Search «madoff»

On October 29, MPIÕs Jeff Schwartz will share his insights on ÒDue Diligence in the Post-Madoff EraÓ at the 3pm Annual Conference in Chicago, IL.

Michael Markov’s opinion piece, “The similarities between Pearl Harbor and Bernie Madoff” is featured in Pensions & Investments.

Michael Markov interviewed by Financial News: “as long ago as 2006 MPI concluded that Madoff’s were ‘most likely not real.'”

“…(MPI) was hired by a fund two years ago to look into Fairfield Sentry’s returns and found that it was “statistically impossible to replicate them.”  New York Times article “In Fraud Case, Middlemen in Spotlight”  discusses how MPI found warning signs in Madoff’s returns.

MPI Stylus Pro delivers a patented, risk-factor based approach to help in fund investment and lending decisions and fund monitoring and surveillance. Our predictive, dynamic modeling reverse-engineers funds’ P&L or NAVs to flag changes in behavior to help identify areas of high risk, liquidity issues and excessive leverage.

“…the reports posted by Oregon and other public pension funds routinely understate these risks, new research has found. The new findings are from Michael Markov, a mathematician who heads MPI, a financial technology company. He provided early warnings about the fraudulently consistent returns in Bernard L. Madoff’s Ponzi scheme. I’ve known Mr. Markov for years. And he now says that, on average, the risks being carried by public pension funds are at least 20 percent greater than they are reporting, largely because they aren’t taking account of the true risks embedded in private equity,” writes Jeff Sommer in his weekly column about MPI research focused on uncovering risks of public pensions. “His company uses proprietary statistical techniques to adjust for these lags and posts the results for individual pension funds on its website for everyone to see,” writes Sommer underscoring the importance of the MPI Transparency Lab.

A free resource from MPI providing unique insight into the world’s largest and most opaque investments

We use Allianz Structured Alpha hedge fund as an illustration to demonstrate how investors could apply quantitative techniques to assess potential risks of complex volatility strategies.