Berny Madoff must read

Статья 2009 года, в которой дается попытка воспроизвести стратегию. Там же приведены исторические результаты Fairfield Sentry Fund. 
 


  «It is now known that the very impressive investment returns generated by Bernie
Madoff were based on a sophisticated Ponzi scheme. Madoff claimed to use a split
strike conversion strategy. This strategy consists of a long equity position plus a long
put and a short call. In this paper we examine Madoff's returns and compare his
investment performance with what could have been obtained using the split strike
conversion strategy based on the historical data. We also analyze the split strike
strategy in general and derive expressions for the expected return standard deviation
and Sharpe ratio of this strategy.»
tinyurl.com/86qd5vy
 

А вот статья 2001 года (т.е. до того как Понзи пришел конец).

«Mention Bernard L. Madoff Investment Securities to anyone working on Wall Street at any time over the
last 40 years and you’re likely to get a look of immediate recognition.
After all, Madoff Securities, with its 600 major brokerage clients, is ranked as one of the top three
market makers in Nasdaq stocks, cites itself as probably the largest source of order flow for New York

Stock Exchange-listed securities, and remains a huge player in the trading of preferred, convertible and
other specialized securities instruments.
Beyond that, Madoff operates one of the most successful “third markets” for trading equities after
regular exchange hours, and is an active market maker in the European and Asian equity markets. And
with a group of partners, it is leading an effort and developing the technology for a new electronic auction
market trading system called Primex.
But it’s a safe bet that relatively few Wall Street professionals are aware that Madoff Securities could
be categorized as perhaps the best risk-adjusted hedge fund portfolio manager for the last dozen years. Its
$6–7 billion in assets under management, provided primarily by three feeder funds, currently would put it
in the number one or two spot in the Zurich (formerly MAR) database of more than 1,100 hedge funds,
and would place it at or near the top of any well-known database in existence defined by assets.»
 
tinyurl.com/6umxgjt