A chance encounter brought Harry Markopolos and Bernie Madoff together (so to speak) in 1999.  Harry, then a money manager with Boston-based Rampart Investment Management, was asked by Rampart's managing partner to replicate the remarkably steady investment returns of a secretive New York hedge fund manager.  Bernie Madoff was delivering monthly net returns of 1-2% using a split-strike conversion strategy.  

Unable to match Bernie's performance, Harry concluded that Bernie could not legally pull off those results - which meant he must be front-running or running a Ponzi scheme.  Harry continued his attempts at deconstructing Bernie's strategy without success;  Harry couldn't even find evidence that the market was responding to any Madoff trades, even though Bernie had an estimated $6 billion under management.  This led Harry to conclude that Bernie wasn't even trading.  he was either a month .

With the help of colleagues at Rampart, Harry continued to probe into Bernie's operation.  Finally, out of concern, Harry filed a formal complaint with the Boston office of the SEC in the spring of 2000.  The SEC took no action.  Markopolos sent a more detailed submission to the SEC in 2001, and even offered to go to Madoff's offices undercover, obtain the trading tickets and compare them with the options markets tape. This submission also passed with no action.   The rest is history, as we know it, and which you can continue reading on Wikipedia. 

Or, you can go to a movie theater and see the documentary "Chasing Madoff," an ode to whistle-blower Harry Markopolos.  Yes, we must look past a couple of shortcomings with the movie - (i) it reportedly dwells too much on Harry's paranoia that Bernie will order a hit on him - so much so that Harry begins "packing heat" and making daily checks under his minivan in search of bombs;  and (ii) we all know how and when the movie ends.  Nevertheless, financial types are bound to enjoy the story line when Harry butts heads with SEC staffers who either were incompetent or didn't want to hear what Harry was trying to tell them.  

For a review of the movie - starting Harry Markopolos and directed by Jeff Prosserman - go to:   [Metacritic, where the movie had a composite rating of 52/100 from 10 critics, or simply get your hands on any newspaper in your office.