                 3.69%
    3      贾彩荣                                               198,000.00                 3.65%
    4      王子辰                                               200,000.00                 3.69%
    5      黄小菊                                               185,000.00                 3.41%
    6      孙家康                                               116,018.00                 2.14%
    7      杨大卫                                               100,014.00                 1.85%
    8      王鸿雁                                               100,007.00                 1.85%
    9      孙启军                                               100,007.00                 1.85%
    10     常永强                                               100,006.00                 1.85%
    注:以上均为场内持有人。
    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公司所有从业人员持有本
                                                              17,111.44                 0.0073%基金
    注:1、基金管理人的高级管理人员、基金投资和研究部门负责人持有该只基金份额总量的数量区间为 0;
    2、该只基金的基金经理持有该只基金份额总量的数量区间为 0。
                                 9     开放式基金份额变动
                                                                     单位:份基金合同生效日(2010 年 6 月 24 日)基金份额
                                                                                1,202,197,493.33总额
    本报告期期初基金份额总额                                                        246,851,329.39
    本报告期基金总申购份额                                                             3,641,773.31
    减:本报告期基金总赎回份额                                                        15,339,809.06
    本报告期基金拆分变动份额                                                                      -
    本报告期期末基金份额总额                                                        235,153,293.64
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                                    10   重大事件揭示
    10.1   基金份额持有人大会决议
    报告期内无基金份额持有人大会决议。
    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
    10.2.1 基金管理人的重大人事变动
    本报告期内,基金管理人于 2012 年 4 月 27 日发布公告,林钟斌先生自 2012 年 4 月 25 日起不再担任中欧沪深 300 指数增强型证券投资基金(LOF)基金经理。相关变更事项已按规定向中国证监会和上海证监局报告。
    本报告期内,基金管理人于 2012 年 6 月 1 日发布公告,周蔚文先生自 2012 年 5 月 28 日起担任中欧基金管理有限公司副总经理职务。相关变更事项已按规定向中国证监会和上海证监局报告。
    本报告期内,基金管理人于 2012 年 6 月 2 日发布公告,徐红光先生自 2012 年 5 月 31 日起不再担任中欧基金管理有限公司副总经理职务。相关变更事项已按规定向中国证监会和上海证监局报告。
    10.2.2 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
    报告期内无涉及本基金管理人、基金财产、基金托管业务的诉讼事项。
    10.4   基金投资策略的改变
    报告期内本基金投资策略未发生改变。
    10.5 报告期内改聘会计师事务所情况
    本基金自合同生效日起聘请普华永道会计师事务所有限公司为本基金提供审计服务。报告期内本基金未改聘会计师事务所。
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    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
    报告期内本基金管理人、基金托管人及其高级管理人员未受监管部门的稽查或处罚。
    10.7 基金租用证券公司交易单元的有关情况
    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        备注
                                                    占当期
                                                                               占当期佣
    券商名称      交易单元数量                        股票成
                                    成交金额                      佣金         金总量的
                                                    交总额
                                                                                 比例
                                                    的比例
    中信建投            1              34,809,244.05   18.24%        29,962.98      18.72%        -
    东方证券            1              26,634,931.90   13.96%        21,640.88      13.52%        -
    瑞银证券            1              25,698,263.78   13.47%        20,974.51      13.11%        -
    申银万国            1              19,867,565.12   10.41%        17,048.96      10.65%        -
    西部证券            1              18,393,489.91    9.64%        15,634.59       9.77%        -
    中金公司            1              16,123,153.13    8.45%        13,704.74       8.56%        -
    中航证券            1              11,872,067.15    6.22%        10,091.34       6.31%        -
    长江证券            1              11,511,763.28    6.03%         9,395.86       5.87%        -
    国都证券            2              10,997,769.13    5.76%         9,165.66       5.73%        -
    海通证券            1               7,703,387.93    4.04%         6,456.39       4.03%        -
    中信证券            1               4,687,685.53    2.46%         3,808.65       2.38%        -
    广发证券            1               1,052,927.36    0.55%           895.02       0.56%        -
    招商证券            1                813,984.53     0.43%           661.42       0.41%        -
    光大证券            1                376,780.00     0.20%           328.93       0.21%        -
    西藏同信            1                303,503.00     0.16%           246.62       0.15%        -
    中邮证券            1                          -            -             -           -       -
    华泰联合            1                          -            -             -           -       -
    国金证券            1                          -            -             -           -       -
    红塔证券            1                          -            -             -           -       -
    国海证券            1                          -            -             -           -       -
    注:1、根据中国证监会的有关规定,我司在综合考量证券经营机构的财务状况、经营状况、研究能力的基础上,选择基金专用交易席位,并由公司董事会授权管理层批准。
    2、本报告期内,新增国海证券上海交易单元和红塔证券上海交易单元。
    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
                                                                           金额单位:人民币元
    券商名称               债券交易                    回购交易                     权证交易
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                                         中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                   占当期                                                          占当期
                                                                     占当期回
                                   债券成                                                          权证成
                   成交金额                       成交金额           购成交总       成交金额
                                   交总额                                                          交总额
                                                                     额的比例
                                   的比例                                                          的比例
    中信建投                       -            -                  -                -              -        -
    东方证券                       -            -                  -                -              -        -
    瑞银证券                       -            -                  -                -              -        -
    申银万国                       -            -                  -                -              -        -
    西部证券                       -            -                  -                -              -        -
    中金公司                       -            -                  -                -              -        -
    中航证券                       -            -                  -                -              -        -
    长江证券                       -            -                  -                -              -        -
    国都证券            281,097.00     100.00%                     -                -              -        -
    海通证券                       -            -                  -                -              -        -
    中信证券                       -            -                  -                -              -        -
    广发证券                       -            -                  -                -              -        -
    招商证券                       -            -                  -                -              -        -
    光大证券                       -            -                  -                -              -        -
    西藏同信                       -            -                  -                -              -        -
    中邮证券                       -            -                  -                -              -        -
    华泰联合                       -            -                  -                -              -        -
    国金证券                       -            -                  -                -              -        -
    红塔证券                       -            -                  -                -              -        -
    国海证券                       -            -                  -                -              -        -
    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
    1       中欧基金管理有限公司旗下基金2011年12
         月31日基金资产净值、基金份额净值和基金             公司网站                   2012-01-04
         份额累计净值公告
    2                                                          《中国证券报》、《上
         中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                            海证券报》、《证券时       2012-01-18
         (LOF)2011年第4季度报告
                                                            报》、公司网站
    3                                                          《中国证券报》、《上
         中欧基金管理有限公司关于调整旗下部分
                                                            海证券报》、《证券时       2012-01-20
         基金持有“深发展A”股票估值方法的公告
                                                            报》、公司网站
    4                                                          《中国证券报》、《上
         中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                            海证券报》、《证券时       2012-02-06
         (LOF)更新招募说明书(2012年第1号)
                                                            报》、公司网站
    5       中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金   《中国证券报》、《上
                                                                                       2012-02-06
         (LOF)更新招募说明书摘要(2012年第1               海证券报》、《证券时
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                                     中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
    号)                                               报》、公司网站
    6    中欧基金管理有限公司关于新增中信证券               《中国证券报》、《上
    (浙江)有限责任公司为旗下部分基金代销             海证券报》、《证券时    2012-02-13
    机构的公告                                         报》、公司网站
    7    中欧基金管理有限公司关于旗下部分基金               《中国证券报》、《上
    在中信证券(浙江)有限责任公司开通基金             海证券报》、《证券时    2012-02-13
    转换业务的公告                                     报》、公司网站
    8    中欧基金管理有限公司关于旗下部分基金               《中国证券报》、《上
    在中信证券(浙江)有限责任公司开通定期             海证券报》、《证券时    2012-02-13
    定额投资业务的公告                                 报》、公司网站
    9    中欧基金管理有限公司关于调整《中欧基金             《中国证券报》、《上
    管理有限公司直销网上交易定期定额申购               海证券报》、《证券时    2012-03-01
    业务规则》的公告                                   报》、公司网站
    10                                                      《中国证券报》、《上
    中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                        海证券报》、《证券时    2012-03-27
    (LOF)2011年年度报告(正文)
                                                        报》、公司网站
    11                                                      《中国证券报》、《上
    中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                        海证券报》、《证券时    2012-03-27
    (LOF)2011年年度报告(摘要)
                                                        报》、公司网站
    12   中欧基金管理有限公司关于开通上海银联               《中国证券报》、《上
    兴业银行卡基金网上直销定期定额投资业               海证券报》、《证券时    2012-04-13
    务并实施费率优惠的公告                             报》、公司网站
    13   中欧基金管理有限公司关于网上直销平台               《中国证券报》、《上
    新增上海银联相关银行借记卡支付业务的               海证券报》、《证券时    2012-04-13
    公告                                               报》、公司网站
    14                                                      《中国证券报》、《上
    中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                        海证券报》、《证券时    2012-04-24
    (LOF)2012年第1季度报告
                                                        报》、公司网站
    15                                                      《中国证券报》、《上
    中 欧 沪 深 300 指 数 增 强 型 证 券 投 资 基 金
                                                        海证券报》、《证券时    2012-04-27
    (LOF)基金经理变更公告
                                                        报》、公司网站
    16                                                      《中国证券报》、《上
    中欧基金管理有限公司关于成立北京分公
                                                        海证券报》、《证券时    2012-05-17
    司的公告
                                                        报》、公司网站
    17                                                      《中国证券报》、《上
    中欧基金管理有限公司关于新任副总经理
                                                        海证券报》、《证券时    2012-06-01
    的公告
                                                        报》、公司网站
    18                                                      《中国证券报》、《上
    中欧基金管理有限公司关于副总经理离任
                                                        海证券报》、《证券时    2012-06-02
    的公告
                                                        报》、公司网站
    19   中欧基金管理有限公司旗下基金2012年6月
    29日基金资产净值、基金份额净值和基金份             公司网站                2012-06-30
    额累计净值公告
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                                  中欧沪深 300 指数增强型证券投资基金(LOF)2012 年半年度报告
                                 11    备查文件目录
    11.1 备查文件目录
    1、中欧沪深 300 指数增强型证券投资基金(LOF)相关批准文件
    2、《中欧沪深 300 指数增强型证券投资基金(LOF)基金合同》
    3、《中欧沪深 300 指数增强型证券投资基金(LOF)托管协议》
    4、《中欧沪深 300 指数增强型证券投资基金(LOF)招募说明书》
    5、基金管理人业务资格批件、营业执照
    6、本报告期内在中国证监会指定报纸上公开披露的各项公告
    11.2 存放地点
    基金管理人、基金托管人的办公场所。
    11.3 查阅方式
    投资者可登录基金管理人网站(www.lcfunds.com)查阅,或在营业时间内至基金管理人、基金托管人办公场所免费查阅。
    投资者对本报告书如有疑问,可咨询本基金管理人中欧基金管理有限公司:
    客户服务中心电话:021-68609700,400-700-9700
                                                                    中欧基金管理有限公司
                                                                  二〇一二年八月二十四日
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