My internship at PGGM: A testimonial by Rutger van der Werf
|Date:||12 January 2021|
|Author:||dr. Lammertjan Dam|
In the second semester of the academic year 2019-2020, it was time for me to write the thesis for my master econometrics, operations research and actuarial studies. I remembered Lammertjan Dam talking about an internship opportunity during a third year bachelor course that sounded interesting to me, so I decided to contact him for further information. It turned out that there was indeed a opportunity to write a master thesis at PGGM in Zeist. After some contact with Auke Plantinga, I visited PGGM and had an interesting conversation about potential research topics.
Roughly during this moment in time however, the corona crisis suddenly hit. The initial idea was that I would be at the office for at least one day per week, which of course was not possible anymore. Luckily, PGGM and my supervisor at PGGM Erik Hulsegge were very flexible and my internship was quickly arranged to be completely online. I really appreciate the efforts of them to quickly anticipate on the situation and to continue the internship plans. Instead of being 1 day per week at the office, I now had interesting team calls with Erik Hulsegge and Fouad el Kanfoudi at PGGM on a regular basis.
My research topic was on the dependencies of equity factor portfolios on macroeconomic conditions, in particular the construction of factor portfolios with the lowest possible dependencies on particular macroeconomic conditions. I used both Fama-French equity factors and factor mimicking portfolios, both within industries and across industries, for the analysis. Interested readers can have a look at my thesis entitled: “Dependencies on equity factor portfolios on macroeconomic conditions: An analysis for the U.S. stock market.”
During my internship, I learned a lot about both the theoretical and practical side of equity factor investing. Despite the corona situation, I really enjoyed my time at PGGM.