My Internship at PGGM: Testimonial by Wim Goossens
|Date:||26 February 2019|
|"After I completed the courses of the master econometrics, operations research & actuarial studies, the last hurdle before graduation was writing a thesis. Because I followed some extracurricular courses and I worked two days per week, I did not start my thesis in the second semester of my master, but instead decided to start in September, so that my master would take one and a half year in total. This way, I could combine writing my thesis with an internship or a position as a working student.
Initially, I was hesistant to writing my thesis at a company, because I heard numerous horror stories of students doing thesis internships. Most stories revolved about the company wanting immediate practical applicability, the university wanting academical thoroughness and the student (un)balancing in between. So, when I was approached by Auke Plantinga on behalf of the CIBIF about an internship at PGGM, I still had some doubts. After a conversation with Auke Plantinga and Lammertjan Dam, and some extra talks with Cody Wegen, who did a internship through CIBIF at PGGM the semester before, my doubts were taken away and I was convinced that this would be a great opportunity for writing my thesis.
Together with Lammertjan, who was appointed to be my thesis supervisor, and Erik Hulsegge on behalf of PGGM, we discussed some potential topics that were of interest for PGGM, and that would meet the requirements of a thesis for the operations research track. We concluded that I could research the impact of environmental, social and governmental constraints on tracking portfolios. The goal of my thesis, titled "ESG constrained index tracking with a genetic algorithm", was to minimise tracking errors of the tracking portfolio, whilst at the same time having returns not lower than the benchmark. As this is a complex, multi-objective optimisation problem, analytic solutions do not exist. Instead, I wrote a genetic algorithm that mimics the process of natural selection to find a good solution. My conclusion was that excluding 'bad' stocks from the investment hurts portfolio performance, albeit not much.
During my time at PGGM, I learned a lot about what kind of problems investors run into in practice. This was a welcome addition to the mostly theoretical problems I faced during my bachelor and master. Looking back at a successful and exciting period, I can say that my initial thoughts about a thesis internship were completely wrong!" Wim Goossens