tag:blogger.com,1999:blog-7905515.post8640549319360914549..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: Credit Suisse Arb Index FishyEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-7905515.post-11219453649061131772011-09-22T09:34:24.204-05:002011-09-22T09:34:24.204-05:00Absolutely, you have nailed it Mr. Falken. The hi...Absolutely, you have nailed it Mr. Falken. The hindsight bias stuffed index is one of the greatest (and costliest) investment hoaxes of all time. Line up the suckers!!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-66855290808651752732011-09-22T08:13:50.210-05:002011-09-22T08:13:50.210-05:00All references to CSIARBUS on the Web seems to be ...All references to CSIARBUS on the Web seems to be to Eric's post or echos thereof. Also I can't find an actual traded product based on the index, though CS does offer similar ETNs, CSMN based on index HSGMN, and CSLS based on index CSLABLN. Both those indices have authentic-looking historical data, unlike CSIARBUS.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-30924402991833876262011-09-22T06:58:47.197-05:002011-09-22T06:58:47.197-05:00Check out SGIXEM6, Soc Gen's "Emerald&quo...Check out SGIXEM6, Soc Gen's "Emerald". In my experience, all of the complex structured index products the investment banks create unrealistically optimised and then peddled oblivious buyers. It's an easy game to estimate the issue date of the structured product on one of these indices based only on the index line (eg eyeball when the sharpe go from >2 to <0)Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-24746603283220600952011-09-22T05:26:06.715-05:002011-09-22T05:26:06.715-05:00that clears my question. all bb says is "begi...that clears my question. all bb says is "begins 01/01/02". I guess they should show distinctly the part that is just hypothetical.B. A.noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-20884821296703884492011-09-22T03:21:35.055-05:002011-09-22T03:21:35.055-05:00As you said, the index got launched this year and ...As you said, the index got launched this year and the rest is just the "theoretical" performance if it had been run over the last decade i.e. just backtesting, not real investable returns. The chart of bbg gives the wrong impression to naive investors that the index has performed in the past which is far from the truth. Anyone can construct a index that has performed brilliantly over the past time series, especially when I have 10 strategies to combine!Ashwinhttps://www.blogger.com/profile/12538605904825633269noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-52874019462332596352011-09-22T02:05:24.853-05:002011-09-22T02:05:24.853-05:00basic question - if it is dodgy, how did they get ...basic question - if it is dodgy, how did they get away with it for so long? it is difficult to assume plain fraud, like madoff, or stuff like fake trades with non-existent cpties. control functions can easily check the valuation of the assets behind, it's "US names". it's simple arithmetic, not fancy mark to model.B. A.noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-47295467084414120522011-09-22T01:00:53.106-05:002011-09-22T01:00:53.106-05:00SGIXDVU2 INDEX is another exampleSGIXDVU2 INDEX is another exampleAnonymousnoreply@blogger.com