Laurens Swinkels

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Robeco Quantitative Investments

Quantitative Researcher

Rotterdam, 3000

Netherlands

  • Erasmus University Rotterdam (EUR)

  • Robeco Quantitative Investments

    • Email
    • Tel: +31 10 224 2470
    • Fax: +31 10 224 2110
SCHOLARLY PAPERS

42

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46,633

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33

CROSSREF CITATIONS

65

Scholarly Papers (42)

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1.

Global Factor Premiums

Number of pages: 63 Posted: 06 Feb 2019
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 8,340 (655)
Citation 5

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Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality

2.

The Global Multi-Asset Market Portfolio 1959-2012

Financial Analysts Journal, Forthcoming
Number of pages: 32 Posted: 12 Nov 2013 Last Revised: 03 Dec 2014
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 6,862 (910)

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strategic asset allocation, optimal portfolio, global multi-asset market portfolio

3.

Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011

Number of pages: 22 Posted: 03 Nov 2012
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 6,347 (1,042)
Citation 3

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strategic asset allocation, optimal portfolio, global multi-asset market portfolio

4.

Historical Returns of the Market Portfolio

Review of Asset Pricing Studies, Forthcoming
Number of pages: 75 Posted: 02 Jun 2017 Last Revised: 23 Oct 2019
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 3,827 (2,543)
Citation 2

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Strategic Asset Allocation, Market Portfolio, Historical Returns, Investment Risk,

5.

An Anatomy of Calendar Effects

Journal of Asset Management 13(4), 2012, pp. 271-286
Number of pages: 24 Posted: 24 Apr 2010 Last Revised: 07 Oct 2012
Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,126 (3,561)

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Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect

6.

The Performance of European Index Funds and Exchange-Traded Funds

Downloads 1,960 ( 7,866)
Citation 9

The Performance of European Index Funds and Exchange-Traded Funds

ERIM Report Series Reference
Number of pages: 31 Posted: 26 Jul 2009 Last Revised: 18 May 2010
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,960 (7,701)
Citation 1

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passive investing, index fund, ETF, dividend taxes, performance evaluation

The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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passive investing, index fund, ETF, dividend taxes, performance evaluation

7.

Return-Based Style Analysis with Time-Varying Exposures

Downloads 1,537 ( 11,682)
Citation 10

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Downloads 1,537 (11,462)
Citation 10

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Dynamic models, Kalman filter, Mutual funds, Style analysis

Return-Based Style Analysis with Time-Varying Exposures

European Journal of Finance, Vol. 12, Issues 6-7, pp. 529-552, 2006
Posted: 02 Nov 2008
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund

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Dynamic models, Kalman filter, Mutual funds, Style analysis

8.

Fundamental Indexation: An Active Value Strategy in Disguise

Downloads 1,409 ( 13,449)

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,409 (13,175)
Citation 5

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

Fundamental Indexation: An Active Value Strategy in Disguise

Journal of Asset Management, Vol. 9, No. 4, pp. 264-269, November 2007
Posted: 02 Nov 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

9.

The Cross-Section of Stock Returns in Frontier Emerging Markets

Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.
Number of pages: 56 Posted: 13 May 2010 Last Revised: 07 Oct 2012
Wilma de Groot, Juan Pang and Laurens Swinkels
Robeco Asset Management, APG asset Management and Erasmus University Rotterdam (EUR)
Downloads 1,328 (14,726)
Citation 13

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Alpha, Behavioral finance, Emerging markets, Frontier Markets, Momentum effect, Size effect, Value effect

10.

Have Pension Plans Changed after the Introduction of IFRS?

Downloads 1,158 ( 18,157)

Have Pension Plans Changed after the Introduction of IFRS?

Number of pages: 14 Posted: 20 Jul 2006
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 1,158 (17,813)
Citation 4

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Defined benefit, Defined contribution, IFRS, Pension funds

Have Pension Plans Changed after the Introduction of IFRS?

Pensions, Vol. 16, No. 4, pp. 244-255
Posted: 06 Dec 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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defined benefit, defined contribution, IFRS, pension funds

11.

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 29 Jan 2008 Last Revised: 19 Oct 2010
Thijs D. Markwat, Dick J. C. van Dijk, Laurens Swinkels and Gerben J. de Zwart
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) and APG Asset Management
Downloads 1,072 (20,346)
Citation 1

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emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

12.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Downloads 1,030 ( 21,560)

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

CentER Discussion Paper No. 2003-20
Number of pages: 37 Posted: 22 Aug 2003
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)
Downloads 1,030 (21,185)
Citation 16

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Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

THE HANDBOOK OF COMMODITY INVESTING, Fabozzi, Fuss, Kaiser, eds., pp. 522-546, 2008
Posted: 02 Nov 2008
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)

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Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

13.

Market Timing: A Decomposition of Mutual Fund Returns

ERIM Report Series Reference No. ERS-2003-074-F&A
Number of pages: 43 Posted: 06 Nov 2003
Laurens Swinkels, Marno Verbeek and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and APG Asset Management, GTAA Fund
Downloads 990 (22,884)

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market timing, mutual funds, performance evaluation, pensioenfondsen

14.

Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum?

Financial Markets and Portfolio Management, Forthcoming
Number of pages: 33 Posted: 24 Jun 2008 Last Revised: 07 Oct 2012
Laura Andreu, Laurens Swinkels and Liam Tjong-A-Tjoe
University of Zaragoza - Faculty of Business and Economics, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 879 (27,167)

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Alpha, Country momentum strategies, Exchange traded funds, Industry momentum strategies, Transactions costs

15.

Do Countries or Industries Explain Momentum in Europe?

Downloads 862 ( 27,942)
Citation 8

Do Countries or Industries Explain Momentum in Europe?

ERIM Report Series Reference No. ERS-2002-91-F&A, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 01 Mar 2002
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 862 (27,504)
Citation 8

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country risk, industry risk, momentum effect, portfolio selection, technology adoption

Do Countries or Industries Explain Momentum in Europe?

Journal of Empirical Finance, Vol. 11, pp. 461-481, 2004
Posted: 19 Dec 2005
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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country risk, industry risk, momentum effect, portfolio selection

16.

Emerging Markets Inflation-Linked Bonds

Financial Analysts Journal, Vol 68, Issue 5, pp. 38-56.
Number of pages: 31 Posted: 28 Jun 2011 Last Revised: 18 Jul 2016
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 790 (31,562)
Citation 1

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allocation, bonds, emerging debt, emerging markets, fixed income, inflation, inflation-linked bonds

17.

Performance Evaluation of Polish Mutual Fund Managers

Downloads 534 ( 53,106)

Performance Evaluation of Polish Mutual Fund Managers

Number of pages: 23 Posted: 23 Apr 2008 Last Revised: 24 Jun 2008
Pawel Rzezniczak and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 534 (52,472)

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Emerging Markets, Mutual funds, Performance Evaluation, Poland

Performance Evaluation of Polish Mutual Fund Managers

International Journal of Emerging Markets, Vol. 4, No. 1, pp. 26-42
Posted: 26 Jan 2009
Pawel Rzezniczak and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)

Abstract:

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Emerging Markets, Mutual funds, Performance Evaluation, Poland

18.

Can Mutual Funds Time Investment Styles?

Downloads 467 ( 62,861)

Can Mutual Funds Time Investment Styles?

Number of pages: 13 Posted: 26 Jul 2007
Laurens Swinkels and Liam Tjong-A-Tjoe
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 467 (62,214)

Abstract:

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Mutual funds, performance evaluation, style timing

Can Mutual Funds Time Investment Styles?

Journal of Asset Management, Vol. 8, No. 2, pp. 123-132, 2007
Posted: 02 Nov 2008
Laurens Swinkels and Liam Tjong-A-Tjoe
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)

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Mutual funds, performance evaluation, style timing

19.

Empirical Evidence on the Currency Carry Trade, 1900-2012

Journal of International Money and Finance 51, pp. 370-389, 2015
Number of pages: 38 Posted: 15 Dec 2014 Last Revised: 19 Jul 2016
Nikolay Doskov and Laurens Swinkels
Norges Bank Investment Management (NBIM) and Erasmus University Rotterdam (EUR)
Downloads 465 (63,174)
Citation 3

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Currency carry trade, Currency crisis, Foreign exchange, Forward discount

20.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
David Blitz, Rob Huisman, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management - Quantitative Investing, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 450 (65,889)
Citation 1

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Alpha, Attention, Big Data, Investing, Media, News, Volatility

21.

Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation

Downloads 424 ( 70,638)

Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation

Number of pages: 10 Posted: 16 Jun 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 424 (69,978)

Abstract:

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Alternative investments, Asset allocation, Liability driven investing; Robust optimization; Uncertainty

Incorporating Uncertainty about Alternative Assets in Strategic Pension Fund Asset Allocation

Pensions, Vol. 13, Issues 1-2, pp. 71-77, 2008
Posted: 02 Nov 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)

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Alternative investments, Asset allocation, Liability driven investing, Robust optimization, Uncertainty

22.

Detecting Management Behaviour by Analyzing Mutual Fund Returns: A Case Study

Number of pages: 5 Posted: 27 Jun 2006
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 302 (104,035)

Abstract:

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Mutual funds, Risk factors, Style analysis

23.

Create Better Diversified High-Conviction Equity Portfolios Using the Portfolio Diversification Index

Number of pages: 21 Posted: 30 Mar 2010
Dominiek P. Crezée and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Department of Business Economics and Erasmus University Rotterdam (EUR)
Downloads 286 (110,338)

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Diversification, Portfolio construction, Risk reduction

24.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming
Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018
David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Asset Management, Quantitative Investment Research, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 255 (124,531)

Abstract:

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

25.

Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market

Number of pages: 19 Posted: 28 Jun 2010 Last Revised: 02 Jul 2010
Joop Huij, Miles Livingston and Laurens Swinkels
Erasmus University - Rotterdam School of Management, University of Florida - Department of Finance, Insurance and Real Estate and Erasmus University Rotterdam (EUR)
Downloads 253 (125,516)

Abstract:

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Arbitrage, Bonds, Risk Arbitrage, Strips

26.

The Case for Local Fair Value Discount Rates Under IFRS

Downloads 207 (152,648)
Citation 1

The Case for Local Fair Value Discount Rates Under IFRS

Number of pages: 14 Posted: 15 Feb 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 207 (152,412)
Citation 1

Abstract:

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Accounting, Discount Rate, Fair Value, IFRS, Pension Accounting, Pension Fund

The Case for Local Fair Value Discount Rates Under IFRS

Pensions, Vol. 16, No. 2, pp. 107-114, 2011
Posted: 28 Jun 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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accounting, discount Rate, fair value, IFRS, pension accounting, pension fund

27.

The Zodiac Calendar and Equity Factor Returns

China Accounting and Finance Review, Forthcoming
Number of pages: 21 Posted: 15 Jan 2016 Last Revised: 18 Jul 2016
Janice Phoeng and Laurens Swinkels
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 188 (166,804)

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Calendar Effects, Factor investing, Stock market returns, Zodiac calendar

28.

Simulating Historical Inflation-Linked Bond Returns

Number of pages: 34 Posted: 09 Jan 2017 Last Revised: 16 Apr 2018
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 187 (167,609)

Abstract:

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Asset allocation, Bonds, Fixed income, Inflation-linked bonds, Inflation, Investing, Simulation

29.

Frontier and Emerging Government Bond Markets

Emerging Markets Review, Forthcoming
Number of pages: 50 Posted: 10 Oct 2015
Vanja Piljak and Laurens Swinkels
University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 171 (181,492)

Abstract:

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Bonds, Emerging markets, Frontier markets, Diversification

30.

Why Don't Latvian Pension Funds Diversify More Internationally?

ERIM Report Series Reference No. ERS-2005-078-F&A
Number of pages: 20 Posted: 02 Nov 2005
Laurens Swinkels, Diana Vejina and Rainers Vilans
Erasmus University Rotterdam (EUR), Stockholm School of Economics in Riga and Stockholm School of Economics in Riga
Downloads 139 (215,857)

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Home Bias, Emerging Markets, International Investing, Pension Funds

31.

Accounting for Market Risk in Microfinance Investments

International Journal of Sustainable Economy 7(4), pp. 262-279, 2015
Number of pages: 29 Posted: 27 May 2015 Last Revised: 18 Jul 2016
Lieveke Helwig and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 124 (235,980)

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Accounting-beta, Market-beta, Microfinance, Responsible investing

32.

Diversity of Dutch Pension Fund Boards

Pensions: An International Journal 17(3), pp. 137-143
Number of pages: 13 Posted: 22 Apr 2012 Last Revised: 18 Jul 2016
Laurens Swinkels and Vinzenz Ziesemer
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 120 (241,752)

Abstract:

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Diversity, Governance, Pension Funds

33.

Board Diversity and Self-Regulation in Dutch Pension Funds

Equality, Diversity, and Inclusion: An International Journal (Forthcoming)
Number of pages: 27 Posted: 31 Dec 2016
Lin Shi, Laurens Swinkels and Fieke van der Lecq
HEC-ULg University of Liège, Erasmus University Rotterdam (EUR) and Vrije Universiteit Amsterdam
Downloads 115 (249,478)

Abstract:

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34.

Performance Evaluation of Balanced Pension Plans

Downloads 113 (252,562)

Performance Evaluation of Balanced Pension Plans

Number of pages: 32 Posted: 05 Mar 2010
Laura Andreu and Laurens Swinkels
University of Zaragoza - Faculty of Business and Economics and Erasmus University Rotterdam (EUR)
Downloads 113 (253,787)

Abstract:

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Balanced Pension Plans, Market Timing, Performance Evaluation, Stockpicking

Performance Evaluation of Balanced Pension Plans

Quantitative Finance, Vol. 12, Issue 5, pp. 819-830
Posted: 10 Feb 2011 Last Revised: 07 Oct 2012
Laura Andreu and Laurens Swinkels
University of Zaragoza - Faculty of Business and Economics and Erasmus University Rotterdam (EUR)

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35.

The Composition of the Global Real Economy and Public Equity Markets

Number of pages: 16 Posted: 18 Apr 2015
Laurens Swinkels and Yan Xu
Erasmus University Rotterdam (EUR) and University of Groningen - Faculty of Economics and Business
Downloads 110 (257,401)

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Economic growth, Equity market, GDP, Investments

36.

Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets

Journal of Asset Management, Forthcoming
Number of pages: 28 Posted: 14 Mar 2017
Vanja Piljak and Laurens Swinkels
University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 105 (265,914)

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Bond Markets, Currencies, Emerging Markets, Fixed Income, Investing

37.

Is Exclusion Effective?

Forthcoming, Journal of Portfolio Management
Number of pages: 10 Posted: 10 Feb 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 71 (341,399)

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

38.

Individual Pension Risk Preference Elicitation and Collective Asset Allocation With Heterogeneity

Number of pages: 46 Posted: 10 Mar 2019
Gosse Alserda, Benedict G. C. Dellaert, Laurens Swinkels and Fieke van der Lecq
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) and Vrije Universiteit Amsterdam
Downloads 30 (484,578)
Citation 1

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Risk Preference Elicitation, Composite Score, Pension Fund, Asset Allocation

39.

Can Implied Volatility Predict Returns on the Currency Carry Trade?

Journal of Banking and Finance, Vol. 59, pp. 14-26, October 2015
Posted: 13 Apr 2015 Last Revised: 19 Jul 2016
Tom Egbers and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 0 (691,525)

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Currency carry trade, Exchange rates, Implied Volatility, Market timing, VIX, VXY

40.

High-Conviction Equity Portfolio Optimization

The Journal of Risk, Vol. 13, No. 2, pp. 57-70, 2010
Posted: 08 Feb 2011
Dominiek P. Crezée and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Department of Business Economics and Erasmus University Rotterdam (EUR)

Abstract:

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41.

Momentum Investing: A Survey

Journal of Asset Management, Vol. 5, Issue 2, pp. 120-143, 2004
Posted: 02 Nov 2008
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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Alpha, Equity Investing, Momentum, Return Continuation, Transactions Costs

42.

International Industry Momentum

Journal of Asset Management, Vol. 3, No. 2, pp. 124-141
Posted: 21 Oct 2002
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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industry effects, international investing, momentum strategies, portfolio management