| A. Geometric Returns | ||||||||
| Quartile 1 | Quartile 2 | Quartile 3 | Quartile 4 | World | World | Q1 -Q4 | Q1&2- | |
| High Risk | Low Risk | Equal Wgt | MSCI | Q3&4 | ||||
| II CCR | 36.6% | 25.4% | 19.7% | 16.1% | 25.8% | 15.1% | 20.4% | 13.0% |
| ICRGC | 31.2% | 34.5% | 16.3% | 17.6% | 13.6% | 15.9% | ||
| ICRGP | 27.7% | 39.3% | 16.2% | 16.6% | 11.0% | 17.1% | ||
| ICRGF | 30.9% | 34.1% | 19.7% | 17.3% | 13.6% | 14.0% | ||
| ICRGE | 39.8% | 21.7% | 20.7% | 18.2% | 21.5% | 11.2% | ||
| B. Volatility | ||||||||
| Quartile 1 | Quartile 2 | Quartile 3 | Quartile 4 | World | World | |||
| High Risk | Low Risk | Equal Wgt | MSCI | |||||
| II CCR | 42.6% | 36.6% | 29.5% | 20.4% | 24.5% | 17.1% | ||
| ICRGC | 37.3% | 38.8% | 24.0% | 26.3% | ||||
| ICRGP | 31.9% | 42.2% | 26.0% | 23.7% | ||||
| ICRGF | 43.3% | 34.8% | 26.0% | 23.4% | ||||
| ICRGE | 38.6% | 30.5% | 25.7% | 24.3% | ||||
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu