Very early on in my MBA, I ran a pretty simple simulation of different investment strategies with different expected returns and different tail distributions. E

Very early on in my MBA, I ran a pretty simple simulation of different investment strategies with different expected returns and different tail distributions. Each round, new money entered the market and was distributed based on previous empirical returns. The result was the same “slow up fast down” sawtooth we see in the real market, and investments that had real alpha were crowded out by investments that simply pushed risk into the tails. It took like an hour to assemble that agent-based simulation and it scared me out of finance. Most financial engineering seems to just be Martingale betting schemes that guarantee small to modest returns 99% of the time.