Madoff vs LTCM

19Dec12

Below is a comparison of $1 invested (net) in Madoff’s Ponzi scheme (blue) versus Long-Term Capital Management (red) during the 4+ years both shared life.

20121218.05
[linearly-scaled, growth of $1, net of fees]

Interestingly, even before the wheels began to come off LTCM in May, 1998, Madoff still exhibited a higher Sharpe Ratio than LTCM (3.21 vs 2.66 by my calculation) – that’s one hell of a canary in the coal mine.

Click for Madoff’s entire 18-year “track record”.

The point?

None really. Just satisfying my nerd curiosity.

Happy Trading,
ms

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2 Responses to “Madoff vs LTCM”

  1. 1 implied volatility

    Not really _long term_ capital management…

    In the same vein, I’m thinking about creating a firm called _short term_ capital management.

  2. You (almost) have to laugh. Good stuff Mike….


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