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