A day or two after the Bernard Madoff scandal broke I looked up his investment portfolio on Bloomberg's (BLP) 'client key' (under "Bernard"). Although only SEC 13F filing data are captured, it showed 677 equities held as-of 9/30/08, worth about $165 million as-of Dec. 12th. The largest sector holdings, as per BLP's "PTE" function, were "blank check" companies. Madoff had claimed $17 billion of assets under management (AUM) using a strategy of writing covered collars (short call/long put) on holdings of OEX, domestic large cap', stocks.
Now then, Due Diligence Dummies, given 677 stocks added up to only $0.165b of a claimed $17b, did it occur to you to ask where & how the remaining $16.835b was invested and why it didn't trip more 13F's? If I recall correctly (I've seen in other portfolios on PTE), listed options are sometimes captured by 13F requirements, so where were they?
I don't have Madoff's 6/30/08 portfolio (BLP shows only the latest), so perhaps it was much larger back then -- but the real sell-off in hedge funds had barely gotten underway at 9/30, as it was barely two weeks after Lehman's collapse. The good news is, since 9/30 this portfolio has outperformed the S&P 500 by a few percentage points and has a beta of 0.70.
JRB
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