About this episode

Laurens Bensdorp discusses building purpose-driven trading strategies and the paradox of diversification in systematic trading.

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

People in this episode

Host: The Algorithmic Advantage

Guest: Laurens Bensdorp

Topics covered

• systematic trading
• portfolio construction
• diversification
• risk management
• capital allocation

Keywords

• systematic trading
• portfolio construction
• diversification
• risk management
• trend following
• mean reversion
• volatility hedges

Mentioned in this episode

Organizations: Ephorie

Books & works: Trading Retirement Accounts

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