Macro econometric models to predict the NAV of an asset allocation fund, VWELX

Kenneth D. Lawrence, Gary Kleinman, Sheila M. Lawrence, Ronald K. Klimberg

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This research examines the use of econometric models to predict the total net asset value (NAV) of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund (VWELX). This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on which the prediction of the total NAV is based is the 24-month period of 2010 and 2011 and the forecasting period is the first three months of 2012. Forecasting the total NAV of a massive conservative allocation fund, composed of an extremely large number of investments, requires a method that produces accurate results. Achieving this accuracy has no necessary relationship to the complexity of the methods typically employed in many financial forecasting studies.

Original languageEnglish
Title of host publicationAdvances in Business and Management Forecasting
EditorsKenneth Lawrence, Ronald Klimberg
Pages115-133
Number of pages19
DOIs
StatePublished - 27 Sep 2013

Publication series

NameAdvances in Business and Management Forecasting
Volume9
ISSN (Print)1477-4070

Fingerprint

Macroeconometric model
Asset allocation
Asset value
Mutual funds
Econometric models
Prediction
Financial forecasting

Keywords

  • Asset allocation
  • Econometrics
  • Forecasting
  • Macroeconomics
  • Mutual funds
  • Portfolio

Cite this

Lawrence, K. D., Kleinman, G., Lawrence, S. M., & Klimberg, R. K. (2013). Macro econometric models to predict the NAV of an asset allocation fund, VWELX. In K. Lawrence, & R. Klimberg (Eds.), Advances in Business and Management Forecasting (pp. 115-133). (Advances in Business and Management Forecasting; Vol. 9). https://doi.org/10.1108/S1477-4070(2013)0000009011
Lawrence, Kenneth D. ; Kleinman, Gary ; Lawrence, Sheila M. ; Klimberg, Ronald K. / Macro econometric models to predict the NAV of an asset allocation fund, VWELX. Advances in Business and Management Forecasting. editor / Kenneth Lawrence ; Ronald Klimberg. 2013. pp. 115-133 (Advances in Business and Management Forecasting).
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Lawrence, KD, Kleinman, G, Lawrence, SM & Klimberg, RK 2013, Macro econometric models to predict the NAV of an asset allocation fund, VWELX. in K Lawrence & R Klimberg (eds), Advances in Business and Management Forecasting. Advances in Business and Management Forecasting, vol. 9, pp. 115-133. https://doi.org/10.1108/S1477-4070(2013)0000009011

Macro econometric models to predict the NAV of an asset allocation fund, VWELX. / Lawrence, Kenneth D.; Kleinman, Gary; Lawrence, Sheila M.; Klimberg, Ronald K.

Advances in Business and Management Forecasting. ed. / Kenneth Lawrence; Ronald Klimberg. 2013. p. 115-133 (Advances in Business and Management Forecasting; Vol. 9).

Research output: Chapter in Book/Report/Conference proceedingChapter

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AB - This research examines the use of econometric models to predict the total net asset value (NAV) of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund (VWELX). This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on which the prediction of the total NAV is based is the 24-month period of 2010 and 2011 and the forecasting period is the first three months of 2012. Forecasting the total NAV of a massive conservative allocation fund, composed of an extremely large number of investments, requires a method that produces accurate results. Achieving this accuracy has no necessary relationship to the complexity of the methods typically employed in many financial forecasting studies.

KW - Asset allocation

KW - Econometrics

KW - Forecasting

KW - Macroeconomics

KW - Mutual funds

KW - Portfolio

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T3 - Advances in Business and Management Forecasting

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Lawrence KD, Kleinman G, Lawrence SM, Klimberg RK. Macro econometric models to predict the NAV of an asset allocation fund, VWELX. In Lawrence K, Klimberg R, editors, Advances in Business and Management Forecasting. 2013. p. 115-133. (Advances in Business and Management Forecasting). https://doi.org/10.1108/S1477-4070(2013)0000009011