Financial Analyst Henry Markopolous Determines that Bernard Madoff's Returns are Impossible

Boston-based Frank Casey, former vice president of marketing for Rampart Investment Management, first hears about Madoff and his split-strike conversion strategy from French aristocrat and fund manager Thierry de la Villehuchet.

He asks his colleague Harry Markopolos to do some reverse engineering on Madoff's trades. "I said, 'Harry, if you can do this for me, we can make a lot of money,'" he recalls. "Harry started engineering, looking at it and dissecting the returns. And after four hours of work or so, came up and said, 'Frank, this is a Ponzi scheme.' I said, 'Harry, that's a strong word.' ... And Harry says: 'Look at this. The market goes down. He's not hurt at all. He produces 1 percent. Market goes up, he produces 1 percent.'"

Massachusetts financial analyst Harry Markopolos tries to alert financial regulators to Madoff's fraud, saying his alleged trading strategy could never yield such continuously positive returns. The US securities and exchange commission ignores his warning several more times over the next few years.