SQAF 운용 아침 리포트
핵심 요약
- SQAF 현재 Virtual AUM은 $9,016.96, 총수익률은 -9.83%, 현금은 $322.08입니다.
- 시장은 Neutral/Ranging (High Vol) 상태로 판단되며, Crypto Fear & Greed는 13/100 Extreme Fear입니다.
- 오늘 실행된 신규 가상 거래는 없습니다. 포트폴리오는 리밸런싱 임계값 내에 있습니다.
전략 요약
현재 전략은 중기 모멘텀 50%, 단기 과매도/과매수 평균회귀 20%, 변동성 레짐 30%를 결합해 고변동 구간에서 노출을 조절합니다. 오늘 상위 신호는 NFLX, GOOGL, META, AMZN, GLD 중심의 과매도 반등 후보이며, 단일 종목 8% 캡과 암호화폐 총 20% 캡으로 포지션 리스크를 제한합니다. 다만 현재 드로다운이 -10.91%라 공격적 추가 매수보다 리밸런싱 규칙 준수가 우선입니다.
대시보드 스크린샷
MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_7bf2eaf39bb340118b9c0ccf132af48e.png
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-13 09:00 KST | Target Monthly Return: 20% Virtual AUM: $9,016.96 | Total Return: -9.83% | Cash: $322.08
Market Regime
- SPY 5-day return: +0.37%
- Crypto Fear & Greed: 13/100 (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 +0.32 → oversold bounce, calm regime (vol filter pass)
- META: ensemble +0.31 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.28 → oversold bounce, calm regime (vol filter pass)
- GLD: ensemble +0.26 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.49 | +0.85 | +0.35 |
| GOOGL | +0.00 | +0.40 | +0.80 | +0.32 |
| META | +0.00 | +0.58 | +0.66 | +0.31 |
| AMZN | +0.00 | +0.53 | +0.57 | +0.28 |
| GLD | +0.00 | +0.51 | +0.54 | +0.26 |
| AAPL | +0.00 | +0.55 | +0.47 | +0.25 |
| COIN | +0.00 | +0.34 | +0.53 | +0.23 |
| MSTR | +0.00 | +0.34 | +0.49 | +0.22 |
| NVDA | +0.00 | +0.42 | +0.44 | +0.21 |
| PLTR | +0.00 | +0.41 | +0.44 | +0.21 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| ETH-USD | ⚪ +0.00 |
| GOOGL | ⚪ +0.00 |
| TSLA | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| SPY | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.01% | Equity/ETF |
| GOOGL | 7.39% | Equity/ETF |
| META | 7.31% | Equity/ETF |
| AMZN | 6.45% | Equity/ETF |
| GLD | 6.12% | Safe |
| AAPL | 5.88% | Equity/ETF |
| COIN | 5.31% | Equity/ETF |
| MSTR | 5.01% | Equity/ETF |
| NVDA | 4.98% | Equity/ETF |
| PLTR | 4.96% | Equity/ETF |
| MSFT | 4.86% | Equity/ETF |
| SPY | 4.04% | Equity/ETF |
| ARKK | 3.92% | Equity/ETF |
| TSLA | 3.71% | Equity/ETF |
| AVGO | 3.57% | Equity/ETF |
| SOL-USD | 2.76% | Crypto |
| BTC-USD | 2.66% | Crypto |
| TQQQ | 2.61% | Equity/ETF |
| QQQ | 2.20% | Equity/ETF |
| AMD | 2.18% | Equity/ETF |
| ETH-USD | 2.05% | Crypto |
| SHY | 2.05% | Safe |
| TLT | 1.66% | Safe |
| SOXL | 0.32% | 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 | $291.13 | $-23.71 | 3.58% |
| AMD | 0.5922 | $475.51 | $511.57 | $+21.36 | 3.36% |
| AMZN | 1.9782 | $264.27 | $238.55 | $-50.88 | 5.23% |
| ARKK | 5.2349 | $78.22 | $75.65 | $-13.45 | 4.39% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 2.95% |
| BTC-USD | 0.0036 | $78864.28 | $63538.45 | $-55.81 | 2.57% |
| COIN | 2.3857 | $191.61 | $159.78 | $-75.93 | 4.23% |
| ETH-USD | 0.1633 | $2243.97 | $1665.23 | $-94.52 | 3.02% |
| GLD | 1.4256 | $424.58 | $386.54 | $-54.23 | 6.11% |
| GOOGL | 1.5206 | $380.34 | $359.68 | $-31.42 | 6.07% |
| META | 0.9874 | $601.05 | $566.98 | $-33.64 | 6.21% |
| MSFT | 0.5963 | $405.19 | $390.74 | $-8.62 | 2.58% |
| MSTR | 4.1924 | $164.63 | $123.97 | $-170.47 | 5.76% |
| NFLX | 7.5220 | $87.19 | $80.34 | $-51.56 | 6.70% |
| NVDA | 1.7267 | $214.25 | $205.19 | $-15.64 | 3.93% |
| PLTR | 3.4947 | $129.03 | $127.99 | $-3.63 | 4.96% |
| QQQ | 0.4078 | $735.60 | $721.34 | $-5.81 | 3.26% |
| SHY | 4.2520 | $82.17 | $82.07 | $-0.40 | 3.87% |
| SOL-USD | 4.8523 | $81.14 | $66.80 | $-69.57 | 3.59% |
| SPY | 0.5060 | $740.61 | $741.75 | $+0.58 | 4.16% |
| TLT | 2.5997 | $84.75 | $85.77 | $+2.64 | 2.47% |
| TQQQ | 4.7422 | $73.05 | $77.52 | $+21.20 | 4.08% |
| TSLA | 0.7403 | $409.99 | $406.43 | $-2.64 | 3.34% |
Risk Metrics
- Portfolio Volatility (proxy): 24.63% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -10.91%
- Max Drawdown: -13.21%
- Trade Count: 49
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.