SQAF 운용 저녁 리포트
핵심 요약
- 오늘 SQAF 가상 AUM은 $8,972.60, 총수익률은 -10.27%, 현금은 $0.00입니다.
- 시장 국면은 Bearish (Low Vol)로 분류되었고, Crypto Fear & Greed는 12/100 Extreme Fear입니다.
- 포트폴리오는 리밸런싱 기준치 3.0% 이내라서 금일 신규 가상 매매는 없었습니다.
- 대시보드 스크린샷:
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_7ed27f913dc84cc6a17984ff7d0a9f7c.png
전략 요약 — Sonia Review
현재 모델은 약세장이지만 단기 변동성은 낮은 구간으로 판단해, 급격한 위험 축소보다 낙폭 과대 반등 후보와 변동성 필터 통과 종목을 유지하는 쪽을 선택했습니다. 신호는 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%로 구성되어 있으나, 이번 상위 후보는 대부분 모멘텀보다 평균회귀와 안정적 변동성 점수에서 나온 포지션입니다. 단, 현재 낙폭이 -11%대이고 암호화폐 심리가 Extreme Fear라서, 20% 월수익 목표보다 드로다운 통제와 리밸런싱 규율 유지가 더 중요합니다.
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-07 22:00 KST | Target Monthly Return: 20% Virtual AUM: $8,972.60 | Total Return: -10.27% | Cash: $0.00
Market Regime
- SPY 5-day return: -2.90%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Bearish (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?
- GLD: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.29 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GLD | +0.00 | +0.70 | +0.77 | +0.37 |
| NFLX | +0.00 | +0.57 | +0.76 | +0.34 |
| AMZN | +0.00 | +0.79 | +0.59 | +0.34 |
| META | +0.00 | +0.52 | +0.66 | +0.30 |
| GOOGL | +0.00 | +0.45 | +0.66 | +0.29 |
| TSLA | +0.00 | +0.80 | +0.41 | +0.28 |
| SHY | +0.00 | +0.36 | +0.68 | +0.28 |
| MSTR | +0.00 | +0.64 | +0.49 | +0.27 |
| COIN | +0.00 | +0.70 | +0.43 | +0.27 |
| SPY | +0.00 | +0.35 | +0.64 | +0.26 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TLT | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |
| SPY | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GLD | 6.63% | Safe |
| NFLX | 6.10% | Equity/ETF |
| AMZN | 5.98% | Equity/ETF |
| META | 5.34% | Equity/ETF |
| GOOGL | 5.12% | Equity/ETF |
| TSLA | 5.03% | Equity/ETF |
| SHY | 4.93% | Safe |
| MSTR | 4.88% | Equity/ETF |
| COIN | 4.77% | Equity/ETF |
| SPY | 4.65% | Equity/ETF |
| ARKK | 4.43% | Equity/ETF |
| NVDA | 4.36% | Equity/ETF |
| SOL-USD | 4.22% | Crypto |
| BTC-USD | 4.05% | Crypto |
| ETH-USD | 3.84% | Crypto |
| TQQQ | 3.75% | Equity/ETF |
| QQQ | 3.51% | Equity/ETF |
| AVGO | 3.32% | Equity/ETF |
| AAPL | 3.05% | Equity/ETF |
| PLTR | 2.80% | Equity/ETF |
| AMD | 2.71% | Equity/ETF |
| TLT | 2.34% | Safe |
| MSFT | 2.34% | Equity/ETF |
| SOXL | 1.86% | 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 | $307.34 | $-5.73 | 3.80% |
| AMZN | 3.1055 | $264.27 | $246.03 | $-56.65 | 8.52% |
| ARKK | 5.2349 | $78.22 | $74.49 | $-19.53 | 4.35% |
| AVGO | 0.6966 | $385.77 | $385.73 | $-0.03 | 2.99% |
| BTC-USD | 0.0086 | $78864.28 | $61810.00 | $-147.38 | 5.95% |
| COIN | 4.2459 | $191.61 | $152.40 | $-166.47 | 7.21% |
| ETH-USD | 0.3667 | $2243.97 | $1617.59 | $-229.68 | 6.61% |
| GLD | 1.4256 | $424.58 | $396.24 | $-40.40 | 6.30% |
| GOOGL | 1.5206 | $380.34 | $368.53 | $-17.96 | 6.25% |
| META | 0.4759 | $617.89 | $593.00 | $-11.84 | 3.14% |
| MSFT | 0.5963 | $405.19 | $416.67 | $+6.85 | 2.77% |
| MSTR | 4.1924 | $164.63 | $120.44 | $-185.27 | 5.63% |
| NFLX | 7.5220 | $87.19 | $82.18 | $-37.72 | 6.89% |
| NVDA | 1.7267 | $214.25 | $205.10 | $-15.80 | 3.95% |
| PLTR | 1.2345 | $130.93 | $135.53 | $+5.68 | 1.86% |
| QQQ | 0.4078 | $735.60 | $705.06 | $-12.45 | 3.20% |
| SHY | 4.2520 | $82.17 | $81.86 | $-1.30 | 3.88% |
| SOL-USD | 9.5867 | $81.14 | $64.14 | $-162.96 | 6.85% |
| SPY | 0.5060 | $740.61 | $737.55 | $-1.55 | 4.16% |
| TLT | 2.5997 | $84.75 | $85.06 | $+0.79 | 2.46% |
| TSLA | 0.7403 | $409.99 | $391.00 | $-14.06 | 3.23% |
Risk Metrics
- Portfolio Volatility (proxy): 23.86% annualized
- 95% VaR (daily): -2.61%
- Current Drawdown: -11.35%
- Max Drawdown: -11.79%
- Trade Count: 40
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.