SQAF 운용 저녁 리포트
핵심 요약
오늘 SQAF는 중립/박스권 저변동성 regime으로 판단되어, 중기 모멘텀보다는 단기 과매도 반등과 변동성 필터를 통과한 종목 중심으로 배분을 유지했습니다. 리밸런싱 임계치 3.0% 이내라 신규 가상 매매는 없었고, AUM은 $9,565.34, 총수익률은 -4.35%, 현재 낙폭은 -5.49%입니다. Crypto Fear & Greed가 11/100 Extreme Fear라 크립토 반등 시그널은 있으나, 포트폴리오 전체는 여전히 100% 투자 상태라 리스크 관찰이 필요합니다.
Dashboard Screenshot
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_ef9163aad8084789ae060f4bd9fae32c.png
Full Trading Report
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-03 22:01 KST | Target Monthly Return: 20% Virtual AUM: $9,565.34 | Total Return: -4.35% | Cash: $0.00
Market Regime
- SPY 5-day return: +0.41%
- Crypto Fear & Greed: 11/100 (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?
- NFLX: ensemble +0.40 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.40 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.91 | +0.72 | +0.40 |
| GOOGL | +0.00 | +0.96 | +0.68 | +0.40 |
| AMZN | +0.00 | +0.74 | +0.66 | +0.35 |
| META | +0.00 | +0.43 | +0.84 | +0.34 |
| ETH-USD | +0.00 | +0.69 | +0.64 | +0.33 |
| SOL-USD | +0.00 | +0.76 | +0.58 | +0.33 |
| BTC-USD | +0.00 | +0.78 | +0.55 | +0.32 |
| MSTR | +0.00 | +0.71 | +0.53 | +0.30 |
| GLD | +0.00 | +0.32 | +0.77 | +0.30 |
| COIN | +0.00 | +0.54 | +0.48 | +0.25 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| SPY | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |
| META | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.42% | Equity/ETF |
| NFLX | 8.42% | Equity/ETF |
| AMZN | 8.42% | Equity/ETF |
| META | 8.22% | Equity/ETF |
| MSTR | 7.29% | Equity/ETF |
| GLD | 7.19% | Safe |
| ETH-USD | 7.07% | Crypto |
| SOL-USD | 7.06% | Crypto |
| BTC-USD | 6.92% | Crypto |
| COIN | 6.15% | Equity/ETF |
| SHY | 4.07% | Safe |
| TSLA | 3.41% | Equity/ETF |
| SPY | 3.28% | Equity/ETF |
| ARKK | 3.09% | Equity/ETF |
| AAPL | 2.42% | Equity/ETF |
| TLT | 2.35% | Safe |
| QQQ | 1.88% | Equity/ETF |
| TQQQ | 1.78% | Equity/ETF |
| NVDA | 1.69% | Equity/ETF |
| MSFT | 0.67% | Equity/ETF |
| PLTR | 0.19% | Equity/ETF |
| AMD | 0.00% | Equity/ETF |
| AVGO | 0.00% | Equity/ETF |
| SOXL | 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 | $315.20 | $+2.98 | 3.65% |
| AMZN | 3.1055 | $264.27 | $256.52 | $-24.07 | 8.33% |
| ARKK | 5.2349 | $78.22 | $79.91 | $+8.85 | 4.37% |
| AVGO | 0.0009 | $413.65 | $481.57 | $+0.06 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $67052.00 | $-102.08 | 6.06% |
| COIN | 4.2459 | $191.61 | $173.99 | $-74.80 | 7.72% |
| ETH-USD | 0.3667 | $2243.97 | $1875.83 | $-134.99 | 7.19% |
| GLD | 2.1041 | $424.58 | $411.95 | $-26.57 | 9.06% |
| GOOGL | 2.2912 | $380.34 | $361.85 | $-42.37 | 8.67% |
| META | 0.4759 | $617.89 | $597.63 | $-9.64 | 2.97% |
| MSFT | 0.5963 | $405.19 | $441.31 | $+21.54 | 2.75% |
| MSTR | 4.1924 | $164.63 | $136.08 | $-119.70 | 5.96% |
| NFLX | 7.5220 | $87.19 | $83.33 | $-29.07 | 6.55% |
| NVDA | 1.7267 | $214.25 | $222.82 | $+14.80 | 4.02% |
| PLTR | 1.2345 | $130.93 | $152.17 | $+26.22 | 1.96% |
| QQQ | 0.4078 | $735.60 | $746.16 | $+4.31 | 3.18% |
| SHY | 4.2520 | $82.17 | $82.01 | $-0.66 | 3.65% |
| SOL-USD | 5.4207 | $90.69 | $75.15 | $-84.24 | 4.26% |
| SPY | 0.5060 | $740.61 | $759.57 | $+9.59 | 4.02% |
| TLT | 2.5997 | $84.75 | $85.65 | $+2.33 | 2.33% |
| TSLA | 0.7403 | $409.99 | $423.74 | $+10.18 | 3.28% |
Risk Metrics
- Portfolio Volatility (proxy): 22.58% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -5.49%
- Max Drawdown: -5.63%
- Trade Count: 36
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.