Madoff: A Returns Based Analysis

Institute for Global Asset and Risk Management, January 6, 2009

https://doi.org/10.3905/jai.2010.2010.1.001

Posted: 22 May 2019

See all articles by Thomas Schneeweis

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management

Edward Szado

Providence College

Date Written: January 6, 2009

Abstract

A fundamental question in regard to the Madoff scandal is whether there was any reasonable means by which the typical investor and/or their consultants could have determined that the various investment vehicles by which investors accessed Madoff were in fact not offering what they claimed. In this analysis we provide a number of empirical analyses of the return properties of several of the Madoff feeder funds for whom public return data was available. Results show that the potential problem was there in the footprint of the returns, but unfortunately the footprints were well hidden.

Keywords: Madoff, collars, options, Split Strike Conversion, Ponzi Scheme, fraud, Operational Risk, Hedge Funds

Suggested Citation

Schneeweis, Thomas and Szado, Edward, Madoff: A Returns Based Analysis (January 6, 2009). Institute for Global Asset and Risk Management, January 6, 2009, https://doi.org/10.3905/jai.2010.2010.1.001 , Available at SSRN: https://ssrn.com/abstract=2205796 or http://dx.doi.org/10.2139/ssrn.2205796

Thomas Schneeweis

University of Massachusetts Amherst - Isenberg School of Management ( email )

Amherst, MA 01003-4910
United States
413-545-5641 (Phone)
413-545-3858 (Fax)

Edward Szado (Contact Author)

Providence College ( email )

United States

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