Macro Econometric Models to Predict the NAV of an Asset Allocation Fund, VWELX

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.

Citation

Lawrence, K.D., Kleinman, G., Lawrence, S.M. and Klimberg, R.K. (2013), "Macro Econometric Models to Predict the NAV of an Asset Allocation Fund, VWELX", Lawrence, K.D. and Klimberg, R.K. (Ed.) Advances in Business and Management Forecasting (Advances in Business and Management Forecasting, Vol. 9), Emerald Group Publishing Limited, Leeds, pp. 115-133. https://doi.org/10.1108/S1477-4070(2013)0000009011