基金调查专家2007年初对Madoff的研究
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辉格 @ 2008-12-17 18:37  阅读(2,635)  评论   分类：时有所闻        

问题关键是Madoff同时扮演了证券交易经纪人（broker）和基金管理人两个角色。

Madoff的确请了大会计行来为基金做审计，但这些审计师审计基金时，用的是经纪人的报告，而对经纪人的审计，Madoff请的是只有3个人（包括秘书和挂名老头）和234平方呎办公室的小行。

以下摘自Bloomberg前天的专访：

……
DODDS: What was tip #1?

VOSS: Tip #1 is – we’re using the word hedge funds, but these really weren’t hedge funds. Typically investor money entered Madoff Securities through feeder funds, which were from a legal perspective hedge funds, but were managed by marketing firms and set up solely to raise assets that would be funneled into Madoff Securities.

DODDS: And what made you think something was fishy?

VOSS: Well, to start with, the feeder funds were suspicious. They seemed to serve no purpose at all. Number two, the strategy that was marketed by the managers of these feeder funds as the strategy that Madoff was doing, really made no sense. It was called split-strike conversion, and when you run the numbers, it produces much more volatile and random returns than the returns advertised by the feeder funds.

DODDS: So, the promise the funds were making didn’t match reality to you?

VOSS: Yes, and I think most investors without due diligence resources should’ve been aware of that going in. Number two is the size of the money in all these feeder funds, we estimate at a time was $15 billion.

The markets that Madoff and the feeder fund managers allege were being traded revolved around S&P 100 options. And S&P 100 options are not liquid and could not take nearly the volume reporting to be executed by these people.

DODDS: Now, was this available in public records – how did you find this out?

VOSS: It takes digging, right. A little bit of the art of my business is you don’t tip your hand, you ask a lot of questions, you do your work, and you keep digging. And take everything you hear with a grain of salt and keep going.

DODDS: Now were there any physical clues here. Did you go out and look at anybody’s offices?

VOSS: Yes, I mean for us, and I’ll get into the digging, most of these feeder funds were audited by very well-respected major audit firms. And the problem was these audit firms as is industry practice and necessity, rely upon brokerage statements from executing brokers.

And the problem with the feeder funds is 100 percent of the assets was with one privately-held broker. So we said to ourselves, we’ll let’s not worry about the auditor of the feeder funds, but let’s look at who audits this broker.

So, we did some digging, including at one point staking the offices in Rockland County, and what was initially described to us as a mid-sized New York-based audit firm, turned out to be a firm with, we believe, office space of 13×18 feet; three employees, one of which was 78-years-old and seemed to live in Florida, the other of which was a secretary, the third of which was a gentleman my age who is a practicing CPA. But, from our perspective there is no way a firm of this size could audit a firm of Madoff Securities size.
……

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问题关键是Madoff同时扮演了证券交易经纪人（broker）和基金管理人两个角色。

Madoff的确请了大会计行来为基金做审计，但这些审计师审计基金时，用的是经纪人的报告，而对经纪人的审计，Madoff请的是只有3个人（包括秘书和挂名老头）和234平方呎办公室的小行。

以下摘自Bloomberg前天的专访：

……
DODDS: What was tip #1?

VOSS: Tip #1 is - we’re using the word hedge funds, but these really weren’t hedge funds. Typically investor money entered Madoff Securities through feeder funds, which were from a legal perspective hedge funds, but were managed by marketing firms and set up solely to raise assets that would be funneled into Madoff Securities.

DODDS: And what made you think something was fishy?

VOSS: Well, to start with, the feeder funds were suspicious. They seemed to serve no purpose at all. Number two, the strategy that was marketed by the managers of these feeder funds as the strategy that Madoff was doing, really made no sense. It was called split-strike conversion, and when you run the numbers, it produces much more volatile and random returns than the returns advertised by the feeder funds.

DODDS: So, the promise the funds were making didn’t match reality to you?

VOSS: Yes, and I think most investors without due diligence resources should’ve been aware of that going in. Number two is the size of the money in all these feeder funds, we estimate at a time was $15 billion.

The markets that Madoff and the feeder fund managers allege were being traded revolved around S&P 100 options. And S&P 100 options are not liquid and could not take nearly the volume reporting to be executed by these people.

DODDS: Now, was this available in public records - how did you find this out?

VOSS: It takes digging, right. A little bit of the art of my business is you don’t tip your hand, you ask a lot of questions, you do your work, and you keep digging. And take everything you hear with a grain of salt and keep going.

DODDS: Now were there any physical clues here. Did you go out and look at anybody’s offices?

VOSS: Yes, I mean for us, and I’ll get into the digging, most of these feeder funds were audited by very well-respected major audit firms. And the problem was these audit firms as is industry practice and necessity, rely upon brokerage statements from executing brokers.

And the problem with the feeder funds is 100 percent of the assets was with one privately-held broker. So we said to ourselves, we’ll let’s not worry about the auditor of the feeder funds, but let’s look at who audits this broker.

So, we did some digging, including at one point staking the offices in Rockland County, and what was initially described to us as a mid-sized New York-based audit firm, turned out to be a firm with, we believe, office space of 13x18 feet; three employees, one of which was 78-years-old and seemed to live in Florida, the other of which was a secretary, the third of which was a gentleman my age who is a practicing CPA. But, from our perspective there is no way a firm of this size could audit a firm of Madoff Securities size.
……


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