Madoff : A Returns Based Analysis

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