In 2008, as the global economic crisis continue devastating the markets a new scandal bursts. The funds managed by Bernard Madoff collapsed and were based on a fraud. Using the split strike conversion, strategy Madoff claimed to use in his portfolios, a comparative study was made, when analyzing the strategy and the returns of some of the hedge funds in Brazil. The period of the analysis was from 2003 to 2008. Using some of the lessons from the fraud the Brazilian legislation was analyzed. This work concludes that the strategy that Madoff claimed to be the ration behind his high profitability and low volatility does not provide interesting results. Regarding the Brazilian legislation this work concluded that Ponzi schemes are not likely to occur within the regulated environment.