Death by Simulation

Blu Putnam

Chapter 13 in Economics Gone Astray, 2019, pp 161-170 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Many fund managers offer investment programs or portfolio management services based on quantitative models. Model-driven investment strategies offer the promise of a disciplined approach that may enhance returns with only a minimal increase in risk, if any. Quantitative investment strategies typically are supported by an impressive amount of background research that can give the investor added confidence. But the reliable evidence of actual track records to evaluate these quantitative strategies is not always available, especially due to the severe survivorship bias present in investment performance databases. Consequently, simulations of past performance take on special significance…

Keywords: Economics; Macroeconomics; Monetary Policy; Fiscal Policy; Inflation; Risk Management; Federal Reserve; Quantitative Easing; Taylor Rule (search for similar items in EconPapers)
JEL-codes: E02 E44 E52 E6 G32 (search for similar items in EconPapers)
Date: 2019
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