U P D A T E D A U G U S T 2 0 1 4
E - M A I L : L A U R E N S . S W I N K E L S @ P L A N E T . N L
L A U R E N S S W I N K E L S
ACADEMIC
10/2005 – now Erasmus University Rotterdam Rotterdam Assistant Professor in Finance (0.2 FTE, tenured), Member ERIM
1/2010 – 1/2010 Boston College Boston, MA
Visiting scholar at the Center for Retirement Research
6/1999 – 5/2003 CentER Graduate School Tilburg Empirical Analysis of Investment Strategies for Institutional Investors
PhD-student in Finance, supervised by Prof.dr Th.E. Nijman and Prof.dr M.J.C.M. Verbeek, defended on 17 December 2003.
6/1997 – 12/1997 Tilburg University Tilburg Principal components in macro-economics
Research assistant for Prof.dr A.B.T.M. van Schaik.
9/1994 – 5/1999 Tilburg University Tilburg Master of Science in Econometrics (specialisation Quantitative Finance)
Thesis on mutual fund style analysis (supervisors Nijman and Ter Horst)
PROFESSIONAL EXPERIENCE
1/2013 – now Norges Bank Investment Management Oslo Senior Rersearcher
Designing investment policy for the Norwegian Pension Fund Global, also known as the “oil fund”
10/2010 – 12/2012 Robeco Investment Solutions Rotterdam Vice President
Developing pension and investment solutions for institutional clients 4/2004 – 9/2010 Robeco Quantitative Strategies Rotterdam Vice President
Quantitative stock selection and asset allocation models
Knowledge sharing on pension fund regulation with institutional clients Asset liability management models
Development of Robeco Institutional Liability Driven Funds Coordination of Super Quant Internships
6/2005 – 12/2012 Stichting Pensioenfonds Robeco Rotterdam Board member (member on behalf of the participants, re-elected 6/2009) Responsible for the execution of the pension agreement of Robeco Assets under management end 2011 : € 330 million
6/2003 – 3/2004 PensionFactory (member Swiss Re Group) Amsterdam Quantitative Analyst
Consultancy on new Dutch pension fund regulation Asset-liability-structuring
6/1999 – 5/2003 ABP Investments (now APG Asset Mgt) Amsterdam Researcher (0.4 FTE)
Quantitative stock selection models / Momentum strategies Forecasting using Kalman filter
Performance evaluation and style analysis of mutual/hedge funds Strategic asset allocation for pension funds
8/1998 – 3/1999 Robeco Rotterdam
Intern at the quantitative research department Mutual fund style analysis
PUBLICATIONS IN INTERNATIONAL ACADEMIC JOURNALS OR BOOKS
Strategic Asset Allocation: The global multi-asset market portfolio 1959-2012: Author response
Financial Analysts Journal, 2014, Vol 70, Issue 4, with Doeswijk and Lam.
Strategic Asset Allocation: The global multi-asset market portfolio 1959-2012
Financial Analysts Journal, 2014, Vol 70, Issue 2, with Doeswijk and Lam.
Can exchange traded funds be used to exploit country and industry momentum?
Financial Markets and Portfolio Management, 2013, Vol 27, Issue 2, with Andreu and Tjong-A-Tjoe..
The cross-section of stock returns in frontier emerging markets
Journal of Empirical Finance, 2012, Vol 19, Issue 5, pp. 796-818, with De Groot en Pang
Emerging markets inflation-linked bonds
Financial Analysts Journal, 2012, Vol 68, Issue 5, pp. 38-56.
On the Performance of European Index Funds and ETFs
European Financial Management, 2012, Vol 18, Issue 4, pp. 649-662, with Blitz and Huij
Myth busting: Defined Contribution
Pensions, 2012, Vol 17, Issue 4, pp. 260-269, with Poiesz.
Diversity of Dutch Pension Fund Boards
An Anatomy of Calendar Effects
Journal of Asset Management, 2012, Vol 13, Issue 4, 271-286, with Van Vliet
Performance Evaluation of Balanced Pension Plans
Quantitative Finance, 2012, Vol 12, Issue 5, 819-830, with Andreu
Have pension schemes changed after the introduction of IFRS?
Pensions, 2011, Vol 16, Issue 4, 244-255
The case for local fair value discount rates under IFRS
Pensions, 2011, Vol 16, Issue 2, 107-114
High-Conviction Equity Portfolios Optimization
Journal of Risk, 2011, Vol 13, Issue 2, 57-70, with Crezée
Strategic Asset Allocation under Uncertainty
Pension Fund Risk Management: Financial and Actuarial Modeling, 2010, with De Groot
The economic value of fundamental and technical information for emerging currency markets
Journal of International Money and Finance, 2009, Vol 28, Issue 4, 581-604, with De Zwart, Markwat, and Van Dijk.
Performance evaluation of Polish mutual fund managers
International Journal of Emerging Markets, 2009, Vol 4, Issue 1, 26-42, with Rzezniczak
Fundamental Indexation: An Active Value Strategy in Disguise
Journal of Asset Management, 2008, Vol 9, Issue 4, 264-269, with Blitz
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
Handbook of Commodity Investing, 2008, with Nijman
Incorporating uncertainty about alternative assets in strategic pension fund asset allocation
Pensions, 2008, Vol 13, Issue 1-2, 71-77, with De Groot
Can Mutual Funds Time Investment Styles?
Journal of Asset Management, 2007, Vol 8, Issue 2, 123-132, with Tjong-a-Tjoe
Return-based Style Analysis with Time-varying Exposures
European Journal of Finance, 2006, Vol 12, Issue 6-7, 529-552, with Van der Sluis.
The impact of new capital requirements on asset allocation for Dutch pension funds
Pensions, 2004, Vol 10, Issue 1, 75-81.
Do countries or industries explain momentum in Europe?
Journal of Empirical Finance, 2004, Vol 11, Issue 4, 461-481, with Nijman and Verbeek.
Momentum Investing: A survey
Journal of Asset Management, 2004, Vol 5, Issue 2, 120-143.
Alternative investments and the solvency requirements for db pension schemes
Society of Actuaries Monograph “The Great Controversy”, 2004 Empirical analysis of investment strategies for institutional investors
CentER PhD-thesis 126, 2003, ISBN 90 5668 127 3
International Industry Momentum
Journal of Asset Management, 2002, Vol 3, Issue 2, 124-141.
PUBLICATIONS IN NATIONAL ACADEMIC JOURNALS
De gevolgen van mogelijke veranderingen in de rekenrente
Tijdschrift voor Pensioenvraagstukken, 2011, Issue 2, 19-29, with Hoek.
Can theoretical risk premia be captured by investing in passive funds?
VBA Journaal, 2010, Vol 26, Issue 4, 12-15, with Blitz, Huij, Houweling, and Rejeb.
Hoe waarderen we ons pensioen?
Maandblad voor Accountancy en Bedrijfseconomie, 2010, 5, 245-253, with Van Ommeren.
De echte gevolgen van de ontwikkelingen in de regelgeving voor pensioenfondsen
VBA Journaal, 2009, Vol 25, Issue 4, 16-20.
Het onzekere voor het zekere nemen
VBA Journaal, 2008, Vol 24, Issue 1, 42-49, with De Groot
Het effect van overnames op de aandelenrendementen van biedende ondernemingen
Maandblad voor Accountancy en Bedrijfseconomie, 2007, 6, 277-283, with Van den Berg
Zijn pensioenregelingen gewijzigd als gevolg van de introductie van IFRS?
Maandblad voor Accountancy en Bedrijfseconomie, 2006, 11, 562-570.
IFRS dwingt ondernemingspensioenfonds tot beter afgestemd beleggingsbeleid
VBA Journaal, 2004, Vol 20, Issue 1, 13-20, with Oosenbrug
Gevolgen van ontwikkelingen in de regelgeving voor de beleggingsmix van pensioenfondsen
VBA Journaal, 2003, Vol 19, Issue 3, 9-19, with Nijman
NON-ACADEMIC PUBLICATIONS
Defined contribution en asset allocatie [in Dutch]
Financial Investigator, September 2010, with Poiesz, Van Vliet, and Zeldenrust.
Beleg verantwoord, beleg actief! [in Dutch]
Financial Investigator, June 2010
De mythe ontkracht: Passief beleggen [in Dutch]
Financial Investigator, May 2010, with Blitz and Huij
Dynamische Strategische Asset Allocatie [in Dutch]
Financial Investigator, Dec 2009, with Van Rooij
IFRS zou de rekenrente van het FTK moeten overnemen [in Dutch]
Nederlands Pensioen- en Beleggingsnieuws, Nov 2009
Positive about alternatives
Investments and Pensions Europe, Nov 2009.
Wint de ratio het van de emotie in crisistijden [in Dutch]
Minder risico en toch hetzelfde verwacht rendement [in Dutch]
Nederlands Pensioen- en Beleggingsnieuws, Sept 2008.
Inflatiederivaten voor pensioenfondsen [in Dutch]
De Actuaris, 2008, with Kerkhof.
Hedging interest rate risk with swaps and swaptions
FSA Fiducie, FST Faces, FSR Forum, 2007/8, with Xu.
Het belang van strategische asset allocatie [in Dutch]
Nederlands Pensioen- en Beleggingsnieuws, 2007, with Blitz.
Zijn beleggingsfondsen succesvolle stijltimers? [in Dutch]
FSR Forum, 2006, with Tjong-a-Tjoe.
Risk budgeting under shortfall constraints
Investments and Pensions Europe, Aug 2006, with Van Vliet.
De opmars van beleggen in sectoren gestuit? [in Dutch]
Technische en Kwantitatieve Analyse, April 2006, 39-41.
Dutch insights in the Swedish traffic light system
Nordic Region Pension News, Autumn 2005, 42-43, with Sagel.
Liability driven investing... of investing driven liabilities? [in Dutch]
Nederlands Pensioen Nieuws, Autumn 2005, 60-62.
De (on)mogelijkheden van rentederivaten in de praktijk [in Dutch]
De Actuaris, september 2005, 10-12.
Duration extension – To do or not to do?
Investments & Pensions Europe – Netherlands, 2005, Spring, 31.
A new benchmark for pension funds
Investments & Pensions Europe – Netherlands, 2004, Summer, 32-33.
Dynamic style-analysis for mutual funds
Medium Econometrische Toepassingen, 2004, Vol 12, Issue 2, 20-24.
De gevolgen van de veranderingen in de regelgeving voor Nederlandse pensioenfondsen
FST Finacial Integration 2004 / WBS Toekomst Verzekerd 2003.
Report on Lecture Series “Computational Economics” by Prof.dr. K. Judd
NAKE Nieuws, 2001.
WORKING PAPERS
Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market
with Huij and Livingston
Why don’t Latvian pension funds diversify more internationally?
SSE Riga Working paper 2005-01, with Vejina and Vilans
Returns to Market Timing: A Decomposition of Mutual Fund Returns
ACADEMIC PRESENTATIONS
Singapore Management University (Singapore, 2013), Erasmus University (Rotterdam, 2013, 2010, 2009, 2005), South West University of Finance and Economics (Chengdu, China, 2011), Eastern Finance Association (Savannah, Georgia, 2011), Emerging Markets Group at Cass Business School (London, 2011), Swiss Society of Financial Markets Research (Zurich, 2011), University of Maastricht (2011), Center for Retirement Research (Boston, 2010), Groningen University (2010, 2007, 2002), University of Zaragoza (Spain, 2009), Financial Management Association (Dallas, 2008), European Finance Association (Athens, Greece, 2008), Erasmus Netspar (2007), Radboud Universiteit Nijmegen (2007), ICAF (Thessaloniki, Greece, 2006), Young Financial Researchers Day (Leuven, Belgium, 2004), Society of Actuaries (Vancouver, Canada, 2003), Mid-West Finance Association (StLouis, Missouri, 2003), Spring Meeting of Young Economists (Leuven, Belgium, 2003), Stockholm Institute for Financial Research (2003), Tilburg University (2003, 2002), European Finance Association (Berlin, Germany, 2002), APFA Conference (Tokyo, Japan, 2002), ERIM Conference (Rotterdam, The Netherlands, 2002), ABP Investments (2002, 2001, 2000), University of Latvia (2002), European Finance Association Tutorial (Barcelona, Spain, 2001), SIRIF Conference (Edinburgh, UK, 2001), Society for Computational Economics (Yale, New Haven, 2001).
TEACHING
Finance I (2013, 2012, 2011, 2010, 2009, 2008, 2007), Pensions (Executive teaching; Nyenrode, 2009-11, 2009-04), Finance and Investments (Erasmus, 2007, 2006), International Lecture Week: Pensions in Europe (2008, 2007), Master in Financial Management (RSM, 2007, 2006), Quantitative Finance (Tilburg University, Guest lecture, 2011, 2010, 2009, 2008, 2007, 2001, 2000, 1999), Guest lecture Investment Analysis (Tilburg University, 2011), Guest lecture Werkcollege Asset Pricing (Erasmus, 2006), Performance Measurement and Style Analysis (Executive teaching; NIBE 2004, IBO 2002); Asset Liability Management (Executive teaching; VBA, 2002); Orientation Econometrics (Tilburg University, Tutorials, 2003, 2002, 2001); Introduction Econometrics (Tilburg University, Tutorials, 2000).
REVIEWER
Review of Finance, Journal of Empirical Finance, Journal of Banking and Finance, Journal of International Money and Finance, Financial Analysts Journal, Quantitative Finance, European Journal of Finance, Financial Review, Journal of Economic Behavior and Organisation, Journal of Pension Economics and Finance, Emerging Markets Finance and Trade, Journal of Behavioral Finance, Journal of Business Economics and Management, Review of Financial Economics, Empirical Economics, Quarterly Journal of Finance and Accounting, Quarterly Review of Economics and Finance, International Journal of Financial Services Management, International Review of Economics and Finance, Multinational Finance Journal, Applied Stochastic Models in Business and
Industry, Studies in Economics and Finance, South Asian Journal of Global Business Research, Accounting in Europe, Asian Economic Journal, Bankers Markets & Investors, New Economic School (Moscow, Thesis reviewer), US National Science Foundation Grant Reviewer, Hong Kong Research Council Grant Reviewer, Swiss Society for Financial Markets Research Conference Reviewer, KU Leuven Research Grant Reviewer
OTHER SERVICES
Member of the Research Committee of Inquire Europe (2011-now)
Associate Editor of the South Asian Journal of Global Business Research (2011-now)
Member of the Investment Committee of Toeslagfonds CBR (1/2012-3/2013)
Member of the Editorial Board of Netspar (3/2012-12/2012)
Member of the PhD Committee of Fan Wu (University Saint-Louis in Brussels, Belgium, June 2014)
Member of the PhD Committee of Lord Menza (University of Antwerp, Belgium, October 2011)
Member of the PhD Committee of Laura Andreu Sánchez (University of Zaragoza, Spain, June 2009)
Member of the Advisory Board of the European Pension Academy (2008-2011)
Member of the Advisory Board of the Tilburg Center of Finance (2007-2012)
ADDITIONAL COURSES TAKEN
IMD Orchestrating Winning Performance (2009), Robeco Talent Specialst Programme (2008/2009), Finance Integrity (“Integriteitsmodule DSI Effectenspecialist”, 2006), Communication skills (“Inzicht in invloed”, 2006), Communication skills (“Interactie vaardigheden”, 2005), Pensions (“Opf pensioencursus”, 2005), Presentation skills (“Presenteren met impact”, 2004), Writing skills (“Vlot, pakkend, en correct schrijven”, 2004)
APPEARANCES / MENTIONS IN THE PRESS
Investments & Pensions Europe, January 2013 Het Financieele Dagblad, November 2012
Nederlands Pensioen- & Beleggingsnieuws, July 2012 Investments & Pensions Europe, April 2012
Investments & Pensions Europe, January 2012 NRC Handelsblad, September 2011
EconomieOpinie.nl, August 2011 Slate.fr, August 2011
Investments & Pensions Nederland, June 2011 Investments & Pensions Nederland, April 2011 NRC Handelsblad, 18 January 2011
Investments & Pensions Europe, December 2010
Nederlands Pensioen- & Beleggingsnieuws, October 2010 Nederlands Pensioen- & Beleggingsnieuws, September 2010 De Standaard (Belgium), 12 June 2010
Het Financieele Dagblad, 1 June 2010 De Telegraaf, 17 May 2010
Pension & Investments, 5 April 2010
Het Financieele Dagblad (FondsNieuws), 8 March 2010 Investments & Pensions Europe, January 2010
Life and Pensions, December 2009
Investments & Pensions Europe, December 2009 EconomieOpinie.nl, 16 September 2009
Nederlands Pensioen- & Beleggingsnieuws, November 2008 Bfinance News, 20 March 2006
European Pensions and Investment News, 17 January 2006 European Pensions and Investments, 28 March 2005 Nederlands Pensioen- & Beleggingsnieuws, 1 March 2005 Nederlands Pensioen- & Beleggingsnieuws, 10 December 2004 NRC Handelsblad, 24 January 2004