What Fraudulent Returns Look Like

These returns were from the document Harry Markopolous sent to the SEC in 2005, and while his allegations tend to ramble, his basic points are spot on. Several hedge funds actually merely invested all their money with Madoff unbeknownst to their investors, so Markopolous was able to back out Madoff performance via such a fund (here, Fairfield Sentry Ltd). These are the returns, AFTER the 1% management fee and 20% incentive fee, meaning you can add about 4% to the annualized return to get the return Madoff showed to his investors.

Jan-91 3.08 Jan-92 0.49 Jan-93 0.00 Jan-94 2.18 Jan-95 0.92
Feb-91 1.46 Feb-92 2.79 Feb-93 1.93 Feb-94 -0.36 Feb-95 0.76
Mar-91 0.59 Mar-92 1.01 Mar-93 1.86 Mar-94 1.52 Mar-95 0.84
Apr-91 1.39 Apr-92 2.86 Apr-93 0.01 Apr-94 1.82 Apr-95 1.69
May-91 1.88 May-92 -0.19 May-93 1.72 May-94 0.51 May-95 1.72
Jun-91 0.37 Jun-92 1.29 Jun-93 0.86 Jun-94 0.29 Jun-95 0.50
Jul-91 2.04 Jul-92 0.00 Jul-93 0.09 Jul-94 1.78 Jul-95 1.08
Aug-91 1.07 Aug-92 0.92 Aug-93 1.78 Aug-94 0.42 Aug-95 -0.16
Sep-91 0.80 Sep-92 0.40 Sep-93 0.35 Sep-94 0.82 Sep-95 1.70
Oct-91 2.82 Oct-92 1.40 Oct-93 1.77 Oct-94 1.88 Oct-95 1.60
Nov-91 0.08 Nov-92 1.42 Nov-93 0.26 Nov-94 -0.55 Nov-95 0.51
Dec-91 1.63 Dec-92 1.43 Dec-93 0.45 Dec-94 0.66 Dec-95 1.10
Jan-96 1.49 Jan-97 2.45 Jan-98 0.91 Jan-99 2.06 Jan-00 2.20
Feb-96 0.73 Feb-97 0.73 Feb-98 1.29 Feb-99 0.17 Feb-00 0.20
Mar-96 1.23 Mar-97 0.86 Mar-98 1.75 Mar-99 2.29 Mar-00 1.84
Apr-96 0.64 Apr-97 1.17 Apr-98 0.42 Apr-99 0.36 Apr-00 0.34
May-96 1.41 May-97 0.63 May-98 1.76 May-99 1.51 May-00 1.37
Jun-96 0.22 Jun-97 1.34 Jun-98 1.28 Jun-99 1.76 Jun-00 0.80
Jul-96 1.92 Jul-97 0.75 Jul-98 0.83 Jul-99 0.43 Jul-00 0.65
Aug-96 0.27 Aug-97 0.35 Aug-98 0.28 Aug-99 0.94 Aug-00 1.32
Sep-96 1.22 Sep-97 2.39 Sep-98 1.04 Sep-99 0.73 Sep-00 0.25
Oct-96 1.10 Oct-97 0.55 Oct-98 1.93 Oct-99 1.11 Oct-00 0.92
Nov-96 1.58 Nov-97 1.56 Nov-98 0.84 Nov-99 1.61 Nov-00 0.68
Dec-96 0.48 Dec-97 0.42 Dec-98 0.33 Dec-99 0.39 Dec-00 0.43
Jan-01 2.21 Jan-02 0.03 Jan-03 -0.27 Jan-04 0.94 Jan-05 0.51
Feb-01 0.14 Feb-02 0.60 Feb-03 0.04 Feb-04 0.50 Feb-05 0.37
Mar-01 1.13 Mar-02 0.46 Mar-03 1.97 Mar-04 0.05 Mar-05 0.85
Apr-01 1.32 Apr-02 1.16 Apr-03 0.10 Apr-04 0.43 Apr-05 0.14
May-01 0.32 May-02 2.12 May-03 0.95 May-04 0.66 May-05 0.63
Jun-01 0.23 Jun-02 0.26 Jun-03 1.00 Jun-04 1.28
Jul-01 0.44 Jul-02 3.36 Jul-03 1.44 Jul-04 0.08
Aug-01 1.01 Aug-02 -0.06 Aug-03 0.22 Aug-04 1.33
Sep-01 0.73 Sep-02 0.13 Sep-03 0.93 Sep-04 0.53
Oct-01 1.28 Oct-02 0.73 Oct-03 1.32 Oct-04 0.03
Nov-01 1.21 Nov-02 0.16 Nov-03 -0.08 Nov-04 0.79
Dec-01 0.19 Dec-02 0.06 Dec-03 0.32 Dec-04 0.24


You can read Markopolis's SEC letter here or here.