Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-09 09:01 KST | Target Monthly Return: 20% Virtual AUM: $9,136.34 | Total Return: -8.64% | Cash: $311.14
Market Regime
- SPY 5-day return: -2.35%
- Crypto Fear & Greed: 10/100 (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 +0.35 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- NFLX: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.30 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| GLD | +0.00 | +0.60 | +0.77 | +0.35 |
| META | +0.00 | +0.62 | +0.65 | +0.32 |
| NFLX | +0.00 | +0.45 | +0.76 | +0.32 |
| AMZN | +0.00 | +0.70 | +0.59 | +0.32 |
| GOOGL | +0.00 | +0.52 | +0.66 | +0.30 |
| SPY | +0.00 | +0.29 | +0.63 | +0.25 |
| MSTR | +0.00 | +0.48 | +0.48 | +0.24 |
| SHY | +0.00 | +0.16 | +0.68 | +0.24 |
| AAPL | +0.00 | +0.16 | +0.65 | +0.23 |
| COIN | +0.00 | +0.45 | +0.41 | +0.21 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| MSTR | ⚪ +0.00 |
| BTC-USD | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| COIN | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GLD | 6.98% | Safe |
| META | 6.32% | Equity/ETF |
| NFLX | 6.32% | Equity/ETF |
| AMZN | 6.29% | Equity/ETF |
| GOOGL | 6.00% | Equity/ETF |
| SPY | 4.92% | Equity/ETF |
| MSTR | 4.75% | Equity/ETF |
| SHY | 4.70% | Safe |
| AAPL | 4.48% | Equity/ETF |
| COIN | 4.23% | Equity/ETF |
| NVDA | 3.99% | Equity/ETF |
| ARKK | 3.98% | Equity/ETF |
| TSLA | 3.82% | Equity/ETF |
| BTC-USD | 3.66% | Crypto |
| SOL-USD | 3.57% | Crypto |
| TQQQ | 3.46% | Equity/ETF |
| TLT | 3.24% | Safe |
| QQQ | 3.13% | Equity/ETF |
| MSFT | 3.08% | Equity/ETF |
| ETH-USD | 3.07% | Crypto |
| AVGO | 3.03% | Equity/ETF |
| PLTR | 2.95% | Equity/ETF |
| AMD | 2.89% | Equity/ETF |
| SOXL | 1.14% | 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 | $301.54 | $-12.17 | 3.66% |
| AMZN | 3.1055 | $264.27 | $245.22 | $-59.16 | 8.34% |
| ARKK | 5.2349 | $78.22 | $75.88 | $-12.25 | 4.35% |
| AVGO | 0.6966 | $385.77 | $396.60 | $+7.55 | 3.02% |
| BTC-USD | 0.0086 | $78864.28 | $63040.31 | $-136.75 | 5.96% |
| COIN | 2.3857 | $191.61 | $162.11 | $-70.37 | 4.23% |
| ETH-USD | 0.1633 | $2243.97 | $1687.97 | $-90.81 | 3.02% |
| GLD | 1.4256 | $424.58 | $397.27 | $-38.93 | 6.20% |
| GOOGL | 1.5206 | $380.34 | $363.31 | $-25.90 | 6.05% |
| META | 0.9874 | $601.05 | $585.39 | $-15.47 | 6.33% |
| MSFT | 0.5963 | $405.19 | $411.74 | $+3.91 | 2.69% |
| MSTR | 4.1924 | $164.63 | $127.20 | $-156.93 | 5.84% |
| NFLX | 7.5220 | $87.19 | $82.64 | $-34.26 | 6.80% |
| NVDA | 1.7267 | $214.25 | $208.64 | $-9.69 | 3.94% |
| PLTR | 1.2345 | $130.93 | $136.47 | $+6.84 | 1.84% |
| QQQ | 0.4078 | $735.60 | $716.07 | $-7.96 | 3.20% |
| SHY | 4.2520 | $82.17 | $81.90 | $-1.13 | 3.81% |
| SOL-USD | 4.8523 | $81.14 | $66.75 | $-69.82 | 3.55% |
| SPY | 0.5060 | $740.61 | $739.22 | $-0.70 | 4.09% |
| TLT | 2.5997 | $84.75 | $84.62 | $-0.35 | 2.41% |
| TQQQ | 4.7422 | $73.05 | $76.27 | $+15.27 | 3.96% |
| TSLA | 0.7403 | $409.99 | $408.95 | $-0.77 | 3.31% |
Risk Metrics
- Portfolio Volatility (proxy): 23.92% annualized
- 95% VaR (daily): -2.61%
- Current Drawdown: -9.73%
- Max Drawdown: -11.79%
- Trade Count: 45
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.