SQAF 운용 아침 리포트
핵심 요약
오늘 SQAF는 Neutral/Ranging (High Vol) 국면으로 판단했고, 포트폴리오는 리밸런싱 임계값 3.0% 이내라서 신규 가상 거래 없이 유지했습니다. 신호 구조는 모멘텀 50%, 평균회귀 20%, 변동성 레짐 30%이며, 현재는 극단적 공포 상태의 크립토보다 변동성 필터를 통과한 대형 기술주/ETF 중심 배분을 유지하는 쪽이 안전합니다. AUM은 $9,252.11, 총수익률은 -7.48%, 현재 DD는 -8.59%입니다.
Dashboard Screenshot
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Son Quant Alpha Fund (SQAF) — Daily Briefing
Date: 2026-06-17 09:00 KST | Target Monthly Return: 20% Virtual AUM: $9,252.11 | Total Return: -7.48% | Cash: $938.36
Market Regime
- SPY 5-day return: +1.17%
- Crypto Fear & Greed: 22/100 (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 +0.36 → oversold bounce, calm regime (vol filter pass)
- GOOGL: ensemble +0.22 → calm regime (vol filter pass)
- MSTR: ensemble +0.20 → oversold bounce, calm regime (vol filter pass)
- AMZN: ensemble +0.20 → calm regime (vol filter pass)
- MSFT: ensemble +0.19 → oversold bounce, calm regime (vol filter pass)
Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|---|---|---|---|---|
| NFLX | +0.00 | +0.55 | +0.84 | +0.36 |
| GOOGL | +0.00 | +0.01 | +0.72 | +0.22 |
| MSTR | +0.00 | +0.31 | +0.46 | +0.20 |
| AMZN | +0.00 | +0.26 | +0.49 | +0.20 |
| MSFT | +0.00 | +0.41 | +0.36 | +0.19 |
| NVDA | +0.00 | +0.28 | +0.43 | +0.18 |
| COIN | +0.00 | +0.09 | +0.55 | +0.18 |
| TSLA | +0.00 | +0.21 | +0.46 | +0.18 |
| META | +0.00 | +0.03 | +0.57 | +0.18 |
| AAPL | +0.00 | +0.19 | +0.44 | +0.17 |
News Sentiment (Sample)
| Ticker | Sentiment |
|---|---|
| TQQQ | ⚪ +0.00 |
| AAPL | ⚪ +0.00 |
| SOL-USD | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| SOXL | ⚪ +0.00 |
| TLT | ⚪ +0.00 |
Target Allocation
| Ticker | Target Weight | Type |
|---|---|---|
| NFLX | 8.27% | Equity/ETF |
| GOOGL | 7.01% | Equity/ETF |
| MSTR | 6.43% | Equity/ETF |
| AMZN | 6.38% | Equity/ETF |
| MSFT | 6.06% | Equity/ETF |
| NVDA | 5.87% | Equity/ETF |
| COIN | 5.83% | Equity/ETF |
| TSLA | 5.72% | Equity/ETF |
| META | 5.65% | Equity/ETF |
| AAPL | 5.48% | Equity/ETF |
| GLD | 5.43% | Safe |
| PLTR | 5.12% | Equity/ETF |
| AVGO | 4.69% | Equity/ETF |
| AMD | 3.50% | Equity/ETF |
| SPY | 3.43% | Equity/ETF |
| ARKK | 2.84% | Equity/ETF |
| TLT | 2.64% | Safe |
| SHY | 2.49% | Safe |
| TQQQ | 2.26% | Equity/ETF |
| BTC-USD | 1.71% | Crypto |
| QQQ | 1.60% | Equity/ETF |
| SOXL | 1.42% | Equity/ETF |
| SOL-USD | 0.17% | Crypto |
| ETH-USD | 0.00% | Crypto |
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 | $299.24 | $-11.93 | 6.78% |
| AMD | 0.5922 | $475.51 | $507.29 | $+18.82 | 3.25% |
| AMZN | 1.9782 | $264.27 | $246.00 | $-36.14 | 5.26% |
| ARKK | 5.2349 | $78.22 | $79.08 | $+4.50 | 4.47% |
| AVGO | 0.6966 | $385.77 | $376.71 | $-6.31 | 2.84% |
| BTC-USD | 0.0036 | $78864.28 | $65643.18 | $-48.14 | 2.58% |
| COIN | 2.3857 | $191.61 | $169.27 | $-53.29 | 4.36% |
| ETH-USD | 0.0002 | $2243.97 | $1792.52 | $-0.07 | 0.00% |
| GLD | 1.4256 | $424.58 | $397.63 | $-38.42 | 6.13% |
| GOOGL | 1.5206 | $380.34 | $373.25 | $-10.78 | 6.13% |
| META | 0.9874 | $601.05 | $600.21 | $-0.83 | 6.41% |
| MSFT | 1.4213 | $402.04 | $393.83 | $-11.67 | 6.05% |
| MSTR | 4.1924 | $164.63 | $122.81 | $-175.33 | 5.56% |
| NFLX | 7.5220 | $87.19 | $78.72 | $-63.75 | 6.40% |
| NVDA | 1.7267 | $214.25 | $207.41 | $-11.81 | 3.87% |
| PLTR | 3.4947 | $129.03 | $133.25 | $+14.75 | 5.03% |
| QQQ | 0.0007 | $735.60 | $729.86 | $-0.00 | 0.01% |
| SHY | 4.2520 | $82.17 | $82.12 | $-0.17 | 3.77% |
| SOL-USD | 0.5827 | $81.14 | $73.53 | $-4.43 | 0.46% |
| SPY | 0.5060 | $740.61 | $750.33 | $+4.92 | 4.10% |
| TLT | 2.5997 | $84.75 | $86.19 | $+3.73 | 2.42% |
| TQQQ | 0.8278 | $73.05 | $79.93 | $+5.70 | 0.72% |
| TSLA | 0.7403 | $409.99 | $404.66 | $-3.95 | 3.24% |
Risk Metrics
- Portfolio Volatility (proxy): 24.64% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -8.59%
- Max Drawdown: -13.21%
- Trade Count: 55
Disclaimer: This is an experimental autonomous quant system for educational purposes only. Not investment advice.