Madoff Uber-Ponzi Returns

15Dec08

In case you hadn’t seen it elsewhere, a graph of Madoff über-ponzi scheme returns Dec, 1990 to Oct, 2008 (hat tip to Cluster Stock for data source):

2008121501
[logarithmically-scaled]

Not eyebrow-raising in terms of returns or even returns relative to volatility. Eyebrow-raising for the consistency of returns over multiple very significant regime changes in the US markets.

Happy (actual) Trading,
ms

 

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One Response to “Madoff Uber-Ponzi Returns”

  1. 1 chartguy

    I just found your blog today and have been going over your top posts. One thing I found interesting was the graph of your VIX spread strategy and the chart above. From my understanding of Madoff’s strategy he didn’t use the VIX spread strategy, but the similarity of the two charts is surprising as well as the fact that the VIX spread strategy failed in October.


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