Watched Madoff on NFLX and a guy wrote "Sharpe of 5" on a board with "Bullshit" below it. Reminded me of @spy posting a Sharpe of 6 How does split-strike conversion work when investing in the stock market?
2004. I am at a party at my in-laws and someone shows me the Greenwich pitch for Madoff but his name is nowhere on the docs. Mentions "split strike conversion" which ofc is simply a synthetic bull spread (long shares, long put at x, short call at y). Stock + put = synthetic call at x. You're short a call at y. Synthetic xy bull spread. So this was post internet bubble and they were showing 12-15%/year and I told them at the time it's impossible if the strategy is long shares with a bear risk reversal. They called it an equity fence in the docs... same thing. The equity curve was a ruler. Spy shorts puts on stuff that trades by appt. No short put strat sees a Sharpe above 1. He's FOS.
I think Mark took him as his apprentice. His record is superior to Stoney! “ Wall Street Analyst Mark Brown Wall Street Analyst #9,458 out of 9,653 #37,071 out of 41,075 Success Rate 17% 13 out of 75 ratings made a profit Average Return -19.90% Average return per rating https://www.tipranks.com/experts/analysts/mark-brown