Asset Management Alternatives Quarterly Q3 2012 - Credit Suisse

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Asset Management
Alternatives Quarterly
Q3 2012
2 Credit Suisse Asset Management Alternatives Quarterly
Table of Contents
Message from the Chief Investment Officer 3
Hedge Funds 4
Credit Strategies 12
Commodities 15
Private Equity 16
Emerging Markets
17
About the Asset Management Alternatives Quarterly
Credit Suisse Asset Management’s Alternatives Quarterly offers investors authoritative insight on economic trends and capital markets
around the world, spanning a wide spectrum of asset classes and investment styles.
Drawing directly from our mission to share knowledge and provide focused investment solutions to investors worldwide by leveraging
the firm’s best ideas, access, resources and capabilities, the publication compiles views from our Chief Investment Officer on current
macroeconomic and investment themes as well as a range of analyses from our leading alternatives portfolio managers on the trends
and opportunities shaping today’s financial markets.
We hope you find the insights in this publication to be an important tool in helping you develop solutions and investment strategies.
For more information or to comment on any views expressed here, please contact your Credit Suisse relationship manager.
Alternatives Quarterly Credit Suisse Asset Management 3
Message from the Chief Investment Officer
Stefan Keitel
Global Chief Investment Officer
Credit Suisse Asset Management and Private Banking
Global challenges remain, but setbacks provide buying opportunities
In the first half of 2012, global capital markets remained in the familiar “risk-on/risk-off” pattern. During the first quarter, coordinated
stimulus from global central banks sparked a visible upswing in risky asset prices. A different story emerged in the second quarter, however,
as the Greek government’s haircut for private-sector bondholders, Spanish banks’ recapitalization needs, French and Greek elections and
continued fears of a Eurozone break-up renewed investors’ concerns about Europe’s economic future. Slowing growth in the US, China
and the Eurozone periphery, in particular, also weighed on prices. All in all, global equities dropped 5% to 15% in the second quarter,
depending on the market. Commodity prices followed suit, posting poor year-to-date returns.
As risk aversion ensued, US Treasury yields hit new historically low levels as investors continued to seek shelter amid economic and
financial uncertainty. In this context, a key question comes to the fore: When will capital markets be ready to stabilize?
Our current view is for markets to stay volatile in the short term, but visibly stabilize in the latter part of this year. We believe sluggish global
growth and Eurozone concerns will continue to weigh on investor sentiment, but these worries have, to a certain extent, already been
priced into the markets. Additionally, we see the outcomes of the June European Union (EU) summit as steps in the right direction. In our
view, any steps towards resolving the Eurozone debt crisis will largely derive from policy action, and we are optimistic that central banks will
follow suit to provide the sustainable relief demanded by capital markets.
Asset Allocation Views
In this light, we have increased our allocation to equities after the expected market correction in March to May, as part of our real-asset
strategy. We increasingly prefer the more countercyclical and lagging markets (namely in the Eurozone) over the more defensive ones
(i.e., US and Switzerland), with a moderate overweighting in emerging market (including China, Korea and Russia) and UK equities. Our
decision stems from the following views: Slow but positive economic growth in core markets, healthy inflation expectations and further
central bank action with strong liquidity support in a persistently low-yield environment should support equities going forward. We reiterate
our recommendation to use market corrections as an opportunity to add to positions. But, as noted previously, the road is unlikely to be
smooth, especially in the short term.
Within fixed income, in this prolonged cycle of negative real yields, we believe that high-grade government bonds offer limited upside
potential with yield levels inconsistent with our overall scenario. Additionally, we expect the flight to safety to gradually fade later this year.
Therefore, we continue to prefer corporate and high-yield bonds. In particular, we believe the latter—even after posting gains year-to
date—still offer attractive yields and potential for price appreciation should yields tighten further as we expect.
We believe currencies will remain range-bound based on tight interest-rate differentials across the developed world, as well as sluggish
growth in all core markets. That said, it is increasingly likely that central banks, including the US Federal Reserve, will ease monetary
conditions once again in the second half of the year, which should shield the Euro from future depreciation against the US Dollar.
Turning to commodities, we maintain our strategic overweight position on gold based on general currency mistrust and the negative real-
yield environment within developed markets. Further, oil prices should stabilize after having factored in macroeconomic weakness and
largely priced out the Middle Eastern geopolitical risk premium from the first quarter of 2012.
Alternative assets, such as hedge funds, performed relatively well in the second quarter and outperformed many global equity indices,
including the S&P 500.
1
We believe hedge funds, particularly global macro managers, will be well-positioned to add value in the second
half of the year. Given the expected continued volatility in global capital markets, we are also focused on uncorrelated strategies, including
relative value, managed futures and insurance-linked strategies, as well as foreign exchange strategies, given their attractive liquidity profile.
(1) In the second quarter of 2012, the Dow Jones Credit Suisse Hedge Fund Index outperformed the S&P 500 by 99 bps.
Source: Dow Jones Credit Suisse Hedge Fund Indexes (www.hedgeindex.com)
4 Credit Suisse Asset Management Alternatives Quarterly
Hedge Funds
Fundamental Strategies
Sebastien Fiaux
Head, Fundamental Strategies Research, Alternative Funds Solutions
Managers have generally reduced gross and net exposures during the second quarter, but opportunities remain in

credit-driven strategies

ȷ
Following the first quarter’s rallies in both credit and equity markets, the second quarter was marked by lingering concerns over
European sovereign-debt issues. As a result, managers generally reduced their gross long and net exposures, exited or trimmed
profitable positions and increased their cash levels, shorts and hedges.

ȷ
Notwithstanding these challenges, corporate credit restructuring and liquidation processes continued to unfold as expected during the
quarter. Contributions to credit event-driven manager gains include:


Pricing resilience and lower correlation of leveraged credit markets during the second quarter’s equity market pullback;


Continued investor appetite for high yielding securities in the current low-yield environment;


Specific events occurring within individual names (e.g., refinancings, restructuring court decisions, asset sales);


Increased loan volumes year-to-date, as issuers push out their upcoming maturities (“amend-to-extend”)
(Display 1)
; and


Attractive premiums on European senior-secured credits.

ȷ
In view of limited activity in the space and low overall arbitrage spreads, merger-arbitrage managers continue to be moderately
active, focusing on strategic cash deals with a high likelihood of completion. However, we believe this sector may offer interesting
opportunities going forward, supported by a improving M&A outlook, low interest rates for financing costs and abundant cash that
can provide managers with hard-catalyst and liquid opportunities.

ȷ
The special-situations environment has been somewhat challenging for individual stocks, but focus has been on sourcing
investments with limited beta correlation and shorter-duration catalysts. Managers have selectively deployed capital to
investments that are idiosyncratically event driven, as opposed to those where there is no known catalyst to unlock value.
Despite being bullish on selective opportunities with limited market correlation, managers also remain mindful of potential
market corrections and volatility.
Display 1: Robust amend-to-extend loan volume in 2012, as issuers push out upcoming maturities
As of May 31, 2012
Source: S&P LCD
Jan-11
$3.6
$1.1
$5.7
$17.9
$3.8
$2.0
$0
$0
$0
$0
$0
$1.4
$1.6
$12.7
$12.5
$3.6
$8.0
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Monthly Institutional Amend-to-Extend Loan Volume (US$ Billions)
Alternatives Quarterly Credit Suisse Asset Management 5
Hedge Funds
Fundamenta
l Strategies (cont’d)
Vanita Gaonkar

Director, Fundamental Strategies Research, Alternative Funds Solutions
Long/short managers capitalize on higher dispersion among stocks in the second quarter

ȷ
Long/short equity hedge funds have posted gains year-to-date. While global economic activity is a long way from its previous
strength, long/short managers were able to capture opportunities in an environment of declining correlation levels and higher
dispersion among stocks.

ȷ
Generally, managers generated alpha on the long side via financials and cyclical sectors in the early part of the year. Managers
were successful in monetizing some of these gains, and rotated into more defensive areas (i.e., utilities and consumer staples)
ahead of the market downturn in the second quarter.

ȷ
On the short side, managers benefited from select shorts in financials, technology, industrials and consumer names. Overall,
managers increased their net exposure to take advantage of an overall slightly positive economic environment, but remain nimble
in light of continuing challenges stemming from the European debt crisis and a potential further slowdown in the US and

emerging markets.

ȷ
Moving forward, managers remain cognizant of the macroeconomic risks facing equity markets, but continue to find attractive
investment opportunities, on both the long and short sides. Despite the uncertainty in global equity markets, we believe managers
are finding plenty of attractive long opportunities in companies with strong balance sheets, good earnings and reasonable
valuations. As seen in
Display 2
below, widening spreads between US equity and government bond yields may indicate
attractiveness of equities as an asset class going forward.
Display 2: Widening spreads between S&P 500 earnings and US 10-year bond yields indicate a positive secular trend for
equity performance
As of May 31, 2012
Source: JP Morgan Research
Rolling 12M Average, 1962 - May 2012
6
4
2
0
-2
-4
1962
Spread (%)
1967
1972
1977
1982
1987
1992
1997
2002
2007
2012
6 Credit Suisse Asset Management Alternatives Quarterly
Hedge Funds
Relative Value
Yung-Shin Kun
g
Head, Relative Value Research, Alternative Funds Solutions
Flexible credit managers with conservatively positioned portfolios see opportunities in volatile markets

ȷ
In the second quarter of 2012, government bond prices rallied in safe-haven countries, such as US and Germany, as concerns
mounted over a worsening Eurozone crisis and weakening economic data in the US. 30-year German bund yields fell below 30-

year Japanese government bond yields, while long-end US rates touched new lows. A directional bias towards curve-steepening
proved costly in the quarter, as lower growth expectations, technical dynamics and risk aversion kept curves flat.

ȷ
Managers were relatively conservative during the second quarter—particularly in Europe. Gains were realized in crowded tail-risk
hedges. However we expect policy-driven interest-rate moves to increase volatility and set a floor on premiums available to liquidity
providers. This—combined with yield curve distortions resulting from quantitative easing, such as the extension of Operation Twist

in the US—should provide a favorable backdrop for fixed income managers.

ȷ
In the agency mortgage-backed security (MBS) market, the US government’s efforts to alter refinancing rules (i.e., Home

Affordable Refinance Program) are driving an increase in prepayment rates more than the level of interest rates themselves. In

our view, this distortion has created a compelling carry opportunity for agency derivative specialists, since policy risk seems more
difficult to hedge than duration risk.

ȷ
Turning to non-agency MBS, managers continue to see attractive loss-adjusted yields in a market that is now approximately 90%
below investment grade, with many traditional holders unable to invest due to restrictions around investing in lower-quality credit.
However, base case manager-underwriting assumptions (e.g., loan loss, prepayment speeds, default rates, home price values)
appear conservative, given the green shoots that have emerged in the US housing market. For example, the CoreLogic Aggregate
Home Price Index has risen 3.8% on a seasonally-adjusted basis over the first four months of the year. As such, we believe that
properly-managed structured credit portfolios are attractive, with healthy yield margins over “risk-free” assets, such as US Treasuries.

ȷ
Given that the convertible bond market appears to be approaching new lows
(Display 3)
, this defensive approach has served
investors well as convertible arbitrage managers have generated solid returns through May (+3.74% according to the Dow Jones
Credit Suisse Broad Convertible Arbitrage Hedge Fund Index). Currently, approximately 46% of the global convertible bond market
(by market value) comprises equity-sensitive names compared to 33% in the fourth quarter of 2011. Managers are consequently
showing more interest in volatility trades. However, given the uncertainty in the current environment, portfolio positions generally
continue to be duration neutral and balanced across bond floor, credit and volatility trades.
Display 3: Convertible bonds are approaching lows seen in 2011, creating relative-value opportunities
Data from January 1, 2011 to May 31, 2012. “Richness” and “cheapness” are based on theoretical value.
Source: Barclays
Richness/Cheapness (%)
Jan-11
Mar-11
May-11
Jul-11
Sep-11
Nov-11
Jan-12
Mar-12
May-12
2
3
1
-2
-1
0
-3
-4
-5
US
Europe
Asia ex-Japan
Alternatives Quarterly Credit Suisse Asset Management 7
Display 4: Drop in implied versus realized correlations of S&P 500 top 50 stocks has led to normalization of equity prices
As of June 29, 2012
Source: Credit Suisse
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
0.8
SPX (1M) Implied Correlation (Top 50)
SPX (1M) Realized Correlation (Top 50)
1.2
1
0.6
0.2
0.4
0
Hedge Funds
Relative Value (cont’d)
Yung-Shin Kun
g
Head, Relative Value Research, Alternative Funds Solutions

ȷ
Concerns over tight spreads between corporate credit and risk-free rates, low absolute yields and macroeconomic risks have
underpinned the generally bearish outlook among long/short credit managers. While high-yield prices fell during the second
quarter, US and European non-financial, investment-grade credit yield remained close to historically low levels, reflecting the lack
of bank credit availability and fickle capital-market appetite for risky issuers.

ȷ
At the same time, a drastic decline in the amount of corporate-debt securities held by primary dealers (ahead of the proposed
Volcker Rule) is reducing market liquidity; inventory levels have declined approximately 75% to $50 billion, underscoring the
transformation of broker/dealers from principals to agents. We believe that the structural undercurrents emanating from
bank deleveraging should provide interesting opportunities for flexible, risk-aware credit managers. We also expect near-term
positioning to remain conservative, focusing on US and European high-yield opportunities with liability management and balance-
sheet catalysts as key themes.

ȷ
Quantitative equity market-neutral managers continued to post positive returns in the second quarter of 2012. In contrast to
most other hedge-fund strategies, quantitative equity managers have maintained normal leverage levels, consistent with relatively
range-bound equity markets in the US. Managers have seen rapid rotation of performance attribution across various sets of
models. This has generally disadvantaged narrowly focused managers relative to their more diversified peers. We are monitoring
the impact of lower equity-trading volumes, trading restrictions and new stamp taxes
1
on stocks on quantitative-equity strategies,
but continue to value the unemotional decision-making implicit in model-oriented trading, particularly when equity market are
exhibiting healthy volatility and dispersion.

ȷ
Volatility-trading strategies have posted mixed results in the second quarter of 2012. With the growth of portfolio hedging, as
indicated by implied volatility post-2008, the sensitivity of implied volatility to equity-price movements seems to have declined,
particularly in May. Recently, this has coincided with a cheapening of the S&P 500 index versus single-name skew and a
corresponding drop in implied correlations with respect to realized correlations
(Display 4)
. We see this as a normalization of the
US equity and equity-volatility markets.

ȷ
Despite disappointments in directional-equity volatility trades in May, managers have found interesting relative-value opportunities
in single names, ETFs and ETNs and dividends, as well as inexpensive, long volatility positions in rates. Managers are likely to
continue to trade volatility tactically, taking advantage of specific situations and dislocations as they arise.
Correlation
(1) Stamp tax is a surcharge on the purchase side of a stock transaction.
8 Credit Suisse Asset Management Alternatives Quarterly
USD/BRL Historical Volatility (%)
USD/BRL (Spot)
Display 5: Emerging-market currencies, particularly the Brazilian Real, have weakened relative to the US Dollar
Hedge Funds
Tactical Trading
Bernard Hechinger
Head, Tactical Trading Research, Alternative Funds Solutions
Return to risk-off environment led to mixed performance, with bearish managers profiting

ȷ
During the second quarter, economic indicators disappointed across geographies, with deteriorating US employment data leading
to speculation about further quantitative easing by the Fed. The resulting sharp drops in long-dated Treasury yields to new lows
hurt many macro managers who had expected static short rates, but were positioned for a steepening of yield curves. Additional
concerns included the growth slowdown in China and the uncertainty surrounding the scope of a policy response. Markets
reacted to the global slowdown by returning to the risk-off pattern of the latter part of 2011.

ȷ
Global macro performance was mixed, rotating in favor of bearish managers who had actually underperformed in the first quarter
equity-market rally. In fixed income, while many managers shorted French and Dutch bonds vs. German Bunds in the first
quarter—as spreads tightened ahead of the French presidential elections—they have since reversed their positions, as both Italian
and Spanish bond yields widened further. “Safe-haven” flows pushed two-year German Schatz yields temporarily into negative
territory. Unlike the two previous quarters, bank funding spreads to LIBOR experienced less variability, as investors remained
confident that these institutions would continue to finance themselves via the ECB’s Long-Term Refinancing Operation (LTRO) or
receive further support via recapitalization and nationalization measures, like those seen in Spain.

ȷ
Growth-sensitive asset classes were under pressure in the second quarter. Emerging-market currencies, particularly the Brazilian
Real
(Display 5)
, weakened on fears of Euro exit(s) and its potential impact on global growth. Managers with bullish expectations
on emerging-market currencies were surprised by the sizeable, sustained US Dollar and Japanese Yen safe-haven rallies, which
resulted in significant profit givebacks from the first quarter. In contrast, short Euro and Australian Dollar positions made positive
contributions.

ȷ
In commodities, the Saudi-led OPEC production push added downside pressure to oil prices. Diversified commodity managers
with longer-dated demand themes lost significantly more than their tactical peers, who were able to preserve previous gains.
Despite macro headwinds, certain sectors continued to display a surge in prices due to idiosyncratic opportunities (e.g., US
natural gas) or serious supply dislocations (e.g., soybeans).

ȷ
Managed futures posted balanced returns with shorter-term trend followers outperforming—particularly in May—while those with
longer outlooks suffered losses, as signals were adversely affected by market volatility.
As of June 29, 2012
Source: Bloomberg
USD/BRL Historical Volatility 3M & Spot (12M History)
Jul-11
Sep-11
Oct-11
Nov-11
Aug-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
18
16
20
22
24
2.0
2.1
2.2
1.8
1.9
1.7
10
14
12
1.6
1.5
USD/BRL Hist Vol 3M (%)
USD/BRL Spot
Alternatives Quarterly Credit Suisse Asset Management 9
Hedge Funds
Hedge Fund Replication
Jordan Drachman, Ph.D.
Head of Liquid Alternative Beta Strategies
Models point to high-yield bonds, emerging markets and tech stock exposure; merger arbitrage muted

ȷ
The Credit Suisse event-driven replication model continues to show significant exposure to high-yield bonds. This suggests that,
as interest rates remain at all-time lows and global macroeconomic concerns continue to suppress equity markets, hedge funds
are turning to high-yield bonds in an attempt to generate some level of yield. This exposure has paid off as the high-yield bond
factor was the only position to have a positive contribution in the second quarter.

ȷ
Similarly, our long/short equity model is pointing to sizeable positions in emerging markets and NASDAQ stocks, both of which
would imply that hedge-fund managers are actively searching for opportunities in areas of higher expected growth.

ȷ
Merger deal volume continues to be modest when compared to historical levels
(Display 6)
. The percentage level of cash held
on corporate balance sheets has also ticked downwards relative to previous quarters
(Display 7)
. These observations support the
current lack of exposure to merger arbitrage in the event-driven replication model.
Display 6: Global merger-arbitrage activity remains
modest in 2012
Display 7: US non-financial corporate cash as percentage

of total assets has decreased over the past two years
As of June 29, 2012
Source: Bloomberg, Credit Suisse
As of March 31, 2012. Reflects latest data available.
Source: Bloomberg, Federal Reserve Board
4.9
600
4.7
4.8
700
800
400
4.6
500
200
4.5
300
100
US$ Billions
0
4.4
%
Sep-10
Sep-10
Jun-10
Mar-10
Mar-10
Dec-10
Dec-10
Dec-11
Dec-11
Sep-11
Sep-11
Juln-11
Juln-11
Jun-12
Mar-12
Mar-12
10 Credit Suisse Asset Management
Alternatives Quarterly
Note: To find out which Credit Suisse’s Insurance Linked Strategies and related offerings are available in your region, please contact your Credit Suisse relationship manager.
Hedge Funds
Insurance Linked Strategies
1
Niklaus Hilti
Head, Insurance Linked Strategies
Following price declines, catastrophe bonds rebounded in the second quarter amid limited loss activity

ȷ
We continue to see strong reinsurance buying activity, particularly from prime insurers, driven by a tightening regulatory environment
(i.e., Solvency II), residual catastrophe loss activity in 2011, risk model changes
2
and capital market volatility stemming from the
European sovereign debt crisis.

ȷ
Loss activity in the second quarter was low, with a limited number of events affecting the insurance market. In May, a magnitude
6 earthquake hit Northern Italy and was followed by four large aftershocks, with magnitudes ranging from 4.7 to 5.8. The initial
insured loss estimates from these events range from $350 to $850 million.
3
In June, Typhoon Guchol made landfall in Japan with
maximum wind speeds of 130 knots. Initial estimates of insured losses are below $500 million.

ȷ
Price declines in the hurricane-exposed catastrophe (CAT) bond market earlier in the year (due to high primary-issuance levels),
were followed by price increases, since new issue activity slowed. The Swiss Re CAT Bond Price Return Index surged in early June
(Display 8)
with strong demand, reversing the seasonal spread widening typically seen at this time of year (as US wind-exposed
areas typically become “at risk” during the hurricane season). We have seen strong new issuance demand from a range of new
investors (particularly hedge funds) attracted to the CAT bond market. For example, the Everglades Re transaction in April 2012
became the largest single CAT bond deal ever launched, growing from an initial target launch size of $200 million to $750 million.

ȷ
As of this writing, the latest hurricane forecasts are predicting 2012 activity to be below that recorded over the last five years, but
in line with, or slightly above, the long-term average. However, it is worth noting that forecasts at the beginning of the hurricane
season tend to be less reliable than those in early August.
Display 8: Performance of Swiss Re CAT bonds rebounded in June 2012
(1) Typically, insurance linked strategies invest in insurance events and returns are directly linked to the occurrence or non-occurrence of pre-specified insurance events.
Investments can be spread across different risk classes, such as natural catastrophes, aviation or marine, and different instruments (such as catastrophe bonds and
private transactions).
(2) Risk Management Solutions, one of the major providers of industry-risk models, recently changed the underlying assumptions for their models both in terms of

exposure (i.e., property exposed to catastrophes) and the severity of events.
(3) Source: Equecat. As of June 2012.
Jan-12
Feb-12
Mar-12
Apr-12
Mar-12
Jun-12
92.5
92.0
91.5
91.0
90.5
90.0
Swiss Re CAT Bond Price Return Index
As of June 30, 2012
Source: Bloomberg
Alternatives Quarterly Credit Suisse Asset Management 11
Hedge Funds
Securitized Products
Albert Sohn
Chief Investment Officer, Securitized Products
Cory DeForrest
Product Specialist, Securitized Products
Non-Agency RMBS offering attractive yields at present, supported by a stabilizing US housing market

ȷ
In the second quarter of 2012, non-agency RMBS prices in both US and Europe were supported by a number of positive
factors, including the announcement of the Granite UK RMBS tender offer,
1
a stabilizing US housing market and, most
importantly, a continued influx of capital into the asset class. Securitized products’ synthetic indices rallied sharply, outpacing cash
bonds. We believe the sector appears well-positioned to rally in the second half of the year, based on favorable fundamentals in
the US housing market, as well as increased demand for higher-spread products.

ȷ
In the US, home prices, including distressed sales, increased nationwide on a year-over-year basis by 2.0% in May 2012
compared to May 2011. According to CoreLogic, home prices, including distressed sales, increased by 1.8% in May 2012
compared to April 2012. The May 2012 figures mark the third consecutive increase in home prices nationwide on both a year-
over-year and month-over-month basis
(Display 9)
. Case-Schiller data echoed this strength as the index posted its first three-
month winning streak in two years.

ȷ
We believe another positive development for securitized products was the release of the Fed’s better-than-expected market
risk capital rule.
2
When compared to earlier proposals, the final rule is less onerous in its treatment of downgraded yet highly
enhanced bonds (which corresponds to the majority of the RMBS and CMBS market). While the previous methodology
focused more on historical losses, the current rules, in our view, better reflect market pricing by looking through to the collateral
performance of the borrower.
Display 9: US home prices, including distressed sales, increased in the second quarter
(1) In May 2012, UK lender Northern Rock Asset Management Plc offered to buy back mortgage bonds issued under its Granite program.
(2) In June 2012, the Fed approved a final rule to implement changes to the market risk capital rule, which requires banking organizations with significant trading activities
to adjust their capital requirements to better account for the market risks of those activities. For more information, please see: http://www.federalreserve.gov/
newsevents/press/bcreg/20120607b.htm
Jan-02
Sep-03
May-05
Jan-07
Sep-08
Mar-10
Jan-12
10
20
-10
0
-20
Including Distressed Sales
Excluding Distressed Sales
Note: To find out which Credit Suisse’s Insurance Linked Strategies and related offerings are available in your region, please contact your Credit Suisse relationship manager.
Change in US Home Prices (%)
As of May 31, 2012
Source: CoreLogic
12 Credit Suisse Asset Management
Alternatives Quarterly
Credit Strategies
US Senior Secured Loans
John G. Popp
Global Head, Credit Investment Group
Senior loans continue to present attractive relative value compared to other fixed income sectors

ȷ
The senior loan market exhibited overall positive performance in the second quarter of 2012, with the Credit Suisse Leveraged
Loan Index finishing up 1.01% for the quarter with monthly returns of 0.78%, -0.51% and 0.74% for April, May and June
respectively. While May was the first negative month for the asset class since November 2011, the market recovered its losses in
June. The three-year discount margin for senior loans widened to 602 bps at the end of June from 588 bps at the end of March.

ȷ
CLO issuance has been a significant driver of demand with new deal issuance remaining at elevated levels. Overall, $12 billion in
new CLOs priced during the most recent quarter, making it the highest volume period since 2007
(Display 10)
.

ȷ
Stable retail inflows have also contributed to increased demand for the asset class. Retail mutual funds saw net positive flows
totaling $1.2 billion for the quarter with positive flows in all three months, according to Lipper FMI. In addition, we continue to see
interest and allocations from pension funds and other institutional investors into senior loans.

ȷ
From a supply perspective, senior loan new-issue activity remained modest in the second quarter, coming in at $79.7 billion,
compared to $133.8 billion in the first quarter of 2012. As capital market volatility increased due to uncertainty over the situation
in Europe, new-issue clearing yields
1
(Display 11)
widened and opportunistic deal volumes decreased over the course of

the quarter.

ȷ
Default rates fell marginally to 2.04% this quarter, down from 2.11% posted in March 2012. Moody’s trailing 12-month global
speculative grade default rate was 2.67% in June and is forecast at 2.92% for June 2013.
Display 10: CLO volumes remain at elevated levels
Display 11: New-issue clearing yields have increased,

resulting in fewer opportunistic deals
As of June 29, 2012
Source: S&P LCD, Credit Suisse
As of June 29, 2012
Source: S&P LCD, Credit Suisse
20
9
Average First Lien Clearing Yield
CLO Volumes
10
6
0
3
US$ Billions
Yield (%)
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
Jun-10
Sep-10
Dec-10
Mar-11
Jun-11
Sep-11
Dec-11
Mar-12
Jun-12
(1) At uniform-price auctions, the market clearing yield is the lowest yield such that the cumulative dollar amount of bids with lower yields equals the total outstanding
dollar amount of the issue at par value. The market clearing yield is the yield that all holders of the security earn over the interval until the subsequent auction.
Alternatives Quarterly Credit Suisse Asset Management 13
Credit Strategies
US High Yield Bonds
John G. Popp
Global Head, Credit Investment Group
High-yield market exhibits gains despite slowing activity in the second quarter

ȷ
The Bank of America Merrill Lynch High Yield Master II Constrained Index returned 1.79% for the quarter, with returns of
1.01%, -1.23% and 2.03% for April, May, and June, respectively. The average high yield spread widened during the period,
finishing the second quarter at 655 basis points, and the average yield-to-worst ended June at 7.38%.

ȷ
High-yield defaults increased slightly quarter-to-quarter, with JP Morgan’s par-weighted high yield bond default rate rising to
2.2% in June, from 1.9% at the end of the first quarter. The default rate remains well below its historical average of 4.2%. The
US high yield distress ratio, which measures the proportion of bonds trading at spreads of more than 1,000 basis points over US
Treasuries, finished at 13.3% of the market in June compared to 15.5% at the end of March.

ȷ
High-yield mutual fund flows turned negative in the second quarter, with outflows totaling $800 million. This, combined with a
first quarter inflow of $20.6 billion, brought the year-to-date inflow to $19.8 billion at the half-year mark, according to Lipper FMI.
This figure surpasses the $3.7 billion inflow in the first six months of 2011, thus indicating a strong increase in retail demand.

ȷ
New high-yield issuance in the second quarter totaled $54.7 billion compared to first quarter volume of $107 billion
(Display 12)
.
The slowdown in primary markets was largely due to uncertainty regarding Europe and the global economic backdrop. Year-to-
date volume now totals $162 billion, trailing the $182 billion that priced over the same period in 2011, according to JP Morgan.

ȷ
Credit markets have continued to improve against the backdrop of a perceived easing of macroeconomic risk, as signs of resilient
fundamentals in the US mitigate continued Eurozone concerns. Investors have shown more confidence in the credit markets as
demonstrated by record inflows into high-yield funds. We see continued opportunities within the high-yield asset class given the
current stable fundamentals of corporate issuers, combined with a benign credit outlook and an expectation of below-average
default rates through 2012.
Display 12: New high-yield issuance was muted in the second quarter given Eurozone concerns
As of June 29, 2012
Source: JP Morgan
50
40
High Yield New-Issue Volumes
20
30
10
0
Apr-10
Jun-10
Aug-10
Oct-10
Dec-10
Feb-11
Apr-11
Jun-11
Aug-11
Oct-11
Dec-11
Feb-12
Apr-12
Jun-12
US$ Billions
Display 11: New-issue clearing yields have increased,

resulting in fewer opportunistic deals
14 Credit Suisse Asset Management
Alternatives Quarterly
Credit Strategies
US Municipal Bonds
Lori Cohane
Head, US Municipal Bonds
Ovadya Aryeh
Director, US Municipal Bonds
Supply-demand dynamic keeps yields low, but municipals continue to present attractive relative value

ȷ
US municipal bonds (munis) have posted consistent gains this year, with the Barclays Muni Index returning +3.63% through the

first half of 2012. In our view, this year’s muni rally has been due to a few factors: a) a contraction in US and global growth, resulting
in an ongoing flight-to-quality trade that benefits munis; b) overall relative value of muni-to-Treasury yields; and c) supply-demand
imbalance, with large amounts of cash flowing into the asset class and limited new issuance to satisfy the increased demand.

ȷ
Although muni yields have decreased this year, they remain cheap to Treasuries on a relative basis. Historically, 10-year munis have
traded at 82% of 10-year Treasury yields; currently, the ratio is at 114%
(Display 13)
. We believe this relative cheapness continues
to keep participants in the market, and it encourages non-traditional crossover buyers (i.e. hedge funds, other tactical fixed income
managers) to enter the muni space, particularly at the longer end of the curve.

ȷ
Year-to-date supply in the new issue market has dramatically increased, with $191 billion
(Display 14)
, representing a 63% increase
versus the same period in 2011. This increase was mostly due to a spike in refunding (i.e., refinancing) deals ($83 billion, or 45%
of year-to-date issuance) that have been brought to market in this low-rate environment. On the demand side, muni bond fund flows
experienced 30 consecutive weeks of inflows, bringing 2012 year-to-date totals to over $26 billion. Additionally, large amounts of
outstanding bonds have matured or were called. The combination of consistent muni fund inflows, conversion to cash of existing
bonds and issuance comprised largely of refunding deals has increased sums of investable cash in this market.

ȷ
Issuance typically slows down in the summer months, and bond calls/maturities from June through August are expected to set a

new record high, likely creating a very strong technical period for munis.

ȷ
The potential for negative news related to specific municipalities or municipal issuers continues to exist, underscoring the

importance of proper credit selection when investing in a universe of over 50,000 different issuing entities in the US muni market.
Display 13: Munis appear cheap to Treasuries…
Display 14: ...With high new issuance driven by refinancings
As of June 29, 2012
Source: Municipal Market Data (Thomson Financial) and Bloomberg
As of July 1, 2012
Source: The BondBuyer
12
Historical Muni Yields
200
10
6
120
8
160
4
80
2
40
0
0
1982
1988
1994
2000
2006
2012
10yr Muni Yield (lhs)
10yr Muni Yield (%)
Ratio to Treasuries (%)
10yr Muni/Tsy Ratio Yield (rhs)
Avg. Historical Ratio Yield
100
500
80
400
60
300
40
200
20
100
0
0
2002
2004
New Money
Refunding
Combined
Total Issuance (rhs)
2006
2008
2010
2012E
Decade of Municipal Issuance
Purpose of Issuance (%)
Total Issuance (US$ Billions)
Alternatives Quarterly Credit Suisse Asset Management 15
Commodities
Nelson Louie
Global Head, Commodities Group
Christopher Burton, CFA
Portfolio Manager, Commodities Group
Ongoing Eurozone crisis and slowing growth momentum continue to put pressure on commodity prices

ȷ
Commodities were down 4.55% in the second quarter of 2012, as measured by the Dow Jones-UBS Commodity Index Total
Return. The worsening economic environment in Europe and a perceived slowdown in China have raised concerns of a possible
softening in underlying consumption for economically sensitive commodities, such as petroleum and base metals. These concerns
were eased somewhat by the end of the quarter, as global markets reacted positively to outcomes from the June EU summit.

ȷ
Beyond the uncertain demand outlook, we believe commodities will continue to face global supply shocks and may benefit from a
potential upswing in prices. Key factors that we believe may contribute to further supply shocks in 2012 include:


Agriculture remains vulnerable to non-cyclical weather disruptions. For example, the recent increase in corn prices was due to
hot, dry weather in the US Midwest which led to deteriorating crop prospects and lowered yield expectations for grains. Corn
rated in good or excellent condition fell to 56% of the total crop output compared to the five-year median of 70%, nearing a five-
year low of 61%, last observed in 2008
(Display 15)
;


Despite a perceived oversupply, natural gas prices rebounded in the second quarter. Hot weather in the US and continued coal-
to-gas switching drove power generation demand. This led to smaller-than-expected weekly storage injections, as reported by the
Department of Energy; and


In base metals, obtaining new mining capacity has proven more difficult and expensive, while labor disputes continue to threaten
existing production. We believe this may bode well for component prices as macroeconomic risk, at some point, subsides.

ȷ
As we move into the second half of the year, we believe that the key driver of commodity prices will ultimately be global growth.
While we continue to hold the view that global GDP growth will be stronger in the second half of the year than the first, the
ongoing downswing in cyclical momentum is becoming more concerning and should be closely monitored.
Display 15: US corn crop conditions are down versus their five-year range and median
As of July 5, 2012
Source: Bloomberg, US Department of Agriculture, Credit Suisse
80
75
70
65
60
US Corn in Excellent and Good Condition

(% of Total Crop)
55
50
1
5
3
five-year median
Five-Year Range
2012
2011
7
10
12
15
18
21
11
14
17
20
13
16
19
22
2
6
9
4
8
Weeks in the Crop Year
16 Credit Suisse Asset Management
Alternatives Quarterly
Private Equity
Kelly Williams
Head, Customized Fund I
nvestment Group
David Weissman
, CFA

Vice President, Customized Fund Investment Group Market Research
Amid challenging fundraising environment, appetite increases for mezzanine and distressed debt

ȷ
Institutional investors continue to be selective and disciplined in making private equity (PE) commitments primarily due to the large
number of offerings in the market and more rigorous diligence in vetting recession and post-recession performance. At the same
time, increased competition has led to a new high in the length of time for US buyout funds to reach final closing. According
to Preqin, in the first half of 2012, the average time for US buyout funds to reach a final close was approximately 21 months
(Display 16)
. This is nearly twice as long as the average closing time in 2005.

ȷ
Year-to-date, there have been more buyout funds raising in excess of $300 million year-to-date compared to the same time
period at the peak of the market in 2005. According to Preqin, there were a total of 81 US buyout funds raising more than $300
million in 2012, of which 10 were US mega-buyout funds. This compares to a total of 75 US buyout funds that raised above
$300 million in 2005, of which only four were mega-buyout funds. Given that, on a normalized basis, 2012 year-to-date total
fundraising targets would amount to 80% of 2005 figures, which is making the environment for raising capital very competitive, in
our view.

ȷ
Against this challenging environment, we find investors are increasing their appetite for mezzanine investments based on attractive
yields currently averaging 12% and that significant loans made between 2005 and 2008 need to be refinanced.
1
In the US,
approximately $9.1 billion was raised for mezzanine funds through the first half of 2012, up 12% from $8.1 billion raised over the
full year 2011.
2


ȷ
Demand is also strong for distressed-debt investments as macroeconomic conditions remain volatile and as maturing debt
obligations need to be paid or refinanced
(Display 17)
. Further, 2010 and 2011 were record years for new high-yield issuance.
We believe this may be followed by a spike in corporate default rates in coming years, providing a solid pipeline of opportunities for
distressed-debt funds. In our view, value creation for special-situation funds will stem from rehabilitating operations and balance
sheets of distressed companies.
Display 16: Time-to-final closing of US buyout funds

at a new high
Display 17: Investor appetite for distressed debt remains strong
Source: Preqin, June 2012.
(1) Source: Pension and Investments. As of June 2012.
(2) Source: Thomson Reuters. As of June 2012
Source: Preqin. As of July 2012.
30
60
(Annualized)
50
20
50
40
40
30
30
10
20
20
10
10
0
0
0
Months
Fundraising Amount (US$ Billions)
Number of Funds
2005
10.6
11.7
12.7
14.7
17.6
18.7
16.5
20.9
2006
2007
2008
2009
2010
2011
YTD 2012
2000
2002
2004
2006
2008
2010
2012
Distressed Debt Fundraising (lhs)
Number of Distressed Debt Funds (rhs)
Alternatives Quarterly Credit Suisse Asset Management 17
Emerging Markets: Brazil Fixed Income
Ricardo Valente
Portfolio Manager, Fixed Income, Credit Suisse Hedging-Griffo
Franco Veludo
Fixed Income, Credit Suisse Hedging-Griffo
The government’s ongoing stimulus measures should make an impact in the second half of the year,
providing investors opportunities in inflation-linked bonds

ȷ
Concerns continue to linger surrounding low growth prospects in the Eurozone and its impact on the global economy. The
Chinese government acted on this negative sentiment, leading to both fiscal and monetary stimulus measures. The Chinese
central bank cut its benchmark interest rates for the second time in two months from 6.31% to 6.00%.

ȷ
Against this backdrop, Brazil’s growth has declined year-to-date. Market forecasts for Brazil’s GDP growth this year have
converged to below 2%, or lower than half of the 4% expectation from a year ago
(Display 18)
based on slow credit growth (due
primarily to lower consumer demand, in view of current household indebtedness) and weak industrial activity.

ȷ
As a result, the Brazilian government implemented a series of growth measures, as it did in 2008. These include cutting the
tax on Industrialized Products (IPI) on automobiles and household appliances, and creating additional incentives for government
purchases and credit by reducing the long-term interest rate. The government also intervened in the foreign exchange market
by keeping the US Dollar hovering above R$2.0, which, in turn, helped support the country’s manufacturing market by keeping
export prices low.

ȷ
The country’s annual inflation rate fell below 5% for the first time since late 2010. The drop in prices was partially attributable to
the measures implemented by the government (such as the above-mentioned reduction in the IPI rate on automobiles) and the
re-weighting of the IPCA inflation index. Lower commodity prices and a slowdown in domestic consumption also helped mitigate
upward price pressures.

ȷ
We expect that any fiscal impact from the interest-rate cuts and stimulus measures will be felt at some point in the second half of
the year. This scenario remains positive for Brazilian inflation-linked bonds and indicates a better outlook for break-even inflation
positions, as we expect inflation to recover in the second half of the year due to the current stimulus in the economy.
Display 18: Brazilian 2012 GDP expectations are down sharply, prompting government stimulus
As of July 7, 2012
Source: Bloomberg
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Dec-11
5
4
3
2
1
0
Display 17: Investor appetite for distressed debt remains strong
Brazil GDP Growth Expectations (%)
18 Credit Suisse Asset Management
Alternatives Quarterly
Emerging Markets: Brazil Eq
uities
Iram Siqueira, João Luiz Braga, CFA
Mauricio Felicio and Pedro Sales, CFA
Portfolio Managers, Equities, Credit Suisse Hedging-Griffo
Brazilian exporters, namely mining companies, look to Chinese infrastructure for demand

ȷ
Over the past few years, domestic-related sectors (e.g., banks, retail, real estate) have gradually gained more prominence within
the Brazilian equities market. However, export-driven companies (i.e., commodities players) still account for nearly 40% of the
Brazilian Equity Index (Bovespa). In the latter case, stocks’ performance is mostly dependent on global growth prospects and, to a
certain extent, leveraged to expectations regarding the Chinese economy (the world’s largest commodities consumer). Therefore,
recent concerns over a prolonged slowdown in China may not bode well for the Brazilian economy.

ȷ
China’s declining growth trend can be partly attributed to the country’s infrastructure expenses—already at levels much lower than
in previous years—and railroad investments are a clear example of this trend
(Display 19)
. In addition, investments in residential
property have been discouraged by restrictions implemented by the government’s policies around higher down payments and
limitations for second-home purchases. These factors combined may imply lower demand for steel products that, in turn, may lead
to weaker volumes for Brazilian iron ore.

ȷ
Having said this, the Chinese government has already demonstrated greater concern over economic growth, which is said to lead
to “selective easing” focused on fiscal measures. Accordingly, over the past few weeks, various pro-growth measures have been
announced, and many of them are related to the approval of infrastructure projects. In other words, the Chinese government has a
large capacity to implement counter-cyclical measures to contain an economic downturn and thus promote a reacceleration in the
second half of this year. This uptick in demand should have a positive impact on Brazilian mining stocks.

ȷ
In addition, global iron-ore capacity additions are relatively constrained over the next few years. Over the past decade, most
Brazilian infrastructure projects faced delays, stemming from: (1) a difficult credit environment; (2) lack of environmental permits;
(3) CAPEX inflation; (4) lack of skilled labor; and (5) operational challenges. As a result, we expect a tight supply-demand balance
to persist in the iron-ore market for the next few years, supporting prices and further favoring Brazilian mining stocks.
Display 19: Chinese investment in railroads has declined year-over-year
As of June 29, 2012
Source: National Bureau of Statistics of China
Feb
Jan
Apr
Mar
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
250
200
150
100
50
0
2008
2009
2010
2011
2012
-50
-100
Year-Over-Year Percent Change (%)
Alternatives Quarterly Credit Suisse Asset Management 19
As of June 29, 2012
Source: Bloomberg
Emerging Markets: Indian Eq
uities*
Prashant Jain, CFA
Executive Director and Chief Investment Officer,
HDFC Asset Management Company
Despite India

s current challenges, attractive valuations and long-term growth outlook present a

window of opportunity for equities

ȷ
Despite the growth slowdown in emerging markets in the most recent quarter, we believe incremental progress continues to be
made in certain economies, particularly India. As such, we continue to adhere to our time-tested philosophy: Good returns are
seldom made on investments made in good times. Rather, good returns are typically made on investments made in adverse times.

ȷ
The Indian economy is currently facing some well-known challenges, including a high current account deficit (CAD), fiscal deficit and
a nearly 25% depreciation of the rupee (INR). However, we believe these issues can be resolved over time:


The worsening CAD from 1.3% of GDP in 2008 to nearly 3.8%(E) in 2012 is primarily due to an increase in gold imports from
0.4% of GDP in 2008 to 2.3%(E) of GDP in 2012. Based on recent data, we believe the high levels of gold imports are behind us
and gold imports could revert back to their long-term average. This should progressively address the CAD over the next few years.
1



We believe that the sharp depreciation of the INR appears to be excessive. What could support INR going forward are the expected
improvement in the CAD in 2013 as mentioned above, as well as policy steps that improve investment sentiment (notably reducing
fuel subsidies) and moderation in global crude oil prices.


The sharp INR depreciation should also moderate the CAD in 2013 and beyond, by making exports more competitive and

imports costlier.


Steps have been taken by the government in their last budget to reduce the fiscal deficit (i.e., proposal to raise taxes and curb
government spending). We believe a key solution lies in eliminating or sharply reducing government subsidies on diesel. We are
hopeful that this will be addressed in a timely manner.

ȷ
We believe the impact of the European crisis on the Indian economy should be less significant than that on other countries. This is
because India’s exports to, and investments in, the stressed economies of Europe remain small (India’s total exports to the EU was
2.6% of India’s GDP in 2011).
2

ȷ
We believe attractive valuations and a reasonably positive long-term growth outlook present a window of opportunity for Indian
equities. Since early 2008, the MSCI India is down over 20% even though earnings of the underlying companies have increased by
48% in the same time period. Consequently, P/E multiples have come down and are currently more than 20% below the long term
averages
(Display 20)
.
3

Display 20: One-year forward price/earnings multiples for MSCI India trading 20% below long-term averages
3
* Commentary based on June 2012 letter written by Prashant Jain, Executive Director and CIO of HDFC AMC.
HDFC AMC is Credit Suisse’s Indian partner in the long-only asset management space.
(1) Source: HDFC AMC; BoFA-ML Estimates
(2) Source: Ministry of Commerce and Industry, India; Reserve Bank of India. Data for FY 2010-11
(3) Source: Bloomberg. Earnings growth is measured by comparing trailing 12 month earnings per share for MSCI India Index. Data as of June 29, 2012.
25
30
20
Price/Earnings
15
Average Since 2006
10
5
Jan-06
Jan-10
Jan-08
Jan-12
Jan-07
Jan-11
Jan-09
1 Year Forward P/E Ratio
20 Credit Suisse Asset Management
Alternatives Quarterly
Stefan Keitel, Managing Director,

is the Global Chief
Investment Officer for Credit Suisse Asset Management and
Private Banking. Mr. Keitel holds a Masters degree in Finance
(Diplom-Kaufmann) from Mainz University.
Ovadya Aryeh,
Director,
is the Co-Portfolio Manager and Trader
for Credit Suisse Asset Management’s tax-advantaged fixed
income strategy. Mr. Aryeh graduated with honors from Yeshiva
University with a B.S. in Finance.
Joao Luiz Braga, CFA, Director,

is a Portfolio Manager for
Credit Suisse Hedging-Griffo long-only funds with a focus on
financials, consumer, retail, health care and education. Mr.
Braga earned an M.B.A. at the IBMEC Business School, an
Electrical Engineer degree at Escola Politécnicada Universidade
São Paulo and is a CFA charter holder.
Christopher Burton, CFA, Managing Director,

is the Lead
Portfolio Manager and Trader for the Commodities Group. Mr.
Burton earned a B.S. in Economics with concentrations in
Finance and Accounting from the University of Pennsylvania’s
Wharton School of Business. He is a CFA charter holder.
Lori A. Cohane,
Managing Director,
is the Portfolio
Manager and Senior Research Analyst for Credit Suisse Asset
Management’s tax-advantaged fixed income strategy. Ms.
Cohane holds a B.S. in Finance with honors from the State
University of New York at Albany.
Cory DeForrest, Director,
is the Product Specialist of
structured credit and residential real estate assets within Credit
Suisse Asset Management. Mr. DeForrest graduated with a
B.A. from West Chester University.
Jordan Drachman, Ph.D., Director,

is Head of Research for
the Liquid Alternative Beta team. Mr. Drachman has received a
B.S. in Mathematics from Massachusetts Institute of Technology
and Ph.D. in Mathematics from Stanford University.
Mauricio Felicio, Director,

is a Portfolio Manager for Credit
Suisse Hedging-Griffo long-only funds with a focus on
agribusiness, food, infrastructure and logistics, and industrials
and technology. Mr. Felicio has an M.B.A. from Stanford
University and a B.A. in business from the Faculdade de
Economia, Administração e Contabilidade da Universidade

São Paulo.
Sebastien Fiaux, Director,
is Head of Portfolio Management
for the Americas and of Fundamental Strategies Research for
the Alternative Funds Solutions group. Mr. Fiaux earned an M.S.
in Finance, Economics and Statistics from ENSAE, an M.A. in
Political Science from the Institute of Political Science and a
Masters in Financial Engineering from Cornell University.
Vanita Gaonkar, Director,

is on the Fundamental Strategies
Research team for the Alternative Funds Solutions group. Ms.
Gaonkar earned a B.A. in Mathematics and Economics from
Wesleyan University.
Bernard Hechinger, CFA, Managing Director,
is Head
of Portfolio Management for Switzerland and of Tactical
Trading Strategies Research for the Alternative Funds
Solutions group. Mr. Hechinger holds a B.A. from the
University of Pennsylvania and a B.Sc. from the University of
Pennsylvania’s Wharton School. He is a CFA charter holder.
Niklaus Hilti,
Managing Director,
is Head of Insurance
Linked Strategies within Credit Suisse Asset Management.
Mr. Hilti holds both a Pre-Diploma in Mathematics and a
Master’s in Mathematical Physics and Meteorology from
University Basel, Switzerland.
Prashant Jain, CFA, Executive Director,
is the Chief
Investment Officer at HDFC Asset Management Company
Limited. Mr. Jain completed the Post Graduate Program
in Management from the Indian Institute of Management,
Bangalore and has a degree in Technology from the Indian
Institute of Technology, Kanpur.
Yung-Shin Kung, Director,
is Head of Relative Value
Research for the Alternative Funds Solutions. Mr. Kung holds
a B.A. in Economics/Statistics from the University of Chicago
(Phi Beta Kappa).
Nelson Louie, Managing Director,

is Global Head of the
Commodities Group. Mr. Louie holds a B.A. in Economics
from Union College.
John G. Popp, Managing Director,

is the Global Head of
the Credit Investments Group, with primary responsibility for
making investment decisions and monitoring processes for
CIG’s global investment strategies. Mr. Popp graduated with a
B.A. from Pomona College and an M.B.A. from the Wharton
Graduate School of the University of Pennsylvania
.
Pedro Sales, CFA, Director,
is a Portfolio Manager for
Credit Suisse Hedging-Griffo long-only funds with a focus on
telecom, utilities and real estate. Mr. Sales has an Electrical
Engineer degree from Pontífica Universidade Católica do Rio
de Janeiro and is a CFA charter holder.
About the Authors
Alternatives Quarterly Credit Suisse Asset Management 21
Iram Siqueira, Director,

is a Portfolio Manager for Credit
Suisse Hedging-Griffo long-only funds with a focus on mining,
steel, oil and gas, airlines, and pulp and paper. Mr. Siqueira has
a degree from the Business School at Fundação Getulio Vargas,
São Paulo.
Albert Sohn, Managing Director,
is the Chief Investment
Officer of structured credit and residential real estate assets
within Credit Suisse Asset Management. Mr. Sohn earned a
B.S. from Cornell University.
Ricardo Valente, Director,
is a Portfolio Manager for Credit
Suisse Hedging-Griffo in Fixed Income and Dynamic Family. He
has a degree in Business Administration from Fundação Getulio
Vargas, São Paulo.
Franco Rodrigues Resende Veludo, Vice President,
is a
Market Analyst for Credit Suisse Hedging-Griffo in Fixed Income
and Dynamic Family. He has a degree in Business Administration
from the IBMEC Business School, São Paulo.
David Weissman, CFA, Vice President,
leads market
research for private equity in the Credit Suisse Customized
Fund Investment Group. Mr. Weissman graduated business
and engineering programs at Boston University with M.B.A.,
M.S.E.E., and B.S.E.E. (cum laude) degrees.
Kelly M. Williams, Managing Director,

is Head of the Credit
Suisse Customized Fund Investment Group. Ms. Williams
graduated magna cum laude from Union College in 1986 with a
B.A. in Political Science and Mathematics, and received her Juris
Doctor degree from New York University School of Law in 1989.
22 Credit Suisse Asset Management
Alternatives Quarterly
Emerging Markets: A Structured Approach to Country Allocation
June 2012—Investors looking to emerging markets to capture additional
returns face a key challenge: How to strategically allocate across
countries and sectors in such a heterogeneous universe? Our team of EM
experts tackles this key question.
Credit Investing: Preparing Portfolios for a Post-Treasury-Rally World
May 2012

John Popp, Global Head and CIO of the Credit Investments
Group, suggests that investors can capture additional returns by moving
beyond core fixed income and trading duration risk for credit risk.
Asset Management’s Q2 2012 Alternatives Quarterly
April 2012

Our Global CIO, Stefan Keitel, shares his views on the
sustainability of recent improvements in global capital markets. Additionally,
our leading alterbnatives portfolio managers outline areas of opportunity in
their respective strategies following the equity-market rally in the first quarter.
New Normal Investing: Is the (Fat) Tail Wagging Your Portfolio?
April 2012

The “new normal” environment has led to two primary
challenges for investors: the search for yield and the need to better manage
“fat-tail” events. In this paper, our Investment Strategy Americas team
discusses how investors can modify their risk framework to accommodate
fat-tail risk and help minimize negative returns.
European Debt Crisis in Focus: Time to Re-Risk Portfolios?
March 2012

Could an improvement in recent economic data and a rally
in global equities indicate that investor risk aversion is waning? In his latest
paper, Credit Suisse Senior Advisor Robert Parker tackles this question,
arguing that the time might be right for investors to consider increasing their
exposure to risky assets.”
Robert Parker, Credit Suisse Senior Advisor, January 2012

Market Update
January 2012—
Robert Parker, Credit Suisse Senior Advisor, outlines the
market conditions going into 2012, the factors that could support riskier
assets this year, as well as the potential risks.
Fixed Income Outlook: The Search for Yield
November 2011—In this white paper, John Popp, Global Head and CIO of
the Credit Investments Group, reviews options for investors seeking returns
in a low-yield environment.
Credit Suisse Asset Management Publications
Hedge Fund Investing: How to Optimize Your Portfolio
October 2011—In a post financial-crisis environment, how can investors
address potential risks associated with hedge fund investing? The paper
discusses how hedge fund replication can help address these challenges
while potentially providing alternative-like returns.
The Way Forward: Measuring the Impact of Short-Term and
Structural Growth Drivers on Emerging Market Investing
September 2011—In the aftermath of the 2008 global financial crisis,
many emerging countries were able to recover more quickly than their
developed counterparts. Can this scenario be repeated during the current
slowdown?
Real Assets: Inflation Hedge Solution Under a Modified

Risk Framework
September 2011—In the “new-normal” environment, what is the right
mix for a real assets portfolio? The ISS team presents a modified risk
framework with which to optimize the benefits of the asset class.
Commodities Outlook: Increased Volatility, Increased Opportunity?
August 2011—The paper examines the recent rise in the volatility of
commodity prices within the context of a longer-term, secular trend of
increasing volatility and how investors can best position their portfolios in
this environment going forward.
Commercial Real Estate: Has the Tide Turned?
June 2011—After suffering through the credit crisis, US commercial real
estate macro indicators are starting to improve. But how sustainable is
this turnaround? The paper addresses this question, and examines how
institutional investors can manage their exposure to this asset class during
still uncertain times.
Managing Fixed Income Investments in a Rising Inflation and
Interest-Rate Environmen
t
March 2011—This paper addresses key challenges facing fixed
income investors today: How to achieve higher returns in a still low-yield
environment while mitigating the rising threats of inflation and interest-rate
risks? The ISS team’s analysis suggests that diversifying fixed income
exposure into specific instruments as well as adding inflation hedges may
present an efficient way to manage these challenges. A full case study
helps to illustrate the team’s findings.
The views and opinions expressed within these publications are those of the authors, are based on matters as they exist as of the date of
preparation and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently becomes available
or circumstances existing, or changes occurring, after the date hereof.
For a copy of any of these papers, please contact your relationship manager or visit our website at
credit-suisse.com.
Alternatives Quarterly Credit Suisse Asset Management 23
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investment research or a research recommendation for regulatory purposes as it does not constitute substantive research or analysis. This material is provided for
informational and illustrative purposes and is intended for your use only. It does not constitute an invitation or offer to the public to subscribe for or purchase any of
the products or services mentioned. The information contained in this document has been provided as a general market commentary only and does not constitute
any form of regulated financial advice, legal, tax or other regulated financial service. It does not take into account the financial objectives, situation or needs of any
persons which are necessary considerations before making any investment decision. The information provided is not intended to provide a sufficient basis on which to
make an investment decision and is not a personal recommendation or investment advice. It is intended only to provide observations and views of the said individual
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would have paid or actually paid. No representation is made that any account will or is likely to achieve profits or losses similar to those shown. Alternative modeling
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nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis.
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