Filed pursuant to Rule 433
Registration Statement No. 333-158199-10
Dated May 18, 2011
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Credit Suisse FX Factor USD Excess Return Index
Monthly Performance Report - April 2011
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Performance Statistics April 3 Months YTD 12 Months
Excess Return -0.02% 0.30% -1.06% -3.06%
Realized Volatility 6.46% 5.30% 5.55% 5.74%
Sharpe Ratio -0.01 0.25 -0.55 -0.50
Skew -1.14 -0.85 -0.74 -0.49
Kurtosis 1.18 1.35 0.46 3.24
Maximum Drawdown -2.63% -2.63% -3.24% -4.73%
Maximum Drawdown Date 18 Apr 11 18 Apr 11 18 Apr 11 03 Aug 10
Source: Credit Suisse - Apr 2006 to Apr 2011 FXFTERUS performance
Performance (past 12 months) Risk-Return Comparison
(12 month rolling)
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source: Credit Suisse - Apr 2010 to Apr 2011 FXFTERUS performance
Highlights
[ ] The CS FX Factor Index posted a modest decline of 0.02% in April. Year to
date, the FX Factor index is down by 1.06%, with a realised volatility of
5.55%.
[ ] The contribution from Momentum, both in G10 and in emerging markets was
strongly positive, thanks to the persistent depreciating trend of the US
dollar across the board.
[ ] On the other hand, offsetting negative contributions emerged from Value, as
most G10 currencies moved further away from fundamental valuations, Growth,
and Terms of Trade.
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Strategy Contribution 3 Months Rolling Contribution
3 Months 12 Months
Carry -0.29% -1.41%
EM 0.40% -0.98%
Growth -0.83% -0.85% [GRAPHIC OMITTED]
Momentum 2.22% 3.73%
Terms of Trade -1.21% -2.88%
Value 0.00% -0.67%
Overall 0.30% -3.06%
Source: Credit Suisse - Apr 2010 to Apr 2011 FXFTERUS performance
Index Facts
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Index Value (29 Apr 2011) 237.37
Bloomberg Index Ticker FXFTERUS Index [GO]
(C) Copyright 2011 Credit Suisse Group AG and/or its subsidiaries and affiliates.
All rights reserved. This document has been prepared by Credit Suisse.
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