신영 SRI 증권투자신탁 [ 주식 ]C 투자위험 : 1 등급 Star Rating 펀드요약정보 작성일 2011 년 5 월 06 일 기준일 2011 년 4 월 30 일 Fund Analyst 지현욱 (02-3771-0732, tompson.ji@morningstar.com) 설정일 2008.03.20 집합투자업자신영자산운용 순자산총액 938.4 억원구분주식형투자신탁 유형구분국내주식형 / 대형주 52 주기준가범위 786.05~1,105.37 투자유형대형가치총수수료 % 벤치마크 (BM) KOSPI 200 운용전략 기업의사회적책임 (CSR) 우수기업들에대한지속적장기및가치투자 동펀드는신탁재산의 60% 이상을주식에투자함. 윤리, 환경, 제품및서비스의속성등부정적항목에해당하는기업은 1 차적으로배제하며, 친환경, 윤리성, 대체에너지개발등산업별특성에따라긍정적항목에해당하는기업을선정해장기투자를실시함. 재무항목,CR(Corporate Responsibility) 항목을기준으로 1 차로종목을선정후, 정성적평가와환경. 사회적리스크및관리능력을평가해최종투자종목으로선정함. 이렇게선정된지속가능종목군에순자산의 60% 이상을투자하며, 가치주군을 40 이하로포트폴리오를구성해전체종목수는약 40~80 종목으로구성함. 한편정기적으로투자기업들에대한펀더멘탈의변화, 종목별투자매력도, 사회적책임항목에대한모니터링함으로써, 포트폴리오조정및리밸런싱을실시하면서, 투자의위험성은줄이면서기업가치를극대화하고자함 기간별운용성과 최근 4 개월간 YTD 4.47%, BM 대비로는 -2.61%p 하락 기간별수익률및유형내 % 순위 ( 단위 :%,%p) 1
동펀드의기간별운용성과를살펴보면, [ 표 2] 에서보는바와같이 2010 년에는벤치마크와국내대형주펀드유형에비해월등한초과수익을달성하였지만, 2011 년들어서는 BM 이나대형주펀드대비초과성과를달성하지못하였음. 동펀드의성과가벤치마크보다낮은이유는, 대형주중에서도주로가치주의비중이높았기때문임. 올해코스피가큰폭의상승세를기록하면서주로 IT 나전기전자등가치주보다는성장형주식의성과가시세를이끌었기때문임. 따라서단기수익률측면에서벤치마크에비해성과가저조한모습을보였지만, 주식시장조정혹은하락추세전환시낙폭은상대적으로적을것으로전망됨. 하락세 벤치마크대비기간별수익률 동펀드의기간별수익률성과를국내주식대형주펀드의성과와비교시. 1 개월 ~1 년까지의성과의경우동펀드의성과가벤치마크대비소폭낮은모습을기록함. 하지만, 3 년수익률성과를비교시벤치마크보다월등한성과를보이고있음. 즉, 동펀드의장기및가치투자원칙이시간이지남에따라발현되는것으로평가됨 동종그룹대비성과추이비교 2
동종펀드 (peer group) 중에서동펀드의성과를비교시, 2010 년동펀드의성과는상위 15% 이내의범위내에서높은성과를기록하였음. 하지만, 2011 년이후의성과는다소저조한모습을기록하였음. 최근 5 년간펀드및유형수익률추이 동펀드의기준가는설정일이후 2008 년금융위기시큰폭의조정을받은이후, 꾸준한상승상승세를기록하였으며, 조정과상승을반복하며완만한상승세를나타내고있음. 설정일이후누적수익률을비교시, 동펀드의수익률은유형벤치마크와코스피 200 지수를월등하게추월한높은수익률을달성했음. 설정일이후동펀드의연환산연간수익률은 14.51% 이며, 유형벤치마크의수익률은 13.53%, 코스피 200 지수는 9.80% 를기록하였음. 즉, 장기로갈수록동펀드의수익률은여타벤치마크대비성과가개선된모습을기록함 3
위험및변동성분석설정일이후동최근 3 년간동펀드의수익률은유형평균수익률을상회 (Above average) 하였으며, 위험은평균이하 (Below Average) 를기록하였음. 즉, 유형평균보다위험은작고, 수익이높은성과를기록하였으며, 모닝스타 4 등급을기록하였음 아래표에서보는바와같이, 최근 3 년간동펀드의표준편차는 22.18% 로벤치마크인코스피 200 과대형주유형대비낮은수준을기록하였으며, 위험을조정수익률인샤프비율이 0.48 로벤치마크와유형대비플러스를기록하였음. 벤치마크인코스피 200 지수의움직임에대한펀드의수익률의움직임을나타내는 R- 제곱이 96.20% 로벤치마크를어느정도잘반영하고있으며, 시장변동에대한펀드수익률의민감도인베타는 0.87 으로시장의변동성대비민감도는낮은편임. 한편펀드의실제수익률과기대수익률간차이를타나내는알파값이 5.58 의플러스값을기록하였으며, 이는펀드운용이실제잘이루어졌다는것을의미함 4
포트폴리오분석 동펀드는주식의비중이 73.20%, 유동성과기타자산의비중이 21.35% 로주식의비중이동종유형펀드에비해소폭낮은수준을기록함. 포트폴리오내특히대형주의비중이 68.20%, 중형주가 13.51%, 소형주가 18.29% 로스타일박스상대형주가치형에해당됨. 5
포트폴리오분석 스타일박스 초대형 36.66 % ( 유형평균 41.07%) 대형 31.54% ( 유형평균 34.34%) 중형 13.51% ( 유형평균 16.20%) 소형 12.43% ( 유형평균 7.49% ) 초소형 5.86% ( 유형평균 0.89%) Top 10 보유주식 삼성전자가 9.29%, 다음으로신한금융, 호남석유화학, 한국전력순 [ 표3] Top 10 보유주식 ( 단위 :%) 보유종목 비중 섹터 3 개월 1 년 3 년 YTD 삼성전자 9.29 Hardware -8.55 11.48 6.8-5.27 신한금융 5.81 Financial Services 3.12 14.39-3.01-3.02 호남석유화학 4.88-5.07 191.42 63.04 38.66 한국전력 4.22 Utilities 2.62-7.69-4.68-2.65 POSCO 4.09 Industrial Materials 2.49-1.37-2.08-2.98 유한양행 3.47 - -6.33-9.97-14.98-19.02 KT 3.26 Telecommunications -4.32-13.45-2.9-13.84 대우증권 3.21 Financial Services -16.31 13.25-2.6-17.11 화신기업 2.95 Consumer Goods 36.13 128.47 83.74 62.17 삼성증권 2.75 Financial Services -3.58 42.74 1.4-5.22 * 비중은 2010년7월말기준 6
동펀드의 Top 10 보유비중을살펴보면, 보유비중삼성전자가 9.29% 로가장많은비중을차지하고있다. 다음으로신한금융, 호남석유화학, 한국전력및포스코순으로상위 TOP10 의주식비중이여타동종유형펀드에비해낮은수준을나타냄. 즉다향한종목과가치주편입을통해적절하게분산되어있는것으로판단되며, 대부분의주식의비중이 5% 이내에서집중되어있음 7
Morningstar Direct SM Print Date: 2011-05-09 Page 1 of 1 Shinyoung SRI Equity C Investment Summary Data as of Currency Benchmark 1 Benchmark 2 2011-04-30 KRW KSE KOSPI Korea PR KRW KSE KOSPI 200 Korea PR KRW Trailing Return Total Return % +/- BM1 +/- BM2 Cat % Rank 1 Mo 2.30-1.76-1.83 97 3 Mo 3.91-2.01-2.41 92 6 Mo 16.60 0.17-2.91 83 YTD 4.47-2.43-2.61 91 1 Yr 29.11 3.22 1.71 55 3 Yr 12.31 6.01 5.00 20 5 Yr 10 Yr 15 Yr Ratings as of 2011-04-30 Overall 3 Year 5 Year 10 Year Rating 4Q 4Q Risk 5.54 Return 8.51 # Investments Rated 693 693 Risk/Reward Versus Benchmark 1 3 Year 5 Year 10 Year Alpha 5.14 Beta 0.93 R-Squared 98.48 Tracking Error 5.45 Information Ratio 1.10 Excess Return 6.01 Miscellaneous 3 Year 5 Year 10 Year Standard Deviation 22.18 Sharpe Ratio 0.44 Sortino Ratio 0.37 Manager Information Intae Kim. Since 2010-10. Investment Strategy N/A Operations Minimum Initial Investment Inception Date 2008-03-20 Management Fees Actual: 0.75% Max: 0.75% Sales Fees Firm Name Shinyoung Investment Manag... Telephone 82-2-2004-9500 Web Address http://www.syfund.co.kr Performance ) & ) 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011-04 History 49.20 32.13 4.47 Total Return % -0.45 10.24-2.43 +/- Benchmark 1-2.39 9.89-2.61 +/- Benchmark 2 Turnover Ratio % 66 55 47 57 Share Class Assets (mil) Expense Ratio 73.20 73.20 Stock % 0.00 0.00 Bond % Holding Analysis as of 2010-07-31 0 50 100 Net % # Cash 5.5 Stock 73.2 33 Bond 0.0 0 Other 21.4 Total 100.0 44 Equity Style % Market Cap % 45 25 0 Giant 36.7 Large 31.5 13 1 0 Mid 13.5 13 3 0 Small 12.4 Val Core Grth Lrg Mid Sm Micro 5.9 Avg Market Cap (mil) 5,822,878.9 Value Factors % Growth Factors % Price/Earnings 6.93 LT Earn Gr 20.10 Price/Book 0.91 Hist Earn Gr 5.89 Price/Sales 0.54 Book Val Gr 6.13 Price/Cash Flow 2.49 Sales Gr -1.25 Dividend Yield 2.03 Cash Flow Gr 38.00 Fixed Income Style Ltd Mod Ext High Med Low Avg Eff Duration Avg Eff Maturity Avg Credit Quality Avg Wtd Coupon Avg Wtd Price 1 as of Credit Rating Breakdown % Maturity Breakdown % AAA 1-3 AA 3-5 A 5-7 BBB 7-10 BB 10-15 B or below B 15-20 Not Rated 20-30 30+ Top Holdings as of 2010-06-30 20.8 10.4 0.0-10.4-20.8 Style Manager Change Partial Mgr Change Investment Performance Quarterly Return Category Korea OE Korea Large-Cap Equity Performance Quartile (within category) Mkt Cap KRW % Mkt Box Sector (mil) Val Samsung Electronics Co., Ltd. 1 t 9.29 Shinhan Financial Group Co Ltd 1 a 5.81 Hyundai Motor 4.99 Honam Petrochemical Corp 4 4.88 Lg Chem 4.76 Korea Electric Power Corpor... 4 g 4.22 Posco ADR 1 d 4.09 Samsung Electnc Pfd 3.73 Yuhan Corp 2 3.47 Kt Corp 1 u 3.26 Daewoo Securities Co Ltd 4 3.21 Hwashin Co Ltd 3 s 2.95 Samsung Securities Co Ltd 4 a 2.75 Hyundai Fire & Marine Insura... 2 2.67 Hankook Tire Co Ltd 7 s 2.56 SK Telecom Co Ltd 1 u 2.36 Hyundai Motor Pfd 2.23 Sindoh Co Ltd 3 2.19 Samsung Fire & Mar 2.01 KB Financial Group 1.91 Top 20 holdings 73.4 Top 3 Equity Sectors % Rel BM1% Rel BM2% Financial Services 29.03 Hardware 18.89 Industrial Materials 16.30 Top 3 Fixed Income Sectors % Rel BM1% Rel BM2% Asset-backed Cash Convertible Morningstar 2011. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising ß from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is no guarantee of future results.
Morningstar Direct SM Print Date: 2011-05-09 Page 1 of 1 Shinyoung SRI Equity C Performance Evaluation Currency Benchmark 1 Benchmark 2 Morningstar Category KRW KSE KOSPI Korea PR KRW Korea OE Korea Large-Cap... Return vs. Peer Group Subject Investment Benchmark 1 Benchmark 2 Peer Group Open End Funds Bottom Quartile -57 90% of Category 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011-04 History 49.20 32.13 4.47 Subject Investment -9.54 29.19 10.51 53.96 3.99 32.25-40.73 49.65 21.88 6.89 Benchmark 1 Benchmark 2 2.18 36.96 6.28 58.20 1.98 37.33-38.71 55.48 22.90 10.28 Peer Group Avg 20.27 64.57 27.53 137.20 41.52 90.29 1.06 120.31 49.21 23.21 Best 6.28 43.01 9.83 63.05 5.33 43.14-36.75 60.47 25.33 13.07 25th Percentile 0.62 36.74 6.64 59.53 2.38 36.84-38.96 54.70 22.69 10.22 50th Percentile -1.25 31.62 2.73 52.05-1.25 32.01-41.31 50.52 19.72 7.39 75th Percentile -10.14 2.20-22.10 1.44-27.38-3.59-54.06 7.52 3.51-2.88 Worst Korea - Korea Large-Cap Equity Top Quartile 2nd Quartile 3rd Quartile Gross Expense Ratio Rolling Performance 36 months per calculation 32 23 14 5-4 Name Total # of % in Top 2011 % in 2nd % in 3rd Calculations Quartile Quartile Quartile Quartile Bmark 1 Bmark 2 Subject Investment 2 100.00 0.00 0.00 0.00 100.00 0.00 Benchmark 1 2 0.00 0.00 0.00 100.00 Benchmark 2 0 147 96 45-6 % in Btm % Above % Above Trailing Returns as of 2011-04-30 Inv % Bmark 1% Bmark 2% YTD 4.47 6.89 1 Month 2.30 4.07 3 Months 3.91 5.92 6 Months 16.60 16.43 1 Year 29.11 25.88 2 Years 32.52 26.53 3 Years 12.31 6.29 4 Years 9.19 5 Years 9.08 10 Years 14.27 Return/Risk Analysis 2006-05-01 to 2011-04-30 Inv Bmark 1 Bmark 2 Cumulative Return 54.42 Standard Deviation 23.08 Sharpe Ratio 0.19 Sortino Ratio 0.18 Calmar Ratio 0.19 Best Month 13.52 Worst Month -23.13 Best Quarter 20.36 Worst Quarter -22.35 % of Up Month 60.00 % of Down Month 40.00 Avg Monthly Gain 5.00 Avg Monthly Loss -5.36 Gain Std Dev 12.69 Loss Std Dev 18.11 Longest Up Streak (Mo) 6 Run Up % 42.13 Start Date 2007-02 End Date 2007-07 Longest Down Streak (Mo) 6 Run Down % -41.90 Start Date 2008-06 End Date 2008-11 Max Drawdown (Mo) 16 Max Drawdown (%) -48.52 Peak Date 2007-11 Valley Date 2009-02 Information Ratio 4 3 2 1 Tracking Error 8 7 6 5 2011 2011 Relative Performance 2006-05-01 to 2011-04-30 Bmark 1 Bmark 2 Excess Return Alpha Beta R-Squared Tracking Error Information Ratio Treynor Ratio Up Capture Ratio Down Capture Ratio Up Number Ratio Down Number Ratio Up Percentage Ratio Down Percentage Ratio Morningstar 2011. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising ß from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is no guarantee of future results.