Our project analyzed the standard deviation of projected mutual fund returns relative to the actual performance of the mutual fund. We performed Monte-Carlo simulations using geometric Brownian motion to obtain the projected mutual funds. Our project tested the effects of a regime-switching model and distribution of manager's alpha by generating many scenarios to draw conclusions about fund mapping accuracy. Using our results, we analyzed the specific effects of these variables to provide conclusions to our sponsor, Towers Watson.

• 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

• Cahill, Ian C
• McDonnell, Charlotte Marie
• Kelly, Blake Andrew
• Dailey, Elizabeth Marie

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-011311-112430

Advisor

• Abraham, Jon P.

Year

• 2011

Sponsor

• Towers Watson

Date created

• 2011-01-13

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright