SQAF 운용 아침 리포트
Sonia 요약
오늘 SQAF는 Bullish (High Vol) 체제로 판단했지만, 포트폴리오가 리밸런싱 임계값 3.0% 안에 있어 추가 가상매매는 실행하지 않았습니다. 신호 구조는 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%를 사용하며, 고변동 환경에서는 노출을 과도하게 늘리지 않는 방향입니다. 현재 AUM은 $9,360.07, 총수익률은 -6.40%, 현재 낙폭은 -7.52%입니다.
Dashboard Screenshot
첨부 대시보드 스크린샷: MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_38344984a57d4624967d992a969cb480.png
Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-16 09:00 KST | Target Monthly Return: 20% Virtual AUM: $9,360.07 | Total Return: -6.40% | Cash: $642.77
Market Regime
- SPY 5-day return: +2.30%
- Crypto Fear & Greed: 23/100 (Extreme Fear)
Trading Strategy Rationale
Market Regime: Bullish (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 +0.31 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.25 → calm regime (vol filter pass)
- AMZN: ensemble +0.21 → calm regime (vol filter pass)
- META: ensemble +0.20 → calm regime (vol filter pass)
- AAPL: ensemble +0.20 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.32 | +0.81 | +0.31 |
| GOOGL | +0.00 | +0.14 | +0.74 | +0.25 |
| AMZN | +0.00 | +0.29 | +0.50 | +0.21 |
| META | +0.00 | +0.15 | +0.58 | +0.20 |
| AAPL | +0.00 | +0.31 | +0.45 | +0.20 |
| GLD | +0.00 | +0.22 | +0.48 | +0.19 |
| COIN | +0.00 | +0.10 | +0.55 | +0.18 |
| MSFT | +0.00 | +0.34 | +0.37 | +0.18 |
| MSTR | +0.00 | +0.19 | +0.45 | +0.17 |
| PLTR | +0.00 | +0.16 | +0.40 | +0.15 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| META | ⚪ +0.00 |
| SHY | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| AMD | ⚪ +0.00 |
| QQQ | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| GOOGL | 8.22% | Equity/ETF |
| NFLX | 8.22% | Equity/ETF |
| AMZN | 7.14% | Equity/ETF |
| META | 7.07% | Equity/ETF |
| AAPL | 6.76% | Equity/ETF |
| GLD | 6.48% | Safe |
| COIN | 6.32% | Equity/ETF |
| MSFT | 6.18% | Equity/ETF |
| MSTR | 6.02% | Equity/ETF |
| PLTR | 5.24% | Equity/ETF |
| TSLA | 5.22% | Equity/ETF |
| NVDA | 5.08% | Equity/ETF |
| TLT | 4.61% | Safe |
| AVGO | 4.23% | Equity/ETF |
| SHY | 2.96% | Safe |
| SPY | 2.84% | Equity/ETF |
| ARKK | 2.55% | Equity/ETF |
| BTC-USD | 1.90% | Crypto |
| AMD | 1.66% | Equity/ETF |
| TQQQ | 0.76% | Equity/ETF |
| ETH-USD | 0.32% | Crypto |
| SOL-USD | 0.22% | Crypto |
| QQQ | 0.01% | Equity/ETF |
| SOXL | 0.00% | Equity/ETF |
Virtual Trades Executed
No trades executed. Portfolio within rebalance threshold.
Current Portfolio
| Ticker | Shares | Avg Cost | Current Price | P&L | Weight |
|---|---|---|---|---|---|
| AAPL | 2.0969 | $304.93 | $296.42 | $-17.84 | 6.64% |
| AMD | 0.5922 | $475.51 | $547.26 | $+42.49 | 3.46% |
| AMZN | 1.9782 | $264.27 | $246.02 | $-36.10 | 5.20% |
| ARKK | 5.2349 | $78.22 | $79.63 | $+7.38 | 4.45% |
| AVGO | 0.6966 | $385.77 | $393.94 | $+5.69 | 2.93% |
| BTC-USD | 0.0036 | $78864.28 | $66253.95 | $-45.92 | 2.58% |
| COIN | 2.3857 | $191.61 | $169.62 | $-52.45 | 4.32% |
| ETH-USD | 0.1633 | $2243.97 | $1793.90 | $-73.51 | 3.13% |
| GLD | 1.4256 | $424.58 | $396.55 | $-39.96 | 6.04% |
| GOOGL | 1.5206 | $380.34 | $369.35 | $-16.71 | 6.00% |
| META | 0.9874 | $601.05 | $593.48 | $-7.48 | 6.26% |
| MSFT | 1.4213 | $402.04 | $399.76 | $-3.24 | 6.07% |
| MSTR | 4.1924 | $164.63 | $131.14 | $-140.41 | 5.87% |
| NFLX | 7.5220 | $87.19 | $81.67 | $-41.56 | 6.56% |
| NVDA | 1.7267 | $214.25 | $212.45 | $-3.11 | 3.92% |
| PLTR | 3.4947 | $129.03 | $134.71 | $+19.85 | 5.03% |
| QQQ | 0.0007 | $735.60 | $744.00 | $+0.01 | 0.01% |
| SHY | 4.2520 | $82.17 | $82.11 | $-0.23 | 3.73% |
| SOL-USD | 0.5827 | $81.14 | $73.91 | $-4.21 | 0.46% |
| SPY | 0.5060 | $740.61 | $754.83 | $+7.20 | 4.08% |
| TLT | 2.5997 | $84.75 | $85.72 | $+2.51 | 2.38% |
| TQQQ | 0.8278 | $73.05 | $84.59 | $+9.55 | 0.75% |
| TSLA | 0.7403 | $409.99 | $411.15 | $+0.86 | 3.25% |
Risk Metrics
- Portfolio Volatility (proxy): 24.68% annualized
- 95% VaR (daily): -2.49%
- Current Drawdown: -7.52%
- Max Drawdown: -13.21%
- Trade Count: 54
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.