SQAF 운용 아침 리포트
핵심 요약
현재 SQAF는 Bearish (Low Vol) 국면으로 판단해, 모멘텀 50%·평균회귀 20%·변동성 레짐 30%의 앙상블 신호를 사용했습니다. 오늘 실행 기준 포트폴리오는 리밸런싱 임계값 3.0% 안에 있어 추가 거래는 없었고, GLD·NFLX·SOL-USD·AMZN·ETH-USD가 상위 신호로 유지됩니다. 다만 Crypto Fear & Greed가 12/100 Extreme Fear이고 현재 드로우다운이 -11.55%라, 공격적 월 20% 목표 대비 리스크 감시는 계속 필요합니다.
대시보드 스크린샷
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전체 운용 보고서 원문
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-06 09:00 KST | Target Monthly Return: 20% Virtual AUM: $8,952.06 | Total Return: -10.48% | Cash: $0.00
Market Regime
- SPY 5-day return: -2.77%
- Crypto Fear & Greed: 12/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Bearish (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 +0.37 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- SOL-USD: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- ETH-USD: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GLD | +0.00 | +0.70 | +0.77 | +0.37 |
| NFLX | +0.00 | +0.57 | +0.76 | +0.34 |
| SOL-USD | +0.00 | +0.91 | +0.52 | +0.34 |
| AMZN | +0.00 | +0.79 | +0.59 | +0.34 |
| ETH-USD | +0.00 | +0.97 | +0.44 | +0.33 |
| BTC-USD | +0.00 | +0.78 | +0.50 | +0.31 |
| META | +0.00 | +0.52 | +0.66 | +0.30 |
| GOOGL | +0.00 | +0.45 | +0.66 | +0.29 |
| TSLA | +0.00 | +0.80 | +0.41 | +0.28 |
| SHY | +0.00 | +0.36 | +0.68 | +0.28 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| AVGO | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GLD | 6.31% | Safe |
| NFLX | 5.80% | Equity/ETF |
| SOL-USD | 5.72% | Crypto |
| AMZN | 5.69% | Equity/ETF |
| ETH-USD | 5.49% | Crypto |
| BTC-USD | 5.20% | Crypto |
| META | 5.08% | Equity/ETF |
| GOOGL | 4.87% | Equity/ETF |
| TSLA | 4.78% | Equity/ETF |
| SHY | 4.69% | Safe |
| MSTR | 4.64% | Equity/ETF |
| COIN | 4.54% | Equity/ETF |
| SPY | 4.42% | Equity/ETF |
| ARKK | 4.21% | Equity/ETF |
| NVDA | 4.15% | Equity/ETF |
| TQQQ | 3.57% | Equity/ETF |
| QQQ | 3.34% | Equity/ETF |
| AVGO | 3.16% | Equity/ETF |
| AAPL | 2.90% | Equity/ETF |
| PLTR | 2.66% | Equity/ETF |
| AMD | 2.57% | Equity/ETF |
| TLT | 2.23% | Safe |
| MSFT | 2.23% | Equity/ETF |
| SOXL | 1.76% | 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 | $307.34 | $-5.73 | 3.81% |
| AMZN | 3.1055 | $264.27 | $246.03 | $-56.65 | 8.53% |
| ARKK | 5.2349 | $78.22 | $74.49 | $-19.53 | 4.36% |
| AVGO | 0.6966 | $385.77 | $385.73 | $-0.03 | 3.00% |
| BTC-USD | 0.0086 | $78864.28 | $61142.01 | $-153.15 | 5.90% |
| COIN | 4.2459 | $191.61 | $152.40 | $-166.47 | 7.23% |
| ETH-USD | 0.3667 | $2243.97 | $1587.00 | $-240.89 | 6.50% |
| GLD | 1.4256 | $424.58 | $396.24 | $-40.40 | 6.31% |
| GOOGL | 1.5206 | $380.34 | $368.53 | $-17.96 | 6.26% |
| META | 0.4759 | $617.89 | $593.00 | $-11.84 | 3.15% |
| MSFT | 0.5963 | $405.19 | $416.67 | $+6.85 | 2.78% |
| MSTR | 4.1924 | $164.63 | $120.44 | $-185.27 | 5.64% |
| NFLX | 7.5220 | $87.19 | $82.18 | $-37.72 | 6.91% |
| NVDA | 1.7267 | $214.25 | $205.10 | $-15.80 | 3.96% |
| PLTR | 1.2345 | $130.93 | $135.53 | $+5.68 | 1.87% |
| QQQ | 0.4078 | $735.60 | $705.06 | $-12.45 | 3.21% |
| SHY | 4.2520 | $82.17 | $81.86 | $-1.30 | 3.89% |
| SOL-USD | 9.5867 | $81.14 | $63.77 | $-166.50 | 6.83% |
| SPY | 0.5060 | $740.61 | $737.55 | $-1.55 | 4.17% |
| TLT | 2.5997 | $84.75 | $85.06 | $+0.79 | 2.47% |
| TSLA | 0.7403 | $409.99 | $391.00 | $-14.06 | 3.23% |
Risk Metrics
- Portfolio Volatility (proxy): 23.57% annualized
- 95% VaR (daily): -2.61%
- Current Drawdown: -11.55%
- Max Drawdown: -11.59%
- Trade Count: 40
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.