Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-01 22:00 KST | Target Monthly Return: 20% Virtual AUM: $9,962.43 | Total Return: -0.38% | Cash: $-0.00
전략 요약
현재 시장은 저변동 중립/횡보 국면으로 판단되어, 변동성 필터를 통과한 과매도 반등 후보 중심으로 배분을 유지합니다. 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호를 사용하며, 리밸런싱 임계치(3%) 이내라 오늘은 추가 거래 없이 포트폴리오를 유지했습니다.
Dashboard Screenshot
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_fa25c59d8468490983278ad990c54ef9.png
Market Regime
- SPY 5-day return: +0.80%
- Crypto Fear & Greed: 29/100 (Fear)
Trading Strategy Rationale
Market Regime: Neutral/Ranging (Low Vol)
Signal Weights:
- Momentum (12-1m excess return): 50% weight. Captures medium-term trends.
- Mean Reversion (z-score + RSI): 20% weight. Fades short-term extremes.
- Volatility Regime (short vs long vol): 30% weight. Reduces exposure in high-vol chaos.
Position Sizing Logic:
- Single-name cap: 8% (equity) / 8% (crypto per name)
- Crypto aggregate cap: 20%
- Rebalance threshold: 3.0% drift
- Transaction fee: 0.10% per trade
Why these positions?
- ETH-USD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- BTC-USD: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- SOL-USD: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| ETH-USD | +0.00 | +0.46 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.55 | +0.76 | +0.34 |
| BTC-USD | +0.00 | +0.61 | +0.71 | +0.34 |
| SOL-USD | +0.00 | +0.49 | +0.78 | +0.33 |
| NFLX | +0.00 | +0.43 | +0.74 | +0.31 |
| GLD | +0.00 | +0.16 | +0.75 | +0.26 |
| MSTR | +0.00 | +0.37 | +0.51 | +0.23 |
| AMZN | +0.00 | -0.16 | +0.74 | +0.19 |
| META | +0.00 | -0.62 | +1.00 | +0.18 |
| NVDA | +0.00 | +0.15 | +0.47 | +0.17 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SOXL | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.83% | Equity/ETF |
| NFLX | 8.83% | Equity/ETF |
| GLD | 7.79% | Safe |
| BTC-USD | 7.36% | Crypto |
| ETH-USD | 7.36% | Crypto |
| SOL-USD | 7.36% | Crypto |
| MSTR | 6.86% | Equity/ETF |
| AMZN | 5.79% | Equity/ETF |
| META | 5.33% | Equity/ETF |
| NVDA | 5.18% | Equity/ETF |
| COIN | 5.14% | Equity/ETF |
| SPY | 4.20% | Equity/ETF |
| AAPL | 3.36% | Equity/ETF |
| TSLA | 3.30% | Equity/ETF |
| SHY | 3.30% | Safe |
| TLT | 2.81% | Safe |
| QQQ | 2.75% | Equity/ETF |
| TQQQ | 2.65% | Equity/ETF |
| ARKK | 1.53% | Equity/ETF |
| SOXL | 0.28% | Equity/ETF |
| AMD | 0.00% | Equity/ETF |
| AVGO | 0.00% | Equity/ETF |
| MSFT | 0.00% | Equity/ETF |
| PLTR | 0.00% | Equity/ETF |
Virtual Trades Executed
No trades executed. Portfolio within rebalance threshold.
Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|---|---|---|---|---|---|
| AAPL | 1.1089 | $312.51 | $312.06 | $-0.50 | 3.47% |
| AMZN | 1.9643 | $268.77 | $270.64 | $+3.66 | 5.34% |
| ARKK | 5.2349 | $78.22 | $81.95 | $+19.53 | 4.31% |
| AVGO | 0.0009 | $413.65 | $446.77 | $+0.03 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $72108.12 | $-58.39 | 6.25% |
| COIN | 4.2459 | $191.61 | $189.03 | $-10.94 | 8.06% |
| ETH-USD | 0.3667 | $2243.97 | $1986.99 | $-94.23 | 7.31% |
| GLD | 2.1041 | $424.58 | $417.12 | $-15.69 | 8.81% |
| GOOGL | 2.2912 | $380.34 | $380.34 | $+0.00 | 8.75% |
| META | 0.4759 | $617.89 | $632.51 | $+6.96 | 3.02% |
| MSFT | 0.5963 | $405.19 | $450.24 | $+26.86 | 2.69% |
| MSTR | 4.1924 | $164.63 | $159.09 | $-23.23 | 6.69% |
| NFLX | 7.5220 | $87.19 | $86.02 | $-8.84 | 6.49% |
| NVDA | 1.7267 | $214.25 | $211.14 | $-5.37 | 3.66% |
| PLTR | 1.2345 | $130.93 | $156.54 | $+31.62 | 1.94% |
| QQQ | 0.4078 | $735.60 | $738.31 | $+1.11 | 3.02% |
| SHY | 4.2520 | $82.17 | $82.30 | $+0.57 | 3.51% |
| SOL-USD | 5.4207 | $90.69 | $80.71 | $-54.10 | 4.39% |
| SPY | 0.5060 | $740.61 | $756.48 | $+8.03 | 3.84% |
| TLT | 6.0246 | $84.75 | $85.76 | $+6.05 | 5.19% |
| TSLA | 0.7403 | $409.99 | $435.79 | $+19.10 | 3.24% |
Risk Metrics
- Portfolio Volatility (proxy): 22.65% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -1.57%
- Max Drawdown: -3.26%
- Trade Count: 34
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.