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Death by Simulation

In: Economics Gone Astray

Author

Listed:
  • Blu Putnam

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…

Suggested Citation

  • Blu Putnam, 2019. "Death by Simulation," World Scientific Book Chapters, in: Economics Gone Astray, chapter 13, pages 161-170, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781944659592_0013
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    More about this item

    Keywords

    Economics; Macroeconomics; Monetary Policy; Fiscal Policy; Inflation; Risk Management; Federal Reserve; Quantitative Easing; Taylor Rule;
    All these keywords.

    JEL classification:

    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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