I Global Asset Research 실전 錢 퀀트 (Quant Weekly …

1 4Q & Investment Idea Quant 02-3771-7518 RA 02-3771-7515 Factor(not Sector) Long/Short List Long 1 2 3 4 5 6 Short 1 SK SK 2 3 S&T S&T 4 5 6 Compliance Notice , . , .. 2018 2 12 I Global Asset Research ( ) (Quant Weekly Hedge Strategy) 4 , ( ) . ( ) . 2004 [ 2]. 4 4 . 4 4 1.

2 / SDI/ /F&F , , , , , , 20% . , , , . , SDI, OCI, , , , , CJ CGV, , , , , , F&F, , , 4 .. ( ) , , SDI, , , F&F . , EMBI+ , .. VIX 27 30 . EMBI+ (343bp, 329bp) . , , . ( 78bp, 52bp).. Analyst 02-3771-7518 2 [Key Idea] 4Q & 1. 4 2. -40-30-20-100102030401Q043Q041Q053Q051Q0 63Q061Q073Q071Q083Q081Q093Q091Q103Q101Q1 13Q111Q123Q121Q133Q131Q143Q141Q153Q151Q1 63Q161Q173Q17(%) -60-50-40-30-20-1001020304050-60-40-2002 04010% 3 (%) (%) : Quantiwise, : Sentiment Index : Quantiwise, : 04 10% 3.

3 4Q17 & ( ) (4Q17 OP, ) ( ) (%)3Q17(OP YoY)4Q17(OP YoY)1Q18(OP YoY)SK 534,354 44,658 43,066 264,991 476 231 143,413 4,958 4,610 SDI 116,900 1,186 1,037 OCI 36,609 1,022 919 31,209 1,516 1,361 30,304 1,923 1,589 27,573 950 708 26,683 268 248 CGV 15,892 426 303 14,540 207 152 9,540 190 145 9,079 482 456 8,892 162 131 8,081 54 20 6,986 100 97 6,508 367 320 6,399 545 421 6.

4 129 411 368 3,612 71 68 3,423 191 110 3,315 54 48 3,070 253 126 2,625 511 370 : Quantiwise, : Analyst 02-3771-7518 3 [Key Idea] 1. 2. ( )( ) ,0002,0003,0004,0005,0006, ( ) ( )(%) ( ) ,0001,2001,4001, ( ) ( )(%) : Quantiwise, : = / *100 : Quantiwise, : = / *100 3. 4. ( )( )( )( )( )( ) (8,000)(6,000)(4,000)(2,000)02,0004,0006 ,0008,00010, ( ) ( )(%) ( )( )( )( )( )( )( ) ,00010,00015,00020,00025, ( ) ( )(%) : Quantiwise, : = / *100 : Quantiwise, : = / *100 5.

5 6. ( ) ,0001,2001, ( ) ( )(%) ( )( )( )( )( )( )( )( )( ) ,0004,0006,0008,00010,00012, ( ) ( )(%) : Quantiwise, : = / *100 : Quantiwise, : = / *100 Analyst 02-3771-7518 4 [Quant Hedge Strategy] (2 2 ) 1. Long-Short , Long-KOSPI Long-Short, Long-KOSPI + , + ( ) + , + ( , ) + + Long-KOSPI (%) : 2. Long : (+ ) (16)(14)(12)(10)(8)(6)(4)(2)0 Long 2 2 (%) : 3. Short : (- ) (12)(10)(8)(6)(4)(2)0 ShortSK S&T 2 2 (%) : Analyst 02-3771-7518 5 [Quant Weekly Hedge Strategy] , 1. Long List (1/6) 2. Long List (2/6) ( )( )( ) ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, 3.

6 Long List (3/6) 4. Long List (4/6) ( )( )( ) ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, 5. Long List (5/6) 6. Long List (6/6) ( )( )( ) ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, Analyst 02-3771-7518 6 7. Short List (1/6) 8. Short List (2/6) ( )( )( ) SK ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, 9. Short List (3/6) 10. Short List (4/6) ( )( )( ) S&T ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, 11.

7 Short List (5/6) 12. Short List (6/6) ( )( )( ) ( )( )( ) : (Z-Score) , Max : Quantiwise, : (Z-Score) , Max : Quantiwise, Analyst 02-3771-7518 7 ( : %, ) ( ) 1Q18 2Q18 OP Growth P/E (Fwd. 12M, ) P/E (Fwd. 12M, , ) P/B (Fwd. 12M, ) P/B (Fwd. 12M, , ) NP 3M Chg (12M Fwd, %) 1Q18 ( 3 ) 2Q18 ( 3 ) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) 2018 (%) 2019 (%) 357,658 ( ) ( ) ( ) ( ) ( ) 628,293 ( ) 3,595 ( ) ( ) ( ) ( ) ( ) 131,524 ( ) ( ) ( ) ( ) ( ) ( ) 410,414 ( ) ( ) ( ) ( ) 11,308 ( ) ( ) ( ) ( ) ( ) 51,796 ( ) ( ) ( ) ( ) 183,615 ( ) ( ) ( ) ( ) ( ) ( ) 18,605 ( ) ( ) ( ) ( ) ( ) ( ) 674,090 ( ) ( ) ( ) ( ) 98,741 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 128,863 ( ) ( )

8 36,977 ( ) ( ) ( ) 40,033 ( ) ( ) ( ) ( ) 83,999 ( ) ( ) ( ) ( ) ( ) ( ) 57,544 ( ) ( ) ( ) ( ) 30,041 ( ) ( ) ( ) ( ) ( ) 458,668 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 475,401 ( ) ( ) ( ) ( ) ( ) ( ) , , , 31,848 ( ) ( ) ( ) ( ) ( ) ( ) 458,606 ( ) ( ) ( ) ( ) ( ) ( ) , , 92,348 ( ) ( ) ( ) ( ) ( ) 42,274 ( ) ( ) ( ) ( ) ( ) 82,452 ( ) ( ) ( ) 42,035 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 226,056 ( ) ( ) ( ) ( ) ( ) 17,045 ( ) ( ) ( ) ( ) ( ) 1,154 ( ) ( ) ( ) ( ) 19,177 ( ) ( ) 28,399 ( ) : Analyst 02-3771-7518 8 ( : %, ) ( ) 1Q18 2Q18 OP Growth P/E (Fwd.)

9 12M, ) P/E (Fwd. 12M, , ) P/B (Fwd. 12M, ) P/B (Fwd. 12M, , ) NP 3M Chg (12M Fwd, %) 1Q18 ( 3 ) 2Q18 ( 3 ) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) 2018 (%) 2019 (%) 93,369 ( ) ( ) ( ) ( ) ( ) ( ) 136,331 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 19,956 ( ) ( ) ( ) ( ) ( ) ( ) 23,046 ( ) ( ) ( ) 386,765 ( ) ( ) ( ) 758,073 ( ) ( ) ( ) 80,524 ( ) ( ) ( ) ( ) ( ) 64,033 ( ) ( ) ( ) ( ) ( ) 358,565 ( ) ( ) ( ) ( ) ( ) ( ) IT 189,996 ( ) ( ) ( ) ( ) ( ) ( ) 16,190 ( ) ( ) ( ) 154,623 ( ) ( ) ( ) ( ) ( )

10 1,053 ( ) ( ) ( ) ( ) 8,365 ( ) ( ) ( ) 120,617 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 3,449,445 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 159,558 ( ) ( ) ( ) ( ) ( ) ( ) 122,519 ( ) ( ) ( ) 110,034 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 37,869 ( ) ( ) ( ) ( ) ( ) ( ) 72,850 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 250,767 ( ) ( ) ( ) ( ) ( ) ( ) 8,676 ( ) ( ) ( ) 12,800 ( ) ( ) 9,437 ( ) ( ) ( ) KOSPI 11,112,225 ( ) ( ) ( ) ( ) ( ) ( ) 11,038,019 ( ) ( ) ( ) ( ) ( ) ( ) 1,129,522 ( ) ( ) ( ) ( ) ( ) ( ) 91,316 ( ) ( ) ( ) ( ) ( ) ( ) KOSDAQ 455,798 ( ) ( ) ( ) ( ) ( ) ( ) : Analyst 02-3771-7518 9 1 / ( ) 1Q18 2Q18 OP Growth P/E P/B 12 m NP(3m) (%) ( ) (%) 1Q18 ( 3 ) 2Q18 ( 3 ) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) OP QoQ (%) OP YoY (%) OP 1W (%) OP 1M (%) 2018 (%) 2019 (%) (Fwd.)