Son Quant Alpha Fund (SQAF) — Daily Briefing
운용 전략 요약
현재 시장은 SPY 5일 수익률이 +0.52%이고 크립토 공포·탐욕 지수가 23으로 극단적 공포 구간에 있어, 저변동 중립/박스권 국면으로 판단했습니다. 포트폴리오는 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호를 사용하며, 이번에는 SOL, GOOGL, BTC, ETH, META의 과매도 반등 신호와 안정적 변동성 필터 통과가 핵심 근거입니다. 리밸런싱 기준인 3% 드리프트 내에 있어 신규 가상 매매는 실행하지 않았습니다.
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-02 22:00 KST | Target Monthly Return: 20% Virtual AUM: $9,806.84 | Total Return: -1.93% | Cash: $-0.00
Market Regime
- SPY 5-day return: +0.52%
- Crypto Fear & Greed: 23/100 (Extreme 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?
- SOL-USD: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.36 → oversold bounce, calm regime (vol filter pass)
- BTC-USD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| SOL-USD | +0.00 | +0.63 | +0.81 | +0.37 |
| GOOGL | +0.00 | +0.65 | +0.75 | +0.36 |
| BTC-USD | +0.00 | +0.82 | +0.64 | +0.35 |
| ETH-USD | +0.00 | +0.49 | +0.84 | +0.35 |
| META | +0.00 | +0.39 | +0.84 | +0.33 |
| NFLX | +0.00 | +0.47 | +0.76 | +0.32 |
| AMZN | +0.00 | +0.55 | +0.67 | +0.31 |
| GLD | +0.00 | +0.36 | +0.73 | +0.29 |
| MSTR | +0.00 | +0.53 | +0.56 | +0.28 |
| COIN | +0.00 | +0.36 | +0.44 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TLT | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.52% | Equity/ETF |
| META | 8.37% | Equity/ETF |
| NFLX | 8.17% | Equity/ETF |
| AMZN | 7.87% | Equity/ETF |
| GLD | 7.40% | Safe |
| BTC-USD | 7.10% | Crypto |
| ETH-USD | 7.10% | Crypto |
| SOL-USD | 7.10% | Crypto |
| MSTR | 7.00% | Equity/ETF |
| COIN | 5.17% | Equity/ETF |
| TSLA | 4.25% | Equity/ETF |
| AAPL | 4.13% | Equity/ETF |
| SHY | 3.74% | Safe |
| SPY | 3.45% | Equity/ETF |
| TLT | 2.34% | Safe |
| ARKK | 2.18% | Equity/ETF |
| QQQ | 2.17% | Equity/ETF |
| TQQQ | 2.07% | Equity/ETF |
| NVDA | 1.55% | Equity/ETF |
| SOXL | 0.31% | 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 | $306.31 | $-6.88 | 3.46% |
| AMZN | 1.9643 | $268.77 | $261.26 | $-14.76 | 5.23% |
| ARKK | 5.2349 | $78.22 | $81.26 | $+15.91 | 4.34% |
| AVGO | 0.0009 | $413.65 | $459.97 | $+0.04 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $68940.00 | $-85.76 | 6.08% |
| COIN | 4.2459 | $191.61 | $182.61 | $-38.20 | 7.91% |
| ETH-USD | 0.3667 | $2243.97 | $1973.90 | $-99.03 | 7.38% |
| GLD | 2.1041 | $424.58 | $411.26 | $-28.02 | 8.82% |
| GOOGL | 2.2912 | $380.34 | $376.37 | $-9.10 | 8.79% |
| META | 0.4759 | $617.89 | $600.47 | $-8.29 | 2.91% |
| MSFT | 0.5963 | $405.19 | $460.52 | $+32.99 | 2.80% |
| MSTR | 4.1924 | $164.63 | $149.78 | $-62.26 | 6.40% |
| NFLX | 7.5220 | $87.19 | $85.85 | $-10.12 | 6.58% |
| NVDA | 1.7267 | $214.25 | $224.36 | $+17.46 | 3.95% |
| PLTR | 1.2345 | $130.93 | $160.65 | $+36.69 | 2.02% |
| QQQ | 0.4078 | $735.60 | $742.74 | $+2.91 | 3.09% |
| SHY | 4.2520 | $82.17 | $82.01 | $-0.66 | 3.56% |
| SOL-USD | 5.4207 | $90.69 | $78.88 | $-64.02 | 4.36% |
| SPY | 0.5060 | $740.61 | $758.54 | $+9.07 | 3.91% |
| TLT | 6.0246 | $84.75 | $85.47 | $+4.31 | 5.25% |
| TSLA | 0.7403 | $409.99 | $415.88 | $+4.36 | 3.14% |
Risk Metrics
- Portfolio Volatility (proxy): 22.59% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -3.11%
- Max Drawdown: -3.26%
- Trade Count: 34
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.
Dashboard Screenshot Attachment
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