042 - Laurens Bensdorp II - Building Strategies with Purpose
From The Algorithmic Advantage by The Algorithmic Advantage
August 21, 2025 · 1h 28m · Season 1 · Episode 42
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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