SQAF 운용 아침 리포트

핵심 요약

• 2026-06-12 09:00 KST 기준 Virtual AUM은 $8,994.65, 총수익률은 -10.05%, 현금은 $611.65입니다.
• 시장은 Neutral/Ranging (High Vol)로 분류되었고, Crypto Fear & Greed는 12/100 Extreme Fear입니다.
• 리밸런싱 기준 3.0% drift 안에 있어 금일 가상 거래는 실행되지 않았습니다.

전략 판단 요약

현재 전략은 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%를 결합해 고변동 장세에서 과도한 노출을 줄이면서 단기 과매도 반등 후보를 선별합니다. 오늘 상위 신호는 NFLX, GOOGL, META, GLD, AMZN 중심이며 모두 oversold bounce와 vol filter pass 조건을 만족했지만, 기존 포트폴리오가 리밸런싱 임계값 안에 있어 추가 거래는 하지 않았습니다. Son님 기준으로는 수익률 회복보다 MSTR/크립토 손실과 -11.13% 현재 낙폭 관리가 먼저입니다.

Dashboard Screenshot

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_4a8900d083d640fc92e2a6d6dd5543dd.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-12 09:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $8,994.65  |  **Total Return:** -10.05%  |  **Cash:** $611.65

## Market Regime
- SPY 5-day return: +0.06%
- Crypto Fear & Greed: 12/100 (Extreme Fear)

## Trading Strategy Rationale
**Market Regime:** Neutral/Ranging (High 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 +0.35 → oversold bounce, calm regime (vol filter pass)
- **GOOGL**: ensemble +0.34 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.33 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- **AMZN**: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.45 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.47 | +0.81 | +0.34 |
| META | +0.00 | +0.65 | +0.66 | +0.33 |
| GLD | +0.00 | +0.57 | +0.56 | +0.28 |
| AMZN | +0.00 | +0.52 | +0.58 | +0.28 |
| AAPL | +0.00 | +0.40 | +0.50 | +0.23 |
| MSTR | +0.00 | +0.42 | +0.48 | +0.23 |
| MSFT | +0.00 | +0.61 | +0.33 | +0.22 |
| COIN | +0.00 | +0.35 | +0.48 | +0.21 |
| SPY | +0.00 | +0.27 | +0.51 | +0.21 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| MSTR | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| NVDA | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 7.69% | Equity/ETF |
| GOOGL | 7.49% | Equity/ETF |
| META | 7.29% | Equity/ETF |
| GLD | 6.27% | Safe |
| AMZN | 6.19% | Equity/ETF |
| AAPL | 5.12% | Equity/ETF |
| MSTR | 5.05% | Equity/ETF |
| MSFT | 4.93% | Equity/ETF |
| COIN | 4.76% | Equity/ETF |
| SPY | 4.61% | Equity/ETF |
| TSLA | 4.39% | Equity/ETF |
| NVDA | 4.30% | Equity/ETF |
| PLTR | 4.26% | Equity/ETF |
| ARKK | 3.98% | Equity/ETF |
| SOL-USD | 3.08% | Crypto |
| AVGO | 3.03% | Equity/ETF |
| BTC-USD | 3.03% | Crypto |
| TQQQ | 3.02% | Equity/ETF |
| AMD | 2.96% | Equity/ETF |
| ETH-USD | 2.67% | Crypto |
| QQQ | 2.58% | Equity/ETF |
| SHY | 1.47% | Safe |
| TLT | 1.17% | Safe |
| SOXL | 0.66% | 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 | $295.63 | $-18.72 | 3.64% |
| AMD | 0.5922 | $475.51 | $488.45 | $+7.67 | 3.22% |
| AMZN | 1.9782 | $264.27 | $241.51 | $-45.03 | 5.31% |
| ARKK | 5.2349 | $78.22 | $75.46 | $-14.45 | 4.39% |
| AVGO | 0.6966 | $385.77 | $385.57 | $-0.14 | 2.99% |
| BTC-USD | 0.0036 | $78864.28 | $63541.48 | $-55.80 | 2.57% |
| COIN | 2.3857 | $191.61 | $160.43 | $-74.38 | 4.26% |
| ETH-USD | 0.1633 | $2243.97 | $1670.61 | $-93.64 | 3.03% |
| GLD | 1.4256 | $424.58 | $386.32 | $-54.54 | 6.12% |
| GOOGL | 1.5206 | $380.34 | $357.77 | $-34.32 | 6.05% |
| META | 0.9874 | $601.05 | $568.43 | $-32.21 | 6.24% |
| MSFT | 0.5963 | $405.19 | $390.34 | $-8.85 | 2.59% |
| MSTR | 4.1924 | $164.63 | $120.15 | $-186.49 | 5.60% |
| NFLX | 7.5220 | $87.19 | $81.27 | $-44.57 | 6.80% |
| NVDA | 1.7267 | $214.25 | $204.87 | $-16.20 | 3.93% |
| PLTR | 1.2345 | $130.93 | $131.08 | $+0.18 | 1.80% |
| QQQ | 0.4078 | $735.60 | $717.12 | $-7.54 | 3.25% |
| SHY | 4.2520 | $82.17 | $82.09 | $-0.32 | 3.88% |
| SOL-USD | 4.8523 | $81.14 | $66.76 | $-69.77 | 3.60% |
| SPY | 0.5060 | $740.61 | $737.76 | $-1.44 | 4.15% |
| TLT | 2.5997 | $84.75 | $85.98 | $+3.18 | 2.49% |
| TQQQ | 4.7422 | $73.05 | $76.01 | $+14.04 | 4.01% |
| TSLA | 0.7403 | $409.99 | $399.15 | $-8.02 | 3.29% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.31% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -11.13%
- Max Drawdown: -13.21%
- Trade Count: 48

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

Dashboard Verification Notes

• Dashboard server verified at http://localhost:8765/ with HTTP 200.
• Screenshot captured from live dashboard at 09:00 KST update window.
• Visible dashboard values match the script run: AUM $8,994.65, total return -10.05%, cash $611.65, max drawdown -13.21%, current drawdown -11.13%, trade count 48.