SQAF 운용 아침 리포트 — 2026-06-07 09:01 KST

Sonia 운용 요약

오늘 SQAF는 Bearish (Low Vol) 국면으로 판단했으며, SPY 5일 수익률 -2.77%와 Crypto Fear & Greed 12/100의 극단적 공포 환경을 반영했습니다. 전략은 중기 모멘텀 50%, 단기 과매도 반등/평균회귀 20%, 변동성 레짐 30%를 조합했고, 현재 포트폴리오는 리밸런싱 임계값 3.0% 이내라 신규 가상 매매는 실행하지 않았습니다. AUM은 $8,928.31, 총수익률은 -10.72%, 현재/최대 낙폭은 -11.79%로 방어 확인이 필요한 구간입니다.

Dashboard Screenshot

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_3b75a77300fb4ed79bfa57f461d777cf.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-07 09:01 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $8,928.31  |  **Total Return:** -10.72%  |  **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)
- **AMZN**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
- **SOL-USD**: ensemble +0.29 → 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 |
| AMZN | +0.00 | +0.79 | +0.59 | +0.34 |
| META | +0.00 | +0.52 | +0.66 | +0.30 |
| SOL-USD | +0.00 | +0.78 | +0.45 | +0.29 |
| 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 |
| MSTR | +0.00 | +0.64 | +0.49 | +0.27 |
| COIN | +0.00 | +0.70 | +0.43 | +0.27 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| TLT | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| NFLX | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| AMD | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GLD | 6.47% | Safe |
| NFLX | 5.95% | Equity/ETF |
| AMZN | 5.83% | Equity/ETF |
| META | 5.21% | Equity/ETF |
| SOL-USD | 5.06% | Crypto |
| GOOGL | 4.99% | Equity/ETF |
| TSLA | 4.90% | Equity/ETF |
| SHY | 4.81% | Safe |
| MSTR | 4.76% | Equity/ETF |
| COIN | 4.65% | Equity/ETF |
| ETH-USD | 4.64% | Crypto |
| BTC-USD | 4.60% | Crypto |
| SPY | 4.53% | Equity/ETF |
| ARKK | 4.32% | Equity/ETF |
| NVDA | 4.25% | Equity/ETF |
| TQQQ | 3.66% | Equity/ETF |
| QQQ | 3.42% | Equity/ETF |
| AVGO | 3.24% | Equity/ETF |
| AAPL | 2.97% | Equity/ETF |
| PLTR | 2.73% | Equity/ETF |
| AMD | 2.64% | Equity/ETF |
| TLT | 2.29% | Safe |
| MSFT | 2.28% | Equity/ETF |
| SOXL | 1.81% | 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 | 3.82% |
| AMZN | 3.1055 | $264.27 | $246.03 | $-56.65 | 8.56% |
| ARKK | 5.2349 | $78.22 | $74.49 | $-19.53 | 4.37% |
| AVGO | 0.6966 | $385.77 | $385.73 | $-0.03 | 3.01% |
| BTC-USD | 0.0086 | $78864.28 | $60864.81 | $-155.55 | 5.89% |
| COIN | 4.2459 | $191.61 | $152.40 | $-166.47 | 7.25% |
| ETH-USD | 0.3667 | $2243.97 | $1569.54 | $-247.29 | 6.45% |
| GLD | 1.4256 | $424.58 | $396.24 | $-40.40 | 6.33% |
| GOOGL | 1.5206 | $380.34 | $368.53 | $-17.96 | 6.28% |
| META | 0.4759 | $617.89 | $593.00 | $-11.84 | 3.16% |
| MSFT | 0.5963 | $405.19 | $416.67 | $+6.85 | 2.78% |
| MSTR | 4.1924 | $164.63 | $120.44 | $-185.27 | 5.66% |
| NFLX | 7.5220 | $87.19 | $82.18 | $-37.72 | 6.92% |
| NVDA | 1.7267 | $214.25 | $205.10 | $-15.80 | 3.97% |
| PLTR | 1.2345 | $130.93 | $135.53 | $+5.68 | 1.87% |
| QQQ | 0.4078 | $735.60 | $705.06 | $-12.45 | 3.22% |
| SHY | 4.2520 | $82.17 | $81.86 | $-1.30 | 3.90% |
| SOL-USD | 9.5867 | $81.14 | $62.21 | $-181.46 | 6.68% |
| SPY | 0.5060 | $740.61 | $737.55 | $-1.55 | 4.18% |
| TLT | 2.5997 | $84.75 | $85.06 | $+0.79 | 2.48% |
| TSLA | 0.7403 | $409.99 | $391.00 | $-14.06 | 3.24% |

## Risk Metrics
- Portfolio Volatility (proxy): 23.93% annualized
- 95% VaR (daily): -2.62%
- Current Drawdown: -11.79%
- Max Drawdown: -11.79%
- Trade Count: 40

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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/
• Server status: running
• Screenshot captured: /Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_3b75a77300fb4ed79bfa57f461d777cf.png
• Visible panels: AUM/return/cash/drawdown cards, holdings, recent trades, risk metrics. Portfolio allocation panel is present, though the allocation chart area appeared blank in the captured screenshot.