SQAF 운용 저녁 리포트
Sonia 요약
오늘 SQAF는 Neutral/Ranging 저변동 국면으로 판단했고, 리밸런싱 드리프트가 3% 임계값 안에 있어 신규 가상 거래는 실행하지 않았습니다. 신호는 모멘텀보다 평균회귀·변동성 필터가 주도했고, NFLX/GOOGL/AMZN 및 ETH/SOL은 과매도 반등 후보로 유지되었습니다. 다만 AUM은 $9,293.82, 총수익률 -7.06%, 현재/최대 낙폭 -8.18%라 공격적 증액보다 손실 관리가 우선입니다.
Dashboard Screenshot
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_1338902216a84cd88c50884e4590b0ed.png
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-04 22:00 KST | Target Monthly Return: 20% Virtual AUM: $9,293.82 | Total Return: -7.06% | Cash: $0.00
Market Regime
- SPY 5-day return: -0.29%
- Crypto Fear & Greed: 12/100 (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 +0.42 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.36 → oversold bounce, calm regime (vol filter pass)
- SOL-USD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.94 | +0.78 | +0.42 |
| GOOGL | +0.00 | +0.82 | +0.69 | +0.37 |
| AMZN | +0.00 | +0.89 | +0.64 | +0.37 |
| ETH-USD | +0.00 | +0.80 | +0.66 | +0.36 |
| SOL-USD | +0.00 | +0.85 | +0.61 | +0.35 |
| BTC-USD | +0.00 | +0.79 | +0.54 | +0.32 |
| GLD | +0.00 | +0.44 | +0.77 | +0.32 |
| MSTR | +0.00 | +0.74 | +0.52 | +0.30 |
| COIN | +0.00 | +0.70 | +0.46 | +0.28 |
| SHY | +0.00 | -0.08 | +0.73 | +0.20 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| BTC-USD | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.21% | Equity/ETF |
| GOOGL | 8.09% | Equity/ETF |
| AMZN | 8.03% | Equity/ETF |
| ETH-USD | 7.11% | Crypto |
| SOL-USD | 7.06% | Crypto |
| GLD | 6.91% | Safe |
| MSTR | 6.58% | Equity/ETF |
| BTC-USD | 6.37% | Crypto |
| COIN | 6.03% | Equity/ETF |
| SHY | 4.40% | Safe |
| ARKK | 3.91% | Equity/ETF |
| META | 3.70% | Equity/ETF |
| SPY | 3.64% | Equity/ETF |
| TSLA | 3.26% | Equity/ETF |
| AAPL | 3.11% | Equity/ETF |
| NVDA | 3.00% | Equity/ETF |
| TLT | 2.60% | Safe |
| PLTR | 2.28% | Equity/ETF |
| QQQ | 1.98% | Equity/ETF |
| TQQQ | 1.94% | Equity/ETF |
| MSFT | 1.80% | 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 | $310.26 | $-2.50 | 3.70% |
| AMZN | 3.1055 | $264.27 | $250.02 | $-44.26 | 8.35% |
| ARKK | 5.2349 | $78.22 | $78.16 | $-0.31 | 4.40% |
| AVGO | 0.0009 | $413.65 | $479.23 | $+0.06 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $63572.02 | $-132.15 | 5.91% |
| COIN | 4.2459 | $191.61 | $163.22 | $-120.52 | 7.46% |
| ETH-USD | 0.3667 | $2243.97 | $1774.73 | $-172.06 | 7.00% |
| GLD | 2.1041 | $424.58 | $407.87 | $-35.15 | 9.23% |
| GOOGL | 2.2912 | $380.34 | $358.99 | $-48.92 | 8.85% |
| META | 0.4759 | $617.89 | $622.98 | $+2.42 | 3.19% |
| MSFT | 0.5963 | $405.19 | $427.34 | $+13.21 | 2.74% |
| MSTR | 4.1924 | $164.63 | $126.55 | $-159.65 | 5.71% |
| NFLX | 7.5220 | $87.19 | $81.52 | $-42.69 | 6.60% |
| NVDA | 1.7267 | $214.25 | $214.75 | $+0.86 | 3.99% |
| PLTR | 1.2345 | $130.93 | $142.20 | $+13.91 | 1.89% |
| QQQ | 0.4078 | $735.60 | $744.21 | $+3.51 | 3.27% |
| SHY | 4.2520 | $82.17 | $81.97 | $-0.83 | 3.75% |
| SOL-USD | 5.4207 | $90.69 | $69.98 | $-112.26 | 4.08% |
| SPY | 0.5060 | $740.61 | $754.24 | $+6.90 | 4.11% |
| TLT | 2.5997 | $84.75 | $85.31 | $+1.44 | 2.39% |
| TSLA | 0.7403 | $409.99 | $423.70 | $+10.15 | 3.37% |
Risk Metrics
- Portfolio Volatility (proxy): 22.65% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -8.18%
- Max Drawdown: -8.18%
- Trade Count: 36
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.