Research by risk management firm Riskdata points out that Bernie Madoff clearly stated that his equity hedge fund employed a “split strike conversion”. However, a simple replication of that strategy showed that his advertised returns were impossible to achieve. The risk profile of Madoff’s fund was inconsistent with the returns he was claiming to make.
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“Suspiciously, the only way to replicate Mr Madoff’s performance is to invest in his funds!” Riskdata |
When you look back, say the authors of Riskdata’s Madoff case research, long/short equity hedge funds that reported data to HFR can be divided into two distinct buckets: funds whose risk profile is close to that of Madoff, and all the others.
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