042 - Laurens Bensdorp II - Building Strategies with Purpose

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The Algorithmic Advantage

45 episodes

2 days ago

The Algorithmic Advantage is a podcast about quantitative trading and investing. We're here to expand the toolkit of the quant-trading community and introduce investors to the many advantages of systematic trading. Our goal is to educate and inspire as we embark on a captivating journey into the vast knowledge and experience of leading portfolio managers and other experts in the field! www.algoadvantage.io

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Investing

Business

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042 - Laurens Bensdorp II - Building Strategies with Purpose

The Algorithmic Advantage

1 hour 27 minutes 41 seconds

2 months ago

042 - Laurens Bensdorp II - Building Strategies with Purpose

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