| High Attribute | Low Attribute | Low-High Attribute | |||||||||||||||||
| IFC | MSCI | Average | IFC | MSCI | Average | IFC | MSCI | ||||||||||||
| Portfolio | Standard | Comp | AC World | Annual | Portfolio | Standard | Comp | AC World | Annual | Portfolio | Standard | Comp | AC World | ||||||
| Risk Attribute | Return | Deviation | Beta | Beta | Turnover | Return | Deviation | Beta | Beta | Turnover | Return | Deviation | Alpha | Alpha | |||||
| Equal Weighted | |||||||||||||||||||
| ICRGC | 29.7% | 25.7% | 0.65 | 0.69 | 50% | 36.6% | 23.5% | 0.32 | 0.24 | 57% | 5.3% | 26.6% | 14.5% | * | 17.3% | ** | |||
| ICRGP | 35.3% | 27.4% | 0.67 | 0.76 | 55% | 30.4% | 21.4% | 0.29 | 0.16 | 53% | -3.6% | 23.9% | 5.6% | 8.8% | |||||
| ICRGF | 31.8% | 27.4% | 0.65 | 0.69 | 58% | 35.9% | 25.2% | 0.29 | 0.19 | 68% | 3.1% | 29.7% | 13.4% | 16.5% | * | ||||
| ICRGE | 27.8% | 21.7% | 0.51 | 0.45 | 59% | 40.4% | 27.3% | 0.50 | 0.52 | 72% | 9.9% | * | 23.4% | 11.8% | 10.9% | ||||
| IICCR | 26.5% | 26.1% | 0.60 | 0.69 | 41% | 39.9% | 24.2% | 0.39 | 0.25 | 46% | 10.5% | * | 25.0% | 16.1% | ** | 19.9% | ** | ||
| EMCRR | 27.1% | 24.8% | 0.59 | 0.70 | 40% | 39.8% | 23.5% | 0.41 | 0.26 | 46% | 10.0% | * | 21.5% | 14.9% | ** | 19.0% | *** | ||
| INFLATE | 41.9% | 25.7% | 0.46 | 0.44 | 62% | 26.2% | 20.9% | 0.53 | 0.52 | 54% | -11.1% | * | 18.0% | -11.2% | ** | -11.5% | * | ||
| TRADEGDP | 32.6% | 23.7% | 0.55 | 0.76 | 35% | 35.0% | 24.3% | 0.43 | 0.17 | 46% | 1.8% | 21.9% | 5.7% | 13.9% | ** | ||||
| POPGR | 30.2% | 19.9% | 0.26 | 0.26 | 30% | 36.1% | 25.8% | 0.58 | 0.63 | 38% | 4.5% | 19.9% | 0.7% | 0.7% | |||||
| AAGEGR | 33.3% | 26.1% | 0.53 | 0.74 | 37% | 31.7% | 22.9% | 0.31 | 0.14 | 36% | -1.2% | 24.3% | 5.0% | 11.3% | |||||
| AVEAGE | 37.2% | 29.0% | 0.64 | 0.62 | 39% | 28.5% | 19.2% | 0.19 | 0.25 | 26% | -6.3% | 24.4% | 3.8% | 2.8% | |||||
| MKTCAP | 24.8% | 26.9% | 0.81 | 0.66 | 49% | 41.0% | 25.9% | 0.16 | 0.28 | 55% | 13.0% | * | 32.5% | 29.8% | *** | 26.3% | ** | ||
| MOM-1 | 38.9% | 26.8% | 0.52 | 0.66 | 203% | 26.8% | 21.8% | 0.46 | 0.30 | 220% | -8.8% | 23.1% | -4.7% | -0.7% | |||||
| MOM-2-4 | 37.0% | 28.3% | 0.57 | 0.68 | 205% | 28.8% | 21.5% | 0.40 | 0.28 | 215% | -6.0% | 25.2% | -0.3% | 3.6% | |||||
| P/E* | 22.8% | 27.7% | 0.65 | 0.79 | 77% | 39.6% | 21.8% | 0.31 | 0.30 | 88% | 13.7% | * | 26.8% | 22.6% | *** | 24.7% | *** | ||
| P/B* | 20.8% | 27.2% | 0.66 | 0.82 | 72% | 42.3% | 20.7% | 0.30 | 0.26 | 80% | 17.7% | ** | 24.3% | 25.9% | *** | 27.6% | *** | ||
| P/D | 29.4% | 29.2% | 0.70 | 0.51 | 88% | 39.6% | 22.2% | 0.25 | 0.43 | 86% | 7.9% | 25.2% | 18.7% | *** | 12.4% | ||||
| Capitalization Weighted | |||||||||||||||||||
| ICRGC | 12.0% | 33.0% | 1.06 | 0.61 | 30% | 29.8% | 28.6% | 0.47 | 0.38 | 58% | 15.9% | * | 40.1% | 35.4% | *** | 30.9% | ** | ||
| ICRGP | 13.7% | 34.3% | 1.12 | 0.72 | 22% | 20.3% | 23.4% | 0.39 | -0.04 | 38% | 5.7% | 35.9% | 26.6% | *** | 27.3% | ** | |||
| ICRGF | 15.7% | 33.6% | 1.05 | 0.74 | 23% | 22.2% | 31.5% | 0.49 | 0.03 | 49% | 5.6% | 44.0% | 27.1% | ** | 29.6% | ** | |||
| ICRGE | 16.8% | 31.8% | 0.96 | 0.60 | 25% | 18.0% | 38.5% | 0.91 | 0.73 | 45% | 1.0% | 42.0% | 10.2% | 5.9% | |||||
| IICCR | 16.4% | 32.0% | 0.99 | 0.64 | 22% | 24.7% | 35.9% | 0.82 | 0.60 | 34% | 7.2% | 37.0% | 16.5% | 13.3% | |||||
| EMCRR | 17.1% | 31.9% | 0.99 | 0.64 | 23% | 19.4% | 36.9% | 0.84 | 0.59 | 46% | 2.0% | 37.2% | 11.2% | 8.8% | |||||
| INFLATE | 19.6% | 34.0% | 0.82 | 0.67 | 43% | 17.0% | 31.8% | 0.98 | 0.61 | 23% | -2.2% | 34.2% | 1.7% | 4.2% | |||||
| TRADEGDP | 20.1% | 35.0% | 1.06 | 0.72 | 19% | 15.3% | 31.1% | 0.71 | 0.44 | 30% | -4.0% | 38.8% | 9.1% | 7.8% | |||||
| POPGR | 16.7% | 27.1% | 0.60 | 0.50 | 21% | 14.3% | 27.1% | 0.63 | 0.65 | 20% | -2.1% | 30.3% | 3.1% | 0.6% | |||||
| AAGEGR | 15.8% | 31.8% | 0.82 | 0.91 | 17% | 15.7% | 20.9% | 0.37 | 0.07 | 17% | -0.1% | 29.0% | 12.6% | 18.0% | ** | ||||
| AVEAGE | 16.2% | 27.7% | 0.63 | 0.57 | 20% | 18.5% | 26.6% | 0.62 | 0.59 | 15% | 2.0% | 30.7% | 5.8% | 3.8% | |||||
| MKTCAP | 15.1% | 32.5% | 1.07 | 0.63 | 22% | 27.7% | 26.3% | 0.14 | 0.43 | 50% | 11.0% | 44.7% | 38.3% | *** | 25.6% | * | |||
| MOM-1 | 23.8% | 29.7% | 0.72 | 0.67 | 237% | 19.3% | 34.3% | 0.99 | 0.58 | 232% | -3.6% | 38.0% | 1.9% | 7.3% | |||||
| MOM-2-4 | 15.2% | 36.7% | 1.01 | 0.72 | 130% | 19.4% | 30.7% | 0.73 | 0.41 | 139% | 3.7% | 39.7% | 17.4% | 17.1% | |||||
| P/E* | 14.5% | 35.5% | 1.09 | 0.98 | 33% | 21.9% | 32.4% | 0.59 | 0.29 | 69% | 6.4% | 43.0% | 25.1% | * | 26.2% | * | |||
| P/B* | 10.5% | 38.1% | 1.18 | 0.92 | 40% | 24.6% | 26.1% | 0.48 | 0.57 | 64% | 12.7% | 42.3% | 33.9% | *** | 25.7% | * | |||
| P/D | 17.8% | 36.4% | 1.12 | 0.68 | 42% | 32.9% | 26.3% | 0.41 | 0.39 | 85% | 12.8% | 41.0% | 34.6% | *** | 25.0% | * | |||
| IFC Composite | 15.7% | 22.5% | 1.00 | 0.58 | |||||||||||||||
| MSCI AC World | 16.1% | 14.5% | 0.24 | 1.00 | |||||||||||||||
| -Significance level: * 10%, ** 5%, *** 1%. | |||||||||||||||||||
| -IFC Global and MSCI World Indices in US dollars: Unhedged. | |||||||||||||||||||
| -Countries enter portfolios when they emerge in IFC indices. | |||||||||||||||||||
| -From January 1985-December 1987 the MSCI World Index was substituted for the MSCI All Country (AC) World Index. | |||||||||||||||||||
| -Price/Earnings and Price/Book ratios are unavailable until January 1986. | |||||||||||||||||||
| -Portfolios were formed by sorting the countries into two halves based on the level of the attribute. | |||||||||||||||||||
| -Portfolios were reformed quarterly. | |||||||||||||||||||
| Legend | |||||||||||||||||||
| ICRGC | Political Risk Services: International Country Risk Guide - Composite | ||||||||||||||||||
| ICRGP | Political Risk Services: International Country Risk Guide - Political | ||||||||||||||||||
| ICRGF | Political Risk Services: International Country Risk Guide - Financial | ||||||||||||||||||
| ICRGE | Political Risk Services: International Country Risk Guide - Economic | ||||||||||||||||||
| IICCR | Institutional Investor Country Credit Ratings | ||||||||||||||||||
| EMCRR | Euromoney Country Risk Ratings | ||||||||||||||||||
| INFLATE | Annual Consumer Inflation: IFS Database (six month lag) | ||||||||||||||||||
| TRADEGDP | Trade Openness: (Exports+Imports)/GDP (six month lag) | ||||||||||||||||||
| POPGR | Annual Growth in Total Population - UN Data | ||||||||||||||||||
| AAGEGR | Annual Growth in Average Age of Population - UN Data | ||||||||||||||||||
| AVEAGE | Average Age of Population - UN Data | ||||||||||||||||||
| MKTCAP | IFC Global Market Capitalization | ||||||||||||||||||
| MOM-1 | Trailing US$ Total Return - Last Month | ||||||||||||||||||
| MOM-2-4 | Trailing US$ Total Return - Months -4 to -2 | ||||||||||||||||||
| P/E* | IFC Global Price/Earnings Ratio | ||||||||||||||||||
| P/B* | IFC Global Price/Book Ratio | ||||||||||||||||||
| P/D | IFC Global Price/Dividend Ratio | ||||||||||||||||||
Last Updated: May 22, 1996
Analyst/Contact: Campbell R. Harvey
E-Mail Address: charvey@mail.duke.edu