Our project tested the accuracy of projected mutual fund returns (via fund mappings) relative to the actual performance of the mutual fund. To achieve this, we performed Monte-Carlo simulations using geometric Brownian motion. Utilizing Excel's VBA, we generated many scenarios to draw conclusions about fund mapping reliability. We modified parameters within the simulation in order to isolate factors that affected the fund mapping's accuracy, and analyzed the specific effects of these variables to provide our sponsor, Towers Perrin, with recommendations.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• McAlister, Angela Marie
• Fredricks, Grant D
• Ingalls, Erin T

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-011310-141059

Advisor

• Abraham, Jon P.

Year

• 2010

Sponsor

• Towers Perrin

Date created

• 2010-01-13

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright

Ultima modifica

• 2021-01-26