SQAF 운용 아침 리포트

핵심 요약

결론부터 말하면, 오늘 SQAF는 AUM $8,785.66, 총수익률 -12.14%, 현금 $297.32 상태이며 신규 가상 매매는 없었습니다. 시장은 SPY 5일 수익률 -1.64%, Crypto Fear & Greed 12/100으로 위험 심리가 매우 약하지만, 모델상 주식/ETF 구간은 저변동 중립·박스권으로 판단되어 기존 포지션을 리밸런싱 임계값 안에서 유지했습니다.

전략은 중기 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%를 결합해 과매도 반등 후보를 고르되, 고변동 혼돈 구간에서는 노출을 줄이는 구조입니다. 오늘 상위 신호는 GLD, NFLX, META, GOOGL, SPY 중심이며, 포트폴리오가 목표 비중 대비 3% 리밸런싱 임계값 안에 있어 거래 비용을 내지 않는 쪽이 더 합리적이었습니다.

대시보드 스크린샷

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_7c20a442dd5b4b37843113a0f1001e5a.png

전체 자동 운용 리포트 원문

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-11 09:01 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $8,785.66  |  **Total Return:** -12.14%  |  **Cash:** $297.32

## Market Regime
- SPY 5-day return: -1.64%
- 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?**
- **GLD**: ensemble +0.39 → oversold bounce, calm regime (vol filter pass)
- **NFLX**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **GOOGL**: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)
- **SPY**: ensemble +0.32 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| GLD | +0.00 | +0.95 | +0.66 | +0.39 |
| NFLX | +0.00 | +0.42 | +0.86 | +0.34 |
| META | +0.00 | +0.73 | +0.63 | +0.34 |
| GOOGL | +0.00 | +0.55 | +0.69 | +0.32 |
| SPY | +0.00 | +0.72 | +0.57 | +0.32 |
| AMZN | +0.00 | +0.70 | +0.58 | +0.31 |
| TSLA | +0.00 | +0.72 | +0.45 | +0.28 |
| AAPL | +0.00 | +0.61 | +0.50 | +0.27 |
| MSTR | +0.00 | +0.54 | +0.52 | +0.26 |
| COIN | +0.00 | +0.51 | +0.52 | +0.26 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| AMD | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| GLD | ⚪ +0.00 |
| META | ⚪ +0.00 |
| AMZN | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| GLD | 6.62% | Safe |
| NFLX | 5.83% | Equity/ETF |
| META | 5.73% | Equity/ETF |
| GOOGL | 5.41% | Equity/ETF |
| SPY | 5.38% | Equity/ETF |
| AMZN | 5.36% | Equity/ETF |
| TSLA | 4.75% | Equity/ETF |
| AAPL | 4.63% | Equity/ETF |
| MSTR | 4.50% | Equity/ETF |
| COIN | 4.40% | Equity/ETF |
| ARKK | 4.39% | Equity/ETF |
| TQQQ | 4.16% | Equity/ETF |
| NVDA | 4.06% | Equity/ETF |
| QQQ | 4.04% | Equity/ETF |
| AMD | 3.54% | Equity/ETF |
| SHY | 3.53% | Safe |
| MSFT | 3.50% | Equity/ETF |
| SOL-USD | 3.42% | Crypto |
| PLTR | 3.21% | Equity/ETF |
| BTC-USD | 3.19% | Crypto |
| AVGO | 3.11% | Equity/ETF |
| ETH-USD | 2.64% | Crypto |
| TLT | 2.52% | Safe |
| SOXL | 2.07% | 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 | $291.58 | $-23.21 | 3.68% |
| AMD | 0.5922 | $475.51 | $452.40 | $-13.68 | 3.05% |
| AMZN | 1.9782 | $264.27 | $238.00 | $-51.97 | 5.36% |
| ARKK | 5.2349 | $78.22 | $73.01 | $-27.27 | 4.35% |
| AVGO | 0.6966 | $385.77 | $372.10 | $-9.52 | 2.95% |
| BTC-USD | 0.0086 | $78864.28 | $61533.53 | $-149.77 | 6.05% |
| COIN | 2.3857 | $191.61 | $153.97 | $-89.79 | 4.18% |
| ETH-USD | 0.1633 | $2243.97 | $1622.73 | $-101.46 | 3.02% |
| GLD | 1.4256 | $424.58 | $374.58 | $-71.28 | 6.08% |
| GOOGL | 1.5206 | $380.34 | $356.38 | $-36.43 | 6.17% |
| META | 0.9874 | $601.05 | $570.98 | $-29.69 | 6.42% |
| MSFT | 0.5963 | $405.19 | $397.36 | $-4.67 | 2.70% |
| MSTR | 4.1924 | $164.63 | $115.35 | $-206.61 | 5.50% |
| NFLX | 7.5220 | $87.19 | $82.00 | $-39.08 | 7.02% |
| NVDA | 1.7267 | $214.25 | $200.42 | $-23.88 | 3.94% |
| PLTR | 1.2345 | $130.93 | $130.21 | $-0.89 | 1.83% |
| QQQ | 0.4078 | $735.60 | $693.69 | $-17.09 | 3.22% |
| SHY | 4.2520 | $82.17 | $81.94 | $-0.96 | 3.97% |
| SOL-USD | 4.8523 | $81.14 | $63.25 | $-86.80 | 3.49% |
| SPY | 0.5060 | $740.61 | $725.43 | $-7.68 | 4.18% |
| TLT | 2.5997 | $84.75 | $84.88 | $+0.32 | 2.51% |
| TQQQ | 4.7422 | $73.05 | $69.27 | $-17.93 | 3.74% |
| TSLA | 0.7403 | $409.99 | $381.59 | $-21.02 | 3.22% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.20% annualized
- 95% VaR (daily): -2.61%
- Current Drawdown: -13.20%
- Max Drawdown: -13.21%
- Trade Count: 47

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