SQAF 운용 아침 리포트

핵심 요약

오늘 SQAF는 Neutral/Ranging (High Vol) 국면으로 판단했고, 포트폴리오가 리밸런싱 임계치 안에 있어 추가 가상 거래는 실행하지 않았습니다.
전략은 12-1개월 초과수익 모멘텀 50%, 단기 과매도/과매수 평균회귀 20%, 단기/장기 변동성 필터 30%를 결합해 고변동성 구간에서 노출을 조절합니다.
현재 AUM은 $9,135.13, 총수익률은 -8.65%, 현재 낙폭은 -9.74%, 95% 일간 VaR은 -2.34%입니다.

대시보드 스크린샷

MEDIA:/Users/jooho-hermes/.hermes/cache/screenshots/browser_screenshot_c58b4342d162480b9ee02c9c06f80033.png

전체 운용 보고서 원문

# Son Quant Alpha Fund (SQAF) — Daily Briefing
**Date:** 2026-06-19 09:00 KST  |  **Target Monthly Return:** 20%
**Virtual AUM:** $9,135.13  |  **Total Return:** -8.65%  |  **Cash:** $658.67

## Market Regime
- SPY 5-day return: +0.70%
- Crypto Fear & Greed: 14/100 (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 +0.23 → calm regime (vol filter pass)
- **MSTR**: ensemble +0.22 → oversold bounce, calm regime (vol filter pass)
- **GLD**: ensemble +0.21 → oversold bounce, calm regime (vol filter pass)
- **META**: ensemble +0.21 → oversold bounce, calm regime (vol filter pass)

## Top Signals (Ensemble)
| Ticker | Momentum | MeanRev | VolRegime | Ensemble |
|--------|----------|---------|-----------|----------|
| NFLX | +0.00 | +0.53 | +0.81 | +0.35 |
| GOOGL | +0.00 | +0.10 | +0.70 | +0.23 |
| MSTR | +0.00 | +0.42 | +0.47 | +0.22 |
| GLD | +0.00 | +0.37 | +0.46 | +0.21 |
| META | +0.00 | +0.32 | +0.49 | +0.21 |
| MSFT | +0.00 | +0.51 | +0.33 | +0.20 |
| TSLA | +0.00 | +0.26 | +0.48 | +0.19 |
| COIN | +0.00 | +0.18 | +0.52 | +0.19 |
| AMZN | +0.00 | +0.24 | +0.45 | +0.18 |
| AAPL | +0.00 | +0.22 | +0.44 | +0.18 |

## News Sentiment (Sample)
| Ticker | Sentiment |
|--------|-----------|
| TSLA | ⚪ +0.00 |
| ETH-USD | ⚪ +0.00 |
| MSFT | ⚪ +0.00 |
| MSTR | ⚪ +0.00 |
| AVGO | ⚪ +0.00 |
| AMD | ⚪ +0.00 |

## Target Allocation
| Ticker | Target Weight | Type |
|--------|---------------|------|
| NFLX | 8.24% | Equity/ETF |
| GOOGL | 7.41% | Equity/ETF |
| MSTR | 7.23% | Equity/ETF |
| GLD | 6.89% | Safe |
| META | 6.83% | Equity/ETF |
| MSFT | 6.46% | Equity/ETF |
| TSLA | 6.30% | Equity/ETF |
| COIN | 6.20% | Equity/ETF |
| AMZN | 5.91% | Equity/ETF |
| AAPL | 5.76% | Equity/ETF |
| PLTR | 5.63% | Equity/ETF |
| SPY | 4.37% | Equity/ETF |
| NVDA | 4.27% | Equity/ETF |
| SHY | 4.08% | Safe |
| BTC-USD | 2.66% | Crypto |
| TLT | 2.45% | Safe |
| ARKK | 2.22% | Equity/ETF |
| AMD | 2.20% | Equity/ETF |
| AVGO | 1.86% | Equity/ETF |
| TQQQ | 1.15% | Equity/ETF |
| SOL-USD | 0.83% | Crypto |
| ETH-USD | 0.81% | Crypto |
| QQQ | 0.24% | 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 | $298.01 | $-14.51 | 6.84% |
| AMD | 0.5922 | $475.51 | $537.37 | $+36.63 | 3.48% |
| AMZN | 1.9782 | $264.27 | $244.39 | $-39.33 | 5.29% |
| ARKK | 5.2349 | $78.22 | $80.19 | $+10.31 | 4.60% |
| AVGO | 0.6966 | $385.77 | $411.35 | $+17.82 | 3.14% |
| BTC-USD | 0.0036 | $78864.28 | $62866.00 | $-58.26 | 2.51% |
| COIN | 2.3857 | $191.61 | $163.26 | $-67.62 | 4.26% |
| ETH-USD | 0.0002 | $2243.97 | $1708.76 | $-0.09 | 0.00% |
| GLD | 1.4256 | $424.58 | $387.12 | $-53.40 | 6.04% |
| GOOGL | 1.5206 | $380.34 | $368.03 | $-18.72 | 6.13% |
| META | 0.9874 | $601.05 | $577.22 | $-23.53 | 6.24% |
| MSFT | 1.4213 | $402.04 | $379.40 | $-32.18 | 5.90% |
| MSTR | 4.1924 | $164.63 | $112.53 | $-218.43 | 5.16% |
| NFLX | 7.5220 | $87.19 | $77.38 | $-73.83 | 6.37% |
| NVDA | 1.7267 | $214.25 | $210.69 | $-6.15 | 3.98% |
| PLTR | 3.4947 | $129.03 | $128.47 | $-1.95 | 4.91% |
| QQQ | 0.0007 | $735.60 | $740.62 | $+0.00 | 0.01% |
| SHY | 4.2520 | $82.17 | $81.99 | $-0.74 | 3.82% |
| SOL-USD | 0.5827 | $81.14 | $69.60 | $-6.72 | 0.44% |
| SPY | 0.5060 | $740.61 | $746.74 | $+3.10 | 4.14% |
| TLT | 2.5997 | $84.75 | $86.75 | $+5.19 | 2.47% |
| TQQQ | 0.8278 | $73.05 | $82.87 | $+8.13 | 0.75% |
| TSLA | 1.4379 | $405.38 | $400.49 | $-7.03 | 6.30% |

## Risk Metrics
- Portfolio Volatility (proxy): 24.64% annualized
- 95% VaR (daily): -2.34%
- Current Drawdown: -9.74%
- Max Drawdown: -13.21%
- Trade Count: 56

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