The Algorithmic Advantage 042 - Laurens Bensdorp II - Building Strategies with Purpose
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Aug 21, 2025 Laurens Bensdorp, an architect of innovative portfolios and author of 'Trading Retirement Accounts', shares his expertise on systematic trading. He discusses the importance of combining strategies like trend following and mean reversion to create robust portfolios. Listeners will learn about Parrondo's paradox, which reveals how mixing losing investments can yield positive outcomes. Laurens emphasizes capital allocation, the dangers of over-optimization, and the necessity of maintaining diverse strategies for resilience amid market fluctuations.
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Multiply Simplicity For Robust Returns
- Diversify strategies to increase robust risk-adjusted returns rather than chasing one perfect system.
- Combine simple systems that cover each other's weaknesses to compound performance over time.
Favor Simple Rules Over Heavy Optimization
- Keep strategies simple with few parameters to improve robustness and avoid overfitting.
- Multiply those simple, fundamentally different strategies to build a stronger combined portfolio.
Use Long-Vol Hedges For Panic Protection
- Add hedges like long-volatility or VXX triggers to cover panic-driven market selloffs.
- Accept frequent small losses for those hedges because they protect during extreme crashes and restore portfolio compounding.
