SQAF 운용 아침 리포트

핵심 전략 요약

오늘 SQAF는 Neutral/Ranging (Low Vol) 국면으로 판단해, 고변동성 회피보다는 과매도 반등 후보를 중심으로 기존 포지션을 유지했습니다. 시그널은 중기 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30% 조합이며, 리밸런싱 임계값 3% 안에 들어와 이번 실행에서는 추가 거래가 발생하지 않았습니다. 다만 Crypto Fear & Greed가 11/100으로 극단적 공포 구간이므로, ETH/SOL/BTC 및 MSTR/COIN 노출은 계속 리스크 감시가 필요합니다.

Dashboard Screenshot

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Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-03 09:01 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,551.66  |  **Total Return:** -4.48%  |  **Cash:** $0.00

## Market Regime
- SPY 5-day return: +0.41%
- Crypto Fear & Greed: 11/100 (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 +0.40 → oversold bounce, calm regime (vol filter pass)
- **GOOGL**: ensemble +0.40 → oversold bounce, calm regime (vol filter pass)
- **SOL-USD**: ensemble +0.37 → oversold bounce, calm regime (vol filter pass)
- **ETH-USD**: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)
- **AMZN**: ensemble +0.35 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.91 | +0.72 | +0.40 |
| GOOGL | +0.00 | +0.96 | +0.68 | +0.40 |
| SOL-USD | +0.00 | +0.94 | +0.59 | +0.37 |
| ETH-USD | +0.00 | +0.82 | +0.64 | +0.35 |
| AMZN | +0.00 | +0.74 | +0.66 | +0.35 |
| BTC-USD | +0.00 | +0.96 | +0.50 | +0.34 |
| META | +0.00 | +0.43 | +0.84 | +0.34 |
| MSTR | +0.00 | +0.71 | +0.53 | +0.30 |
| GLD | +0.00 | +0.32 | +0.77 | +0.30 |
| COIN | +0.00 | +0.54 | +0.48 | +0.25 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| SPY | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| META | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GOOGL | 8.52% | Equity/ETF |
| NFLX | 8.52% | Equity/ETF |
| AMZN | 8.36% | Equity/ETF |
| META | 8.16% | Equity/ETF |
| MSTR | 7.23% | Equity/ETF |
| ETH-USD | 7.18% | Crypto |
| SOL-USD | 7.18% | Crypto |
| GLD | 7.14% | Safe |
| BTC-USD | 6.94% | Crypto |
| COIN | 6.11% | Equity/ETF |
| SHY | 4.04% | Safe |
| TSLA | 3.39% | Equity/ETF |
| SPY | 3.26% | Equity/ETF |
| ARKK | 3.07% | Equity/ETF |
| AAPL | 2.40% | Equity/ETF |
| TLT | 2.33% | Safe |
| QQQ | 1.87% | Equity/ETF |
| TQQQ | 1.77% | Equity/ETF |
| NVDA | 1.68% | Equity/ETF |
| MSFT | 0.67% | Equity/ETF |
| PLTR | 0.19% | 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 | $315.20 | $+2.98 | 3.66% |
| AMZN | 3.1055 | $264.27 | $256.52 | $-24.07 | 8.34% |
| ARKK | 5.2349 | $78.22 | $79.91 | $+8.85 | 4.38% |
| AVGO | 0.0009 | $413.65 | $481.57 | $+0.06 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $66723.79 | $-104.92 | 6.04% |
| COIN | 4.2459 | $191.61 | $173.99 | $-74.80 | 7.73% |
| ETH-USD | 0.3667 | $2243.97 | $1859.86 | $-140.84 | 7.14% |
| GLD | 2.1041 | $424.58 | $411.95 | $-26.57 | 9.07% |
| GOOGL | 2.2912 | $380.34 | $361.85 | $-42.37 | 8.68% |
| META | 0.4759 | $617.89 | $597.63 | $-9.64 | 2.98% |
| MSFT | 0.5963 | $405.19 | $441.31 | $+21.54 | 2.75% |
| MSTR | 4.1924 | $164.63 | $136.08 | $-119.70 | 5.97% |
| NFLX | 7.5220 | $87.19 | $83.33 | $-29.07 | 6.56% |
| NVDA | 1.7267 | $214.25 | $222.82 | $+14.80 | 4.03% |
| PLTR | 1.2345 | $130.93 | $152.17 | $+26.22 | 1.97% |
| QQQ | 0.4078 | $735.60 | $746.16 | $+4.31 | 3.19% |
| SHY | 4.2520 | $82.17 | $82.01 | $-0.66 | 3.65% |
| SOL-USD | 5.4207 | $90.69 | $74.23 | $-89.22 | 4.21% |
| SPY | 0.5060 | $740.61 | $759.57 | $+9.59 | 4.02% |
| TLT | 2.5997 | $84.75 | $85.65 | $+2.33 | 2.33% |
| TSLA | 0.7403 | $409.99 | $423.74 | $+10.18 | 3.28% |

## Risk Metrics
- Portfolio Volatility (proxy): 22.57% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -5.63%
- Max Drawdown: -5.63%
- Trade Count: 36

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