Madoff - EDHEC position paper sets out the red flags that should have served as warning signals
In a new position paper from the EDHEC Risk and Asset Management Research Centre, François-Serge Lhabitant and Greg Gregoriou, two of academia’s recognised worldwide authorities on hedge funds, have reviewed some of the red flags that any operational due diligence and quantitative analysis should have identified as a concern.
The EDHEC position paper looks at the events leading up to the fraud and considers how the alleged split-strike conversion strategy would have worked before exploring the due diligence aspects of the case in detail.
Among the areas which should have been seen as a concern were both operational red flags (lack of segregation amongst service providers, obscure auditors, an unusual fee structure, heavy family influence, lack of disclosure, insufficient staff, etc.) and investment red flags (black-box strategy, questionable style exposures, incoherent 13F filings, excessive market size).
A copy of the EDHEC position paper Madoff: A Riot of Red Flags, can be downloaded here
Written by STEPHANE COLOMBANI
Date of update February 27, 2009
Comments0
Please log in to see or add a comment
Suggested Articles
