Stock market returns most certainly do not have a gaussian distribution for example, and returns from one year are correlated with another year.
So you can have a simulation with five -30% returns in a row for example, something which hasn't happened in reality and is equal to an armageddon scenario. Likewise you can get some spectacular outcomes if crazy bull years are repeatedly selected.In particular, the Monte Carlo methodology used here assumes no relationship between asset-class returns from one year to the next. Randomly selected years are considered in sequence. For example, in a given simulation the returns on stocks, bonds, and short-term reserves for 1982, when the nation was deep in recession, could be followed by the returns for 1999, a bull-market year.