Forecasting the net asset value of PRWCX

Kenneth D. Lawrence, Gary Kleinman, Sheila M. Lawrence

Research output: Contribution to journalArticleResearchpeer-review

Abstract

This research examines the use of a number of time series model structures of a moderate allocation mutual fund, PRWCX. PRWCX was rated as the top fund in its category during the past five years. The fund invests at least 50% of its total assets that the fund manager believes that have above average potential for capital growth. The remaining assets are generally invested in convertible securities, corporate and government debt bank loans, and foreign securities. Forecasting the total NAV of such a moderate allocation mutual fund, composed of an extremely large number of investments, requires a method that produces accurate results. These models are exponentially smoothing (single, double, and Winter's Method), trend models (linear, quadratic, and exponential) are Box-Jenkins models.

Original languageEnglish
Pages (from-to)19-36
Number of pages18
JournalAdvances in Business and Management Forecasting
Volume10
DOIs
StatePublished - 1 Jan 2014

Fingerprint

Asset value
Mutual funds
Assets
Government debt
Convertible securities
Capital growth
Corporate debt
Fund managers
Bank loans
Smoothing
Winter
Time series models
Box-Jenkins

Keywords

  • Asset allocation mutual funds
  • Forecasting
  • Net asset value
  • Time series modeling

Cite this

Lawrence, Kenneth D. ; Kleinman, Gary ; Lawrence, Sheila M. / Forecasting the net asset value of PRWCX. In: Advances in Business and Management Forecasting. 2014 ; Vol. 10. pp. 19-36.
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Forecasting the net asset value of PRWCX. / Lawrence, Kenneth D.; Kleinman, Gary; Lawrence, Sheila M.

In: Advances in Business and Management Forecasting, Vol. 10, 01.01.2014, p. 19-36.

Research output: Contribution to journalArticleResearchpeer-review

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