If I were running a Ponzi scheme, and I needed to generate fake results, I might ask developers to create a program that generated a month's worth of random trades (perhaps explaining that this was a way to test the expected commission + slippage of a strategy that covered a given volume and mix of securities). Then I'd run it twenty times and pick the top result. Being in the 95% percentile every month was close to what Madoff did; he never showed extraordinary profits (except to people who were apparently in on it), but did show incredibly consistent returns of ~1% per month.