SQAF 운용 아침 리포트

핵심 요약

오늘 SQAF는 Neutral/Ranging (Low Vol) 국면으로 판단했고, 중기 모멘텀 50%·단기 평균회귀 20%·변동성 필터 30%의 앙상블 신호를 기준으로 포트폴리오를 유지했습니다. 크립토 공포탐욕지수는 12/100 Extreme Fear로 극단적 공포 구간이지만, 변동성 필터가 통과한 과매도 반등 후보 중심으로 SOL/ETH/BTC 노출을 유지했습니다. 리밸런싱 기준 3% 드리프트 안에 있어 이번 실행에서는 추가 가상 매매가 발생하지 않았습니다.

Dashboard Screenshot

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_f0e2fbcb473040f09c754049bd50cefd.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-05 09:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,365.50  |  **Total Return:** -6.34%  |  **Cash:** $-0.00

## Market Regime
- SPY 5-day return: +0.08%
- Crypto Fear & Greed: 12/100 (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 +0.38 → oversold bounce, calm regime (vol filter pass)
- **SOL-USD**: ensemble +0.36 → oversold bounce, calm regime (vol filter pass)
- **ETH-USD**: ensemble +0.36 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.33 → calm regime (vol filter pass)
- **BTC-USD**: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.75 | +0.78 | +0.38 |
| SOL-USD | +0.00 | +0.90 | +0.59 | +0.36 |
| ETH-USD | +0.00 | +0.81 | +0.65 | +0.36 |
| GLD | +0.00 | +0.28 | +0.90 | +0.33 |
| BTC-USD | +0.00 | +0.78 | +0.53 | +0.32 |
| AMZN | +0.00 | +0.60 | +0.62 | +0.31 |
| GOOGL | +0.00 | +0.40 | +0.66 | +0.28 |
| MSTR | +0.00 | +0.60 | +0.50 | +0.27 |
| COIN | +0.00 | +0.58 | +0.46 | +0.25 |
| TSLA | +0.00 | +0.23 | +0.47 | +0.19 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| TQQQ | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 8.17% | Equity/ETF |
| GLD | 7.10% | Safe |
| SOL-USD | 7.09% | Crypto |
| ETH-USD | 7.08% | Crypto |
| AMZN | 6.64% | Equity/ETF |
| BTC-USD | 6.26% | Crypto |
| GOOGL | 6.04% | Equity/ETF |
| MSTR | 5.84% | Equity/ETF |
| COIN | 5.50% | Equity/ETF |
| TSLA | 4.06% | Equity/ETF |
| SPY | 3.82% | Equity/ETF |
| SHY | 3.49% | Safe |
| META | 3.31% | Equity/ETF |
| AAPL | 3.11% | Equity/ETF |
| ARKK | 3.05% | Equity/ETF |
| NVDA | 3.00% | Equity/ETF |
| TQQQ | 2.83% | Equity/ETF |
| QQQ | 2.81% | Equity/ETF |
| PLTR | 2.42% | Equity/ETF |
| TLT | 2.38% | Safe |
| AVGO | 2.32% | Equity/ETF |
| MSFT | 1.79% | Equity/ETF |
| AMD | 1.79% | Equity/ETF |
| SOXL | 0.09% | 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 | $311.23 | $-1.42 | 3.69% |
| AMZN | 3.1055 | $264.27 | $253.79 | $-32.55 | 8.42% |
| ARKK | 5.2349 | $78.22 | $80.07 | $+9.68 | 4.48% |
| AVGO | 0.0009 | $413.65 | $418.91 | $+0.00 | 0.00% |
| BTC-USD | 0.0086 | $78864.28 | $63720.00 | $-130.87 | 5.88% |
| COIN | 4.2459 | $191.61 | $164.13 | $-116.66 | 7.44% |
| ETH-USD | 0.3667 | $2243.97 | $1765.84 | $-175.32 | 6.91% |
| GLD | 2.1041 | $424.58 | $411.27 | $-28.00 | 9.24% |
| GOOGL | 1.5206 | $380.34 | $372.19 | $-12.39 | 6.04% |
| META | 0.4759 | $617.89 | $627.57 | $+4.61 | 3.19% |
| MSFT | 0.5963 | $405.19 | $428.05 | $+13.63 | 2.73% |
| MSTR | 4.1924 | $164.63 | $129.37 | $-147.83 | 5.79% |
| NFLX | 7.5220 | $87.19 | $81.56 | $-42.39 | 6.55% |
| NVDA | 1.7267 | $214.25 | $218.66 | $+7.61 | 4.03% |
| PLTR | 1.2345 | $130.93 | $141.70 | $+13.30 | 1.87% |
| QQQ | 0.4078 | $735.60 | $740.61 | $+2.04 | 3.22% |
| SHY | 4.2520 | $82.17 | $82.03 | $-0.57 | 3.72% |
| SOL-USD | 9.5867 | $81.14 | $68.65 | $-119.72 | 7.03% |
| SPY | 0.5060 | $740.61 | $757.09 | $+8.34 | 4.09% |
| TLT | 2.5997 | $84.75 | $85.50 | $+1.94 | 2.37% |
| TSLA | 0.7403 | $409.99 | $418.45 | $+6.26 | 3.31% |

## Risk Metrics
- Portfolio Volatility (proxy): 22.65% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -7.47%
- Max Drawdown: -8.18%
- Trade Count: 38

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

Dashboard Verification

Dashboard URL: http://localhost:8765/
Status check: HTTP 200
Screenshot captured: /Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_f0e2fbcb473040f09c754049bd50cefd.png
Visible dashboard metrics: AUM $9,365.50, Total Return -6.34%, Cash $0.00, Max Drawdown -8.18%, Current Drawdown -7.47%, Trade Count 38.