Macro Econometric Models to Predict the NAV of an Asset Allocation Fund, VWELX
Advances in Business and Management Forecasting, Vol. 9, 115-133, 2013
Posted: 29 Nov 2013
Date Written: November 27, 2013
Abstract
This research examines the use of econometric models to predict the total NAV of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund. 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.
Keywords: forecasting, mutual funds, econometrics
JEL Classification: G10, G12, G19
Suggested Citation: Suggested Citation