I just downloaded the stats of current contest. To my surprise, the winner Bright Green Jaguar has no exposure to any of the sectors. What's he investing as universe and how does he meet the contest requirement?
Well I am curious too. Can one of the quantopians explain? He does appear to have something happening with real estate...
Having no exposure to a sector doesn't imply an algo isn't trading stocks within that sector. It just implies it isn't well correlated. Think of 'sector exposure' as a 'sector beta'. One can create a market neutral algo which has a very small beta but still trades stocks within the market. Similarly, one can create an algo with little sector exposure but still trades stocks in a sector.
One way to do this would be to enforce an equal long-short ratio on the sector level. Take a look at the optimizer constraint `NetGroupExposure'. Passing it the sector values as the grouping and setting the min and max sufficiently small will try to enforce this. Check out the docs https://www.quantopian.com/help#module-quantopian_optimize_constraints .
As a side note, we at Quantopian can't see any more info about an algo than the community. So anything we could say about a specific algo would be just conjecture. Perhaps @Bright Green Jaguar would like to comment? The sector exposure (or lack thereof) is impressive.
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AFAIK the only way to have exactly 0 end-of-day (EOD) exposure to a sector is to not have any positions in stocks in that sector at the end of the trading day (I assume exposures is as of the close of each trading day). In other words, this strategy might open positions in the morning, and close them in the afternoon before the close. Intra-day trading essentially. So while there's no EOD sector exposure, there would most likely be at least some intra-day sector exposure.
I could be wrong of course. Either way, I'm still very much impressed with @Bright Green Jaguar and other strategies that have 0 sector exposure EOD.
Good point. 'Leverage' does need to be above 80% at the end of the day, so invested with at least 80% of the capital. Maybe they go all in (both long and short) on a single sector (as Karl hinted at) before the close? I have no idea .
I check Bright Green Jaguar's sector exposure from the intraday report and still only see exposure in real estate, none in others. Is the report real time or made at EOD? If I understand, there is only constraints on low exposure for (any) sectors. but does not need to be diversified??? So if he/she keeps the beta in that sector low enough, he is still in the game? How about achieving 80% leverage as some of you suggest?
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.