SQAF 운용 저녁 리포트
핵심 요약
- 오늘 SQAF AUM은 $9,024.63, 총수익률은 -9.75%, 현금은 $322.08입니다.
- 포트폴리오는 리밸런싱 임계값 3.0% 이내라서 가상 거래는 실행되지 않았습니다.
- 현재 레짐은 Neutral/Ranging (High Vol)이며, Crypto Fear & Greed는 18/100 Extreme Fear입니다.
전략 판단 요약
현재 전략은 중기 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%를 결합해 고변동 구간에서 과도한 노출을 줄이는 구조입니다. 오늘 상위 신호는 NFLX, GOOGL, META, AMZN, GLD 중심의 과매도 반등 후보였지만, 기존 포지션과 목표 비중의 괴리가 리밸런싱 기준 이하라 매매 없이 유지했습니다. Crypto Fear & Greed가 극단적 공포 구간이므로 암호자산 비중은 계속 리스크 관리 대상입니다.
Dashboard Screenshot
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Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-14 22:00 KST | Target Monthly Return: 20% Virtual AUM: $9,024.63 | Total Return: -9.75% | Cash: $322.08
Market Regime
- SPY 5-day return: +0.66%
- Crypto Fear & Greed: 18/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Neutral/Ranging (High 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 +0.35 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- GLD: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.49 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.40 | +0.80 | +0.32 |
| META | +0.00 | +0.58 | +0.66 | +0.31 |
| AMZN | +0.00 | +0.53 | +0.57 | +0.28 |
| GLD | +0.00 | +0.51 | +0.54 | +0.26 |
| AAPL | +0.00 | +0.55 | +0.47 | +0.25 |
| COIN | +0.00 | +0.34 | +0.53 | +0.23 |
| MSTR | +0.00 | +0.34 | +0.49 | +0.22 |
| NVDA | +0.00 | +0.42 | +0.44 | +0.21 |
| PLTR | +0.00 | +0.41 | +0.44 | +0.21 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TQQQ | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.02% | Equity/ETF |
| GOOGL | 7.52% | Equity/ETF |
| META | 7.43% | Equity/ETF |
| AMZN | 6.56% | Equity/ETF |
| GLD | 6.22% | Safe |
| AAPL | 5.98% | Equity/ETF |
| COIN | 5.39% | Equity/ETF |
| MSTR | 5.09% | Equity/ETF |
| NVDA | 5.06% | Equity/ETF |
| PLTR | 5.04% | Equity/ETF |
| MSFT | 4.94% | Equity/ETF |
| SPY | 4.10% | Equity/ETF |
| ARKK | 3.98% | Equity/ETF |
| TSLA | 3.77% | Equity/ETF |
| AVGO | 3.63% | Equity/ETF |
| TQQQ | 2.65% | Equity/ETF |
| QQQ | 2.24% | Equity/ETF |
| AMD | 2.21% | Equity/ETF |
| BTC-USD | 2.20% | Crypto |
| SOL-USD | 2.10% | Crypto |
| SHY | 2.08% | Safe |
| ETH-USD | 1.75% | Crypto |
| TLT | 1.68% | Safe |
| SOXL | 0.32% | 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 | $291.13 | $-23.71 | 3.58% |
| AMD | 0.5922 | $475.51 | $511.57 | $+21.36 | 3.36% |
| AMZN | 1.9782 | $264.27 | $238.55 | $-50.88 | 5.23% |
| ARKK | 5.2349 | $78.22 | $75.65 | $-13.45 | 4.39% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 2.95% |
| BTC-USD | 0.0036 | $78864.28 | $64305.62 | $-53.02 | 2.59% |
| COIN | 2.3857 | $191.61 | $159.78 | $-75.93 | 4.22% |
| ETH-USD | 0.1633 | $2243.97 | $1666.29 | $-94.35 | 3.02% |
| GLD | 1.4256 | $424.58 | $386.54 | $-54.23 | 6.11% |
| GOOGL | 1.5206 | $380.34 | $359.68 | $-31.42 | 6.06% |
| META | 0.9874 | $601.05 | $566.98 | $-33.64 | 6.20% |
| MSFT | 0.5963 | $405.19 | $390.74 | $-8.62 | 2.58% |
| MSTR | 4.1924 | $164.63 | $123.97 | $-170.47 | 5.76% |
| NFLX | 7.5220 | $87.19 | $80.34 | $-51.56 | 6.70% |
| NVDA | 1.7267 | $214.25 | $205.19 | $-15.64 | 3.93% |
| PLTR | 3.4947 | $129.03 | $127.99 | $-3.63 | 4.96% |
| QQQ | 0.4078 | $735.60 | $721.34 | $-5.81 | 3.26% |
| SHY | 4.2520 | $82.17 | $82.07 | $-0.40 | 3.87% |
| SOL-USD | 4.8523 | $81.14 | $67.77 | $-64.87 | 3.64% |
| SPY | 0.5060 | $740.61 | $741.75 | $+0.58 | 4.16% |
| TLT | 2.5997 | $84.75 | $85.77 | $+2.64 | 2.47% |
| TQQQ | 4.7422 | $73.05 | $77.52 | $+21.20 | 4.07% |
| TSLA | 0.7403 | $409.99 | $406.43 | $-2.64 | 3.33% |
Risk Metrics
- Portfolio Volatility (proxy): 24.48% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -10.84%
- Max Drawdown: -13.21%
- Trade Count: 49
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.