CASE STUDY: Using Post-MPT Statistics to Detect Unrealistic Results by Marc Odo CFA, CAIA, CFP

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Thu, 2010-12-30

This paper proposes that the standard set of analytical metrics used in the finance industry did not adequately expose just how preposterous the return series claimed by Bernie Madoff actually was.  However, using Zephyr StyleADVISOR’s newer metrics and graphs focusing on tail risk and capital preservation, the intelligent and diligent analyst would have noticed some disturbing results.

 
 

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