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042 - Laurens Bensdorp II - Building Strategies with Purpose
Season 1 Episode 42
Round II of a systematic trading masterclass with Laurens Bensdorp: architect non-correlated, purpose-built portfolios—mix trend following, mean reversion, and long-volatility hedges to drive smoother, higher risk-adjusted returns.
We unpack the “paradox of diversification” (Parrondo’s paradox) to turn “ugly” equity curves into compounding machines, and when (not) to switch systems off to avoid recency bias and overfitting.
Plus: robust portfolio construction, capital allocation, and highlights from Laurens’ latest book, Trading Retirement Accounts.
Combining losing investments into a winner:
https://blog.ephorie.de/parrondos-paradox-in-finance-combine-two-losing-investments-into-a-winner
"The Paradox of Diversification" paper:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1567126
More on our site: https://www.thealgorithmicadvantage.com
#Quant #SystematicTrading #AlgorithmicTrading #PortfolioConstruction #Diversification #RiskManagement #TrendFollowing #MeanReversion #Volatility #Hedging #Backtesting #Robustness
Published on 1 month, 1 week ago