Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-10 22:09 KST | Target Monthly Return: 20% Virtual AUM: $9,039.33 | Total Return: -9.61% | Cash: $29.28
Sonia 운용 요약
오늘 포트폴리오는 리밸런싱 임계치 안에 있어 추가 가상 매매 없이 유지되었습니다. 전략은 중립/저변동 장세로 판단하고, 모멘텀 50%·평균회귀 20%·변동성 레짐 30%를 조합해 GLD, NFLX, AMZN, META, GOOGL 같은 과매도 반등 후보와 안정 레짐 통과 종목을 우선 배정했습니다. 다만 Crypto Fear & Greed가 9/100인 극단적 공포 구간이고 현재 손실/드로우다운이 남아 있으니, 공격 증액보다는 규칙 기반 유지가 맞습니다, Son님.
Dashboard Screenshot
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_3a523e07d33b4588ae8837002abfe73a.png
Market Regime
- SPY 5-day return: +0.23%
- Crypto Fear & Greed: 9/100 (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?
- GLD: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GLD | +0.00 | +0.60 | +0.77 | +0.35 |
| NFLX | +0.00 | +0.45 | +0.76 | +0.32 |
| AMZN | +0.00 | +0.70 | +0.59 | +0.32 |
| META | +0.00 | +0.58 | +0.65 | +0.31 |
| GOOGL | +0.00 | +0.52 | +0.66 | +0.30 |
| MSTR | +0.00 | +0.58 | +0.52 | +0.27 |
| COIN | +0.00 | +0.53 | +0.52 | +0.26 |
| SPY | +0.00 | +0.29 | +0.63 | +0.25 |
| AAPL | +0.00 | +0.16 | +0.65 | +0.23 |
| ARKK | +0.00 | +0.34 | +0.51 | +0.22 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TSLA | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GLD | 6.86% | Safe |
| NFLX | 6.22% | Equity/ETF |
| AMZN | 6.19% | Equity/ETF |
| META | 6.05% | Equity/ETF |
| GOOGL | 5.89% | Equity/ETF |
| MSTR | 5.27% | Equity/ETF |
| COIN | 5.10% | Equity/ETF |
| SPY | 4.84% | Equity/ETF |
| AAPL | 4.41% | Equity/ETF |
| ARKK | 4.28% | Equity/ETF |
| SHY | 3.97% | Safe |
| NVDA | 3.92% | Equity/ETF |
| SOL-USD | 3.77% | Crypto |
| TSLA | 3.75% | Equity/ETF |
| QQQ | 3.70% | Equity/ETF |
| BTC-USD | 3.64% | Crypto |
| PLTR | 3.47% | Equity/ETF |
| TQQQ | 3.41% | Equity/ETF |
| MSFT | 3.03% | Equity/ETF |
| AVGO | 2.98% | Equity/ETF |
| ETH-USD | 2.93% | Crypto |
| AMD | 2.84% | Equity/ETF |
| TLT | 2.40% | Safe |
| SOXL | 1.12% | 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 | $301.54 | $-12.17 | 3.70% |
| AMD | 0.5922 | $475.51 | $490.33 | $+8.78 | 3.21% |
| AMZN | 3.1055 | $264.27 | $245.22 | $-59.16 | 8.42% |
| ARKK | 5.2349 | $78.22 | $75.00 | $-16.86 | 4.34% |
| AVGO | 0.6966 | $385.77 | $396.60 | $+7.55 | 3.06% |
| BTC-USD | 0.0086 | $78864.28 | $61516.60 | $-149.92 | 5.88% |
| COIN | 2.3857 | $191.61 | $155.50 | $-86.14 | 4.10% |
| ETH-USD | 0.1633 | $2243.97 | $1634.42 | $-99.55 | 2.95% |
| GLD | 1.4256 | $424.58 | $397.27 | $-38.93 | 6.27% |
| GOOGL | 1.5206 | $380.34 | $363.31 | $-25.90 | 6.11% |
| META | 0.9874 | $601.05 | $584.59 | $-16.26 | 6.39% |
| MSFT | 0.5963 | $405.19 | $411.74 | $+3.91 | 2.72% |
| MSTR | 4.1924 | $164.63 | $117.02 | $-199.61 | 5.43% |
| NFLX | 7.5220 | $87.19 | $82.64 | $-34.26 | 6.88% |
| NVDA | 1.7267 | $214.25 | $208.64 | $-9.69 | 3.99% |
| PLTR | 1.2345 | $130.93 | $132.07 | $+1.41 | 1.80% |
| QQQ | 0.4078 | $735.60 | $707.83 | $-11.32 | 3.19% |
| SHY | 4.2520 | $82.17 | $81.94 | $-0.96 | 3.85% |
| SOL-USD | 4.8523 | $81.14 | $64.19 | $-82.24 | 3.45% |
| SPY | 0.5060 | $740.61 | $739.22 | $-0.70 | 4.14% |
| TLT | 2.5997 | $84.75 | $85.12 | $+0.95 | 2.45% |
| TQQQ | 4.7422 | $73.05 | $76.27 | $+15.27 | 4.00% |
| TSLA | 0.7403 | $409.99 | $408.95 | $-0.77 | 3.35% |
Risk Metrics
- Portfolio Volatility (proxy): 23.96% annualized
- 95% VaR (daily): -2.61%
- Current Drawdown: -10.69%
- Max Drawdown: -11.79%
- Trade Count: 46
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.