SQAF 운용 아침 리포트

핵심 요약

오늘 SQAF는 고변동 중립/박스권 레짐으로 판단하고, 12-1개월 모멘텀 50%, 단기 평균회귀 20%, 변동성 레짐 30%의 앙상블 신호를 유지했습니다. 상위 신호는 NFLX, GOOGL, META, AMZN, GLD 중심의 과매도 반등 후보이며, 포트폴리오는 리밸런싱 임계값 3.0% 이내라 신규 가상거래는 실행하지 않았습니다. 현재 AUM은 $9,056.74, 총수익률은 -9.43%, 현금은 $322.08, 현재 드로우다운은 -10.52%입니다.

Dashboard Screenshot

![SQAF Dashboard](/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_343ac43b14b246ca80ec8debfbc1ba53.png)

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_343ac43b14b246ca80ec8debfbc1ba53.png

Full Trading Report

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-15 09:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,056.74  |  **Total Return:** -9.43%  |  **Cash:** $322.08

## Market Regime
- SPY 5-day return: +0.66%
- Crypto Fear & Greed: 20/100 (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 |
|--------|-----------|
| MSFT | ⚪ +0.00 |
| ARKK | ⚪ +0.00 |
| PLTR | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| SHY | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 8.04% | Equity/ETF |
| GOOGL | 7.69% | Equity/ETF |
| META | 7.61% | Equity/ETF |
| AMZN | 6.71% | Equity/ETF |
| GLD | 6.37% | Safe |
| AAPL | 6.12% | Equity/ETF |
| COIN | 5.52% | Equity/ETF |
| MSTR | 5.21% | Equity/ETF |
| NVDA | 5.18% | Equity/ETF |
| PLTR | 5.16% | Equity/ETF |
| MSFT | 5.05% | Equity/ETF |
| SPY | 4.20% | Equity/ETF |
| ARKK | 4.08% | Equity/ETF |
| TSLA | 3.86% | Equity/ETF |
| AVGO | 3.71% | Equity/ETF |
| TQQQ | 2.71% | Equity/ETF |
| QQQ | 2.29% | Equity/ETF |
| AMD | 2.26% | Equity/ETF |
| SHY | 2.13% | Safe |
| TLT | 1.72% | Safe |
| BTC-USD | 1.66% | Crypto |
| SOL-USD | 1.23% | Crypto |
| ETH-USD | 1.14% | Crypto |
| SOXL | 0.33% | 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 | 3.56% |
| AMD | 0.5922 | $475.51 | $511.57 | $+21.36 | 3.34% |
| AMZN | 1.9782 | $264.27 | $238.55 | $-50.88 | 5.21% |
| ARKK | 5.2349 | $78.22 | $75.65 | $-13.45 | 4.37% |
| AVGO | 0.6966 | $385.77 | $382.07 | $-2.58 | 2.94% |
| BTC-USD | 0.0036 | $78864.28 | $65703.56 | $-47.92 | 2.64% |
| COIN | 2.3857 | $191.61 | $159.78 | $-75.93 | 4.21% |
| ETH-USD | 0.1633 | $2243.97 | $1725.61 | $-84.66 | 3.11% |
| GLD | 1.4256 | $424.58 | $386.54 | $-54.23 | 6.08% |
| GOOGL | 1.5206 | $380.34 | $359.68 | $-31.42 | 6.04% |
| META | 0.9874 | $601.05 | $566.98 | $-33.64 | 6.18% |
| MSFT | 0.5963 | $405.19 | $390.74 | $-8.62 | 2.57% |
| MSTR | 4.1924 | $164.63 | $123.97 | $-170.47 | 5.74% |
| NFLX | 7.5220 | $87.19 | $80.34 | $-51.56 | 6.67% |
| NVDA | 1.7267 | $214.25 | $205.19 | $-15.64 | 3.91% |
| PLTR | 3.4947 | $129.03 | $127.99 | $-3.63 | 4.94% |
| QQQ | 0.4078 | $735.60 | $721.34 | $-5.81 | 3.25% |
| SHY | 4.2520 | $82.17 | $82.07 | $-0.40 | 3.85% |
| SOL-USD | 4.8523 | $81.14 | $71.34 | $-47.54 | 3.82% |
| SPY | 0.5060 | $740.61 | $741.75 | $+0.58 | 4.14% |
| TLT | 2.5997 | $84.75 | $85.77 | $+2.64 | 2.46% |
| TQQQ | 4.7422 | $73.05 | $77.52 | $+21.20 | 4.06% |
| TSLA | 0.7403 | $409.99 | $406.43 | $-2.64 | 3.32% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.41% annualized
- 95% VaR (daily): -2.50%
- Current Drawdown: -10.52%
- Max Drawdown: -13.21%
- Trade Count: 49

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

Dashboard Verification

대시보드 서버: http://localhost:8765/ 응답 확인 완료
스크린샷 캡처: /Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_343ac43b14b246ca80ec8debfbc1ba53.png
대시보드 주요 표시값: AUM $9,056.74, Total Return -9.43%, Cash $322.08, Max Drawdown -13.21%, Current Drawdown -10.52%, Trade Count 49
참고: Portfolio Allocation 패널은 카드 자체는 표시되나 캡처 시점에서 차트 영역이 비어 보였습니다.