SQAF 운용 아침 리포트

핵심 전략 요약

현재 시장 국면은 저변동 중립/횡보로 판단되어, 변동성 필터를 통과한 종목 중심으로 익스포저를 유지합니다. 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호를 사용하며, 오늘은 GOOGL·ETH·BTC·NFLX·SOL이 과매도 반등 및 안정적 변동성 조건으로 상위 신호에 올랐습니다. 포트폴리오는 리밸런싱 임계치 3% 이내라 신규 가상매매는 실행되지 않았습니다.

Dashboard Screenshot

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_706e9a5111354cc2b034c560092d6c42.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-01 09:01 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,989.91  |  **Total Return:** -0.10%  |  **Cash:** $-0.00

## Market Regime
- SPY 5-day return: +0.78%
- Crypto Fear & Greed: 29/100 (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?**
- **GOOGL**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **ETH-USD**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **BTC-USD**: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- **NFLX**: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- **SOL-USD**: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| GOOGL | +0.00 | +0.55 | +0.76 | +0.34 |
| ETH-USD | +0.00 | +0.43 | +0.83 | +0.34 |
| BTC-USD | +0.00 | +0.47 | +0.72 | +0.31 |
| NFLX | +0.00 | +0.43 | +0.74 | +0.31 |
| SOL-USD | +0.00 | +0.34 | +0.76 | +0.30 |
| GLD | +0.00 | +0.16 | +0.75 | +0.26 |
| MSTR | +0.00 | +0.37 | +0.51 | +0.23 |
| AMZN | +0.00 | -0.16 | +0.74 | +0.19 |
| META | +0.00 | -0.62 | +1.00 | +0.18 |
| NVDA | +0.00 | +0.15 | +0.47 | +0.17 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| AVGO | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| META | ⚪ +0.00 |
| SOL-USD | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GOOGL | 8.73% | Equity/ETF |
| NFLX | 8.73% | Equity/ETF |
| GLD | 7.85% | Safe |
| BTC-USD | 7.27% | Crypto |
| ETH-USD | 7.27% | Crypto |
| SOL-USD | 7.27% | Crypto |
| MSTR | 6.92% | Equity/ETF |
| AMZN | 5.84% | Equity/ETF |
| META | 5.38% | Equity/ETF |
| NVDA | 5.22% | Equity/ETF |
| COIN | 5.18% | Equity/ETF |
| SPY | 4.23% | Equity/ETF |
| AAPL | 3.39% | Equity/ETF |
| TSLA | 3.32% | Equity/ETF |
| SHY | 3.32% | Safe |
| TLT | 2.83% | Safe |
| QQQ | 2.77% | Equity/ETF |
| TQQQ | 2.67% | Equity/ETF |
| ARKK | 1.54% | Equity/ETF |
| SOXL | 0.28% | Equity/ETF |
| AMD | 0.00% | Equity/ETF |
| AVGO | 0.00% | Equity/ETF |
| MSFT | 0.00% | Equity/ETF |
| PLTR | 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 | $312.06 | $-0.50 | 3.46% |
| AMZN | 1.9643 | $268.77 | $270.64 | $+3.66 | 5.32% |
| ARKK | 5.2349 | $78.22 | $81.95 | $+19.53 | 4.29% |
| AVGO | 0.0009 | $413.65 | $446.77 | $+0.03 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $73575.44 | $-45.71 | 6.36% |
| COIN | 4.2459 | $191.61 | $189.03 | $-10.94 | 8.03% |
| ETH-USD | 0.3667 | $2243.97 | $2004.02 | $-87.98 | 7.36% |
| GLD | 2.1041 | $424.58 | $417.12 | $-15.69 | 8.79% |
| GOOGL | 2.2912 | $380.34 | $380.34 | $+0.00 | 8.72% |
| META | 0.4759 | $617.89 | $632.51 | $+6.96 | 3.01% |
| MSFT | 0.5963 | $405.19 | $450.24 | $+26.86 | 2.69% |
| MSTR | 4.1924 | $164.63 | $159.09 | $-23.23 | 6.68% |
| NFLX | 7.5220 | $87.19 | $86.02 | $-8.84 | 6.48% |
| NVDA | 1.7267 | $214.25 | $211.14 | $-5.37 | 3.65% |
| PLTR | 1.2345 | $130.93 | $156.54 | $+31.62 | 1.93% |
| QQQ | 0.4078 | $735.60 | $738.31 | $+1.11 | 3.01% |
| SHY | 4.2520 | $82.17 | $82.30 | $+0.57 | 3.50% |
| SOL-USD | 5.4207 | $90.69 | $82.29 | $-45.53 | 4.47% |
| SPY | 0.5060 | $740.61 | $756.48 | $+8.03 | 3.83% |
| TLT | 6.0246 | $84.75 | $85.76 | $+6.05 | 5.17% |
| TSLA | 0.7403 | $409.99 | $435.79 | $+19.10 | 3.23% |

## Risk Metrics
- Portfolio Volatility (proxy): 22.71% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -1.30%
- Max Drawdown: -3.26%
- Trade Count: 34

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*Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.*