Documents showing details of Bernard Madoff's funds highlighted major discrepancies that should have acted as warning signals to investors, including returns inconsistent with his investment strategy but consistently beating his peer group, a surprising lack of large companies among his investments, and a market for US share derivatives simply too small to build the hedges he claimed to use.

A study of the documents by New York hedge fund research company Infovest21 showed Madoff's funds suffered neither losing years nor losing quarters, and only five negative months, since 1996. Peers in the equity market neutral investment strategy Madoff's funds pursued, lost money in six months just last year.