PhD CASE Studentship:
Optimal rebalancing strategies for efficient asset pricing factor investments
Lancaster University Management School, Department of Accounting and Finance

This is a 1+3 years studentship between the Department of Accounting and Finance at Lancaster University Management School (LUMS) and our industry partner Invesco, funded by the ESRC – Northwest Social Science Doctoral Training Partnership. The PhD Studentship includes payment of full tuition fees and an annual maintenance grant of at least £16,777 (tax-free) in year 1, and £19,777 in years 2, 3 and 4. The start date is 1st October 2019 and the supervisors are:

  1. Prof Mark Shackleton (Professor of Finance, EMP, LUMS)
  2. Dr Sandra Nolte (Senior Lecturer in Finance, EMP, LUMS)
  3. Dr Harald Lohre (Senior Research Analyst, Invesco Quantitative Strategies)

Description of the project:
To remain compliant with risk-return targets in the prevailing low-yield environment, many investors have structured their asset allocation to transparent and individual factors. With low interest rates an efficient implementation of such offerings is key, be it passive indexation products or advanced style factor offerings. In this vein, this research project is aimed at theoretically investigating optimal rebalancing of various factor strategies and empirically devising transaction cost models that aid and guide their practical implementation. As such we seek to further the academic profession’s understanding of the underlying economic mechanism and to provide the investment management industry with guideposts to efficiently harvest factor premia. Notably, the PhD student can draw from a proprietary data set of the industry partner that provides a deep history of transaction cost data collected in the implementation of factor-based investment products. Thus, the PhD Candidate will enjoy the unique opportunity to pursue a first-class formal finance education while keeping close ties to the investment management industry. In particular, the PhD student will get comprehensive insight into the Invesco Quantitative Strategies Team with more than 60 investment professionals managing over USD 40bn within a broad range of investment strategies and asset classes.

Application details:
The successful candidate will automatically be enrolled into the department’s 4 year PhD programme in Accounting and Finance. The admission criteria are:

  • Applicants are normally expected to hold a relevant Master’s degree in finance (with a substantial quantitative or mathematical component), Master (MSci or MSc) in Mathematics, Statistics or in a related quantitative/econometric cognate subject area.
  • We will usually require a performance at distinction level at Master’s degree, typically averaging above 70% overall, which may also be required in a suitable dissertation element.
  • Our English language requirements (where required) are for IELTS at 7.0.
  • Applicants are advised that a GMAT score may be required.

How to apply:
Please send your CV (including marks’ transcripts) and a motivation letter directly to Prof Mark Shackleton (, Dr Sandra Nolte ( and Dr Harald Lohre (; and apply formally to the department’s PhD programme. More details can be found under

Please apply before 16th May 2019.