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AXP Assignment - Best execution trading equities



The Hague, Netherlands
Posted on Wednesday, October 18, 2023


AXP Assignment – Best execution trading equities

Are you looking for a challenging graduation assignment or organization where you can do research? PGGM and MN offer you the opportunity to develop yourself, together with the best professionals in the field.

  • Vermogensbeheer
  • 36 / 40
  • Den Haag
  • WO



This assignment is part of the unique Academic Excellence Program (AXP). This program is a cooperation between MN and PGGM, two leading Dutch pension fund service providers. Students will get the opportunity to work alongside investment professionals, collaborate with other students and learn about institutional investing. On regular AXP-days all students in the program will come together in The Hague or Zeist to share ideas, learn from each other, attend presentations from investment teams and discuss job opportunities

Jouw rol

Using the MSCI World Index constituents as a starting point we construct our own custom index by applying top-down filters based on ESG. The resulting custom index constitutes our “Bewuste Selectie” (BS)1 passive equity strategy which in turn EM&R implements by managing equity portfolios that track the custom BS index with minimal tracking error.

MSCI rebalances their standard MSCI World Index once per quarter. Since this index serves as a parent index for our custom BS index, we rebalance our custom index at the schedule at which MSCI rebalances 1 Bewuste Selectie (Dutch) = Conscious Selection (English) refers to our clients’ wish to consciously and purposefully tilt equity portfolios towards sustainable businesses. AXP Assignment Proposal MN Page 2 of 3 their standard index. The rebalance schedule of MSCI is public knowledge and additions, deletions, and re-weightings are announced to all MSCI index clients several days prior to the rebalancing date. Due to the large number of funds (ETFs, mutual funds, etc.) that are tracking MSCI indices, the rebalancing dates are major liquidity events in global stock markets during which significantly increased trading volumes can be observed. However, there is also evidence of pre-positioning by hedge funds and similar who try to take advantage of predictability in the rebalancing trades of index trackers.

The rebalancing of our custom BS index requires consideration of changes in the parent index (i.e., the standard MSCI World Index) and applying our top-down filters to the rebalanced parent index. Consequently, our BS index rebalancing trades do not match exactly the MSCI World Index rebalancing trades. Our custom BS index requires careful consideration when implementing those additions and deletions that are sizable but not part of the additions and deletions in the standard MSCI World index rebalancing. These kinds of trade flows are unexpected for other market participants and therefore may have a significant price impact if implemented at once.

The price impact of any trade depends on its size and the liquidity and market circumstances at the time of the trade. Since our custom BS index is constructed using daily closing prices, those closing prices become our reference point for full replication of the index. In principle this requires implementation of all rebalancing trades using a market-on-close (MOC) strategy, i.e., trading the entire rebalancing in the closing auction of the rebalancing day. For large trades that are specific to our custom BS index we have noticed that implementing changes using a pure MOC strategy poses significant liquidity risks. The liquidity of the market at the closing time may not be sufficient to execute large trades without significantly impacting the market price.

We assess the potential market impact of large trades by estimating our expected participation in trading volumes. This requires us to estimate the expected trading volume during the closing auction and the expected average daily trading volume. We determine participation thresholds above which we deviate from a pure MOC strategy and use alternative trading strategies. For example, by combining MOC and volume weighted average price (VWAP) strategies over one or multiple days. Thus, the goal of our implementation strategies is to balance market risk and execution risk of larger trades.

Project Scope & Deliverables

The PhD intern is expected to deliver a written research report in line with the below described specific deliverables. In addition to the research report the PhD intern is expected to make all Python scripts available.

Prediction of trading volumes: The PhD intern is expected to conduct research, under the guidance and with the support of the EM&R team, aiming at the prediction of expected trading volumes (closing auction volume and average daily volume) using state-of-the-art econometric and/or machine learning techniques. Besides accuracy, explainability of the predictions is crucial. Deliverable for this project part is a replicable algorithm for trading volume prediction using available market data as input (implemented in Python), as well as supporting documentation explaining theoretical and econometric considerations and results of backtests.

Decision framework for alternative trading strategies: The PhD intern is expected to (co-)develop with the EM&R team a framework to guide fund managers in their decision making on trading strategies for larger trades. The framework should include guidelines for

I. specific thresholds for expected trading volume participation to determine for which trades to use a pure MOC trading strategy and which to use alternative strategies

II. guidelines for the determination of a specific alternative strategy whereas the guidelines must consider the following factors:

a) The expected impact of trades on execution prices;

b) PnL risk (relative to closing prices) if alternative strategies are applied, also considering market risk due to potential company-specific news releases, macroeconomic or political news/data releases, etc.;

c) Differences in transaction costs for MOC trades vs. VWAP and similar strategies;

d) Execution within the boundaries of portfolio’s mandate rules (thresholds for overnight cash positions, guaranteed full implementation by end-of-business of rebalancing date, etc.).

Deliverable is a written report outlining and explaining the decision framework and providing supporting theoretical and empirical evidence for the guidelines.

The research report delivered by PhD intern and the related Python scripts can be used as a basis for an academic publication and can be included in the PhD intern’s dissertation provided due credit is given to MN and MN employees for guidance and provision of data. Data and results that may reveal sensitive and/or proprietary information about portfolio positions, trading strategies, etc. must be appropriately masked to protect the commercial interests of MN and its clients. Specific requirements for such masking must be agreed between the PhD intern and MN in advance of any publication.

Jouw profiel

  • PhD candidate (2nd year preferred) with a research focus on (empirical) asset pricing, financial econometrics, market microstructure or similar field.
  • Master in (quantitative) finance, econometrics, economics, (applied) mathematics, or similar field.
  • Keen interest in market microstructure theory, index replication/passive investing, equity trading, and risk management.
  • Ability to conduct empirical research using Python.
  • Prior experience with empirical research, preferably using granular stock market data (prices, trading volumes, etc.).
  • Excellent communication skills in English. Dutch language skills are not required.

Jouw werkomgeving

The PhD intern will be placed in the Equity Management & Research (EM&R) team within the Equities department of MN Asset Management. The Equities department is responsible for managing active and passive equity mandates in North American and European markets which requires Best Execution (MiFID). EM&R focuses on index replication strategies for our in-house developed custom equity indices. The team comprises of four fund managers and one equity strategist.

MN als werkgever

The Dutch pension sector is significant in size with total of the assets are the third largest among OECD countries. MN Services N.V. is the third largest pension fund service provider in the Netherlands. We are serving 9 clients in the areas of Board Advisory, Asset Management, and Fiduciary Management. For our clients we manage pension assets worth approximately EUR 137 billion. About 36 000 companies (employers) in various industries are affiliated with our clients, representing about 2 million pension fund participants in total. We invest globally in equities, government- and corporate bonds, loans, real estate, and private equity, etc.

Als MN'er mag je rekenen op

  • A monthly internship allowance; 
  • Emphasis on work-life balance and flexibility in working hours; 
  • Numerous opportunities for learning and personal development and a calendar filled with social events; 
  • Hybrid working environment as the default, with a modern office building in the center of The Hague. It is easily accessible by public transport and has in-house facilities for exercise, relaxation or a refreshing coffee from our in-house Barista. 

The internship should ideally be scheduled to start within the first half year of 2024. For this assignment the main location will be MN in The Hague.


    We would like to meet you! Click on the apply button and upload your resume and motivation. If you have any questions, please contact Siona van Dijk via or my colleague Michael Kurz via

    We look forward to receiving your application and welcoming you to MN!