Madoff trading statistics

D

Daal

I found his returns in this paper
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.611.5044&rep=rep1&type=pdf

and decided to have a little fun calculating his trading statistics. These are all monthly inflation adjusted returns since 1990

upload_2018-9-6_9-20-6.png


Now wonder he was called "the jewish T-Bill"
There you go, now you know what to shoot for :p
 
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Jeez, throw in some "backwardation" and "skew" terms, invent new terms for long-known trades? And he'd have had a spot right here on ET. :wtf:

:D
 
ElCubano said:
but how was his Ponzi Ratio?
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One of the highest ever recorded. If you want people to beat your door down, tell them they can't invest with you because they are not important enough for you to waste time with. His customer base of rich NY and Palm Beach co-religionists found it irresistible.
 
freedinner said:
Daal, can you please tell me which program you used to get the output of stats that you posted? Thanks
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I built an excel spreadsheet that has certain macros for the backtest. The output comes on in the cells. It took a lot of work but i think its better than the other ones since its dynamic. I can backtest any set of return streams (up to 6) in less than 2 minutes of inserting the returns in the sheet
 
Daal said:
I built an excel spreadsheet that has certain macros for the backtest. The output comes on in the cells. It took a lot of work but i think its better than the other ones since its dynamic. I can backtest any set of return streams (up to 6) in less than 2 minutes of inserting the returns in the sheet
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Thank you! That looks very professional! I assumed it must be an external program.

Funnily I've just started using R and PerformanceAnalytics, to get some stats that the IB PortfolioAnalyst does not provide (and check some figures)

https://cran.r-project.org/web/packages/PerformanceAnalytics/index.html
 
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