042 - Laurens Bensdorp II - Building Strategies with Purpose

Uploading again as first attempt had audio issues toward the end sorry.

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-par...
"The Paradox of Diversification" paper:
https://papers.ssrn.com/sol3/papers.c...

More on our site: https://www.thealgorithmicadvantage.com

CONTENTS:
0:00 Randomness in Systematic Trading
4:28 Ugly Curves, Diversification & Paradox
8:52 Purpose of the Book—Portfolio Design
11:21 Simplicity Scales, Avoid Overfitting
16:10 Long-Vol Hedges (VIX/VXX) for Crashes
22:09 Trend vs Mean Reversion—Risk Trade-offs
25:00 Build Process—Cut Corporate Risk
32:02 Non-Correlation Matrix & Portfolio Gaps
38:00 Switch Systems? Equity Curve Timing
47:32 Intraday Mean Reversion—How’s It Going?
55:16 Capturing V-Shaped Recoveries
56:04 Bear-Market Hedges—Where to Start?
1:03:19 Short Exposure—Why Index Futures?
1:07:03 Objectives & Personality Drive Design
1:10:03 Make It Your Own—Test to Break

#Quant #SystematicTrading #AlgorithmicTrading #PortfolioConstruction #Diversification #RiskManagement #TrendFollowing #MeanReversion #Volatility #Hedging #Backtesting #Robustness