| A. Summary Statistics | ||||||||||||||||||||||||
| Risk Measures | ||||||||||||||||||||||||
| Country | Source | Sample | Monthly | Monthly | Monthly | Monthly | Start of Sample | End of Sample | Sample Average | |||||||||||||||
| Start | Arithmetic | Geometric | Standard | Beta vs. | Country | ICRG | ICRG | ICRG | ICRG | Country | ICRG | ICRG | ICRG | ICRG | Country | ICRG | ICRG | ICRG | ICRG | |||||
| Return | Return | Deviation | World | Credit | Composite | Political | Financial | Economic | Credit | Composite | Political | Financial | Economic | Credit | Composite | Political | Financial | Economic | ||||||
| Argentina | IFC | Jan-84 | 66.0% | 22.0% | 98.6% | -0.15 | 28.2 | 40.0 | 50.0 | 15.0 | 15.0 | 38.9 | 71.5 | 75.0 | 36.0 | 31.5 | 25.0 | 52.8 | 62.1 | 22.7 | 20.5 | |||
| Australia | MSCI | Jan-84 | 18.3% | 13.3% | 26.1% | 0.83 | 84.6 | 83.0 | 87.0 | 41.5 | 37.5 | 70.9 | 82.5 | 84.0 | 44.0 | 37.0 | 73.1 | 80.3 | 81.0 | 42.3 | 37.1 | |||
| Austria | MSCI | Jan-84 | 24.8% | 20.8% | 27.5% | 0.51 | 81.7 | 90.0 | 93.0 | 45.0 | 41.5 | 86.2 | 83.5 | 80.0 | 47.0 | 40.0 | 83.9 | 86.4 | 86.6 | 46.2 | 39.8 | |||
| Belgium | MSCI | Jan-84 | 25.5% | 24.0% | 20.4% | 0.90 | 72.9 | 83.0 | 87.0 | 42.5 | 36.5 | 78.6 | 83.0 | 79.0 | 46.0 | 40.5 | 77.6 | 81.3 | 80.1 | 44.5 | 37.9 | |||
| Brazil | IFC | Jan-84 | 39.6% | 19.4% | 68.2% | 0.66 | 37.6 | 46.0 | 55.0 | 20.0 | 16.0 | 33.4 | 62.5 | 63.0 | 34.0 | 27.5 | 29.6 | 59.0 | 64.9 | 29.6 | 23.2 | |||
| Canada | MSCI | Jan-84 | 9.3% | 8.1% | 16.0% | 0.70 | 87.1 | 85.0 | 86.0 | 44.0 | 40.0 | 80.2 | 83.0 | 81.0 | 46.0 | 39.0 | 84.7 | 83.7 | 82.6 | 45.9 | 38.6 | |||
| Chile | IFC | Jan-84 | 44.7% | 40.4% | 28.4% | 0.27 | 32.8 | 48.0 | 49.0 | 23.5 | 23.5 | 55.6 | 79.5 | 75.0 | 43.0 | 41.0 | 36.1 | 62.2 | 58.5 | 35.3 | 30.5 | |||
| China | IFC | Jan-93 | 8.0% | -15.8% | 81.9% | 0.35 | 54.9 | 77.0 | 75.0 | 37.0 | 41.5 | 57.6 | 71.5 | 69.0 | 39.0 | 34.5 | 57.6 | 68.9 | 67.2 | 39.1 | 33.2 | |||
| Colombia | IFC | Jan-85 | 38.9% | 40.1% | 31.2% | 0.09 | 44.9 | 57.5 | 63.0 | 28.0 | 24.0 | 45.7 | 69.5 | 63.0 | 40.0 | 36.0 | 38.7 | 62.5 | 57.8 | 34.4 | 32.5 | |||
| Czech Republic | IFC | Jan-95 | -27.7% | -25.2% | 14.7% | 0.30 | 52.8 | 81.0 | 78.0 | 42.0 | 41.5 | 55.8 | 82.0 | 80.0 | 42.0 | 42.0 | 54.9 | 81.4 | 78.9 | 42.0 | 41.6 | |||
| Denmark | MSCI | Jan-84 | 18.2% | 12.5% | 20.7% | 0.71 | 68.9 | 87.0 | 93.0 | 42.5 | 37.5 | 79.3 | 86.0 | 82.0 | 48.0 | 41.5 | 73.5 | 83.8 | 85.9 | 43.2 | 38.2 | |||
| Finland | MSCI | Jan-88 | 13.3% | 10.2% | 27.3% | 0.92 | 78.2 | 85.5 | 92.0 | 44.0 | 34.5 | 70.0 | 83.5 | 84.0 | 43.0 | 39.5 | 74.6 | 81.9 | 85.2 | 43.7 | 34.6 | |||
| France | MSCI | Jan-84 | 21.9% | 19.6% | 22.8% | 1.05 | 78.8 | 81.0 | 81.0 | 40.5 | 40.5 | 89.0 | 83.5 | 83.0 | 44.0 | 40.0 | 85.1 | 80.8 | 79.6 | 44.2 | 37.6 | |||
| Germany | MSCI | Jan-84 | 20.5% | 17.4% | 23.0% | 0.86 | 93.5 | 89.0 | 88.0 | 47.0 | 42.5 | 90.6 | 84.5 | 82.0 | 47.0 | 40.0 | 92.2 | 86.7 | 83.3 | 48.5 | 41.3 | |||
| Greece | IFC | Jan-84 | 28.3% | 20.1% | 41.0% | 0.45 | 54.1 | 58.0 | 63.0 | 24.5 | 27.5 | 49.1 | 74.5 | 76.0 | 36.0 | 36.5 | 48.6 | 62.8 | 63.5 | 30.6 | 31.1 | |||
| Hong Kong | MSCI | Jan-84 | 27.1% | 25.8% | 28.9% | 0.94 | 70.8 | 72.0 | 67.0 | 40.0 | 37.5 | 67.0 | 81.5 | 73.0 | 46.0 | 43.5 | 66.9 | 73.4 | 67.2 | 40.7 | 38.6 | |||
| Hungary | IFC | Jan-93 | 3.2% | -3.6% | 39.4% | 1.68 | 41.7 | 66.5 | 70.0 | 35.0 | 36.5 | 46.4 | 74.5 | 78.0 | 40.0 | 30.5 | 46.0 | 73.2 | 75.0 | 40.0 | 32.5 | |||
| India | IFC | Jan-84 | 19.3% | 13.8% | 32.6% | -0.21 | 46.2 | 58.0 | 60.0 | 29.0 | 26.5 | 44.2 | 68.5 | 64.0 | 37.0 | 36.0 | 45.1 | 54.5 | 48.9 | 29.5 | 30.5 | |||
| Indonesia | IFC | Jan-90 | 7.8% | 3.1% | 31.1% | 0.25 | 43.9 | 49.0 | 41.0 | 23.0 | 35.5 | 51.9 | 70.5 | 63.0 | 40.0 | 37.5 | 50.4 | 67.5 | 57.4 | 41.2 | 36.2 | |||
| Ireland | MSCI | Jan-88 | 14.6% | 12.9% | 22.2% | 1.08 | 62.3 | 80.0 | 79.0 | 43.0 | 38.0 | 72.3 | 82.5 | 83.0 | 43.0 | 38.5 | 67.5 | 79.6 | 78.0 | 42.8 | 38.1 | |||
| Italy | MSCI | Jan-84 | 18.3% | 14.8% | 27.2% | 0.92 | 70.7 | 77.0 | 79.0 | 40.5 | 33.5 | 72.4 | 76.0 | 72.0 | 41.0 | 39.0 | 76.0 | 77.4 | 74.2 | 43.5 | 36.9 | |||
| Japan | MSCI | Jan-84 | 18.5% | 15.5% | 26.9% | 1.41 | 95.1 | 91.0 | 92.0 | 46.5 | 43.0 | 91.9 | 86.5 | 81.0 | 48.0 | 44.0 | 93.7 | 88.1 | 85.0 | 48.5 | 42.4 | |||
| Jordan | IFC | Jan-84 | 9.5% | 6.5% | 16.6% | 0.13 | 37.0 | 53.0 | 46.0 | 25.0 | 34.5 | 26.3 | 74.0 | 74.0 | 35.0 | 39.0 | 29.9 | 56.1 | 51.4 | 26.1 | 34.4 | |||
| Malaysia | IFC | Jan-85 | 16.9% | 14.2% | 27.2% | 0.73 | 67.4 | 71.0 | 71.0 | 33.0 | 38.0 | 68.6 | 80.5 | 76.0 | 43.0 | 42.0 | 61.3 | 72.3 | 67.1 | 37.5 | 39.8 | |||
| Mexico | IFC | Jan-84 | 41.4% | 26.8% | 46.1% | 0.75 | 33.9 | 56.0 | 66.0 | 22.0 | 24.0 | 46.9 | 64.5 | 66.0 | 36.0 | 26.5 | 36.9 | 64.1 | 67.7 | 32.0 | 28.1 | |||
| Netherlands | MSCI | Jan-84 | 21.5% | 21.0% | 16.2% | 0.82 | 85.4 | 92.0 | 93.0 | 47.5 | 44.0 | 89.0 | 86.0 | 84.0 | 47.0 | 40.5 | 87.4 | 87.6 | 86.6 | 46.7 | 41.7 | |||
| New Zealand | MSCI | Jan-88 | 10.4% | 7.6% | 25.2% | 0.72 | 65.5 | 85.0 | 90.0 | 45.0 | 35.0 | 68.2 | 83.5 | 84.0 | 46.0 | 36.5 | 64.3 | 82.5 | 82.3 | 45.8 | 36.8 | |||
| Nigeria | IFC | Jan-85 | 17.6% | 0.7% | 54.9% | 0.34 | 29.9 | 41.0 | 43.0 | 17.0 | 21.5 | 17.5 | 52.5 | 53.0 | 26.0 | 26.0 | 20.5 | 49.9 | 47.6 | 23.8 | 28.2 | |||
| Norway | MSCI | Jan-84 | 17.5% | 13.9% | 26.2% | 0.99 | 85.5 | 91.0 | 94.0 | 46.5 | 41.5 | 80.3 | 87.5 | 84.0 | 46.0 | 44.5 | 80.7 | 86.9 | 85.4 | 46.3 | 42.0 | |||
| Pakistan | IFC | Jan-85 | 19.3% | 17.9% | 24.1% | 0.01 | 23.8 | 48.0 | 40.0 | 22.0 | 34.0 | 30.1 | 60.0 | 56.0 | 33.0 | 30.5 | 29.2 | 48.7 | 40.1 | 24.8 | 32.3 | |||
| Peru | IFC | Jan-93 | 43.4% | 41.5% | 42.0% | 1.57 | 14.3 | 45.5 | 37.0 | 28.0 | 22.5 | 23.7 | 61.5 | 57.0 | 31.0 | 35.0 | 19.7 | 57.6 | 53.2 | 31.3 | 27.8 | |||
| Philippines | IFC | Jan-85 | 42.3% | 43.8% | 36.9% | 0.77 | 22.2 | 41.5 | 39.0 | 17.0 | 26.5 | 35.4 | 67.5 | 62.0 | 37.0 | 35.5 | 25.0 | 51.5 | 46.4 | 25.9 | 30.3 | |||
| Poland | IFC | Jan-93 | 98.2% | 86.6% | 92.9% | 3.74 | 25.6 | 65.0 | 63.0 | 33.0 | 36.0 | 35.7 | 78.0 | 80.0 | 39.0 | 36.5 | 32.3 | 75.5 | 76.6 | 38.1 | 35.9 | |||
| Portugal | IFC | Jan-86 | 31.6% | 25.7% | 44.0% | 1.14 | 39.2 | 54.0 | 62.0 | 20.0 | 25.5 | 46.9 | 64.5 | 66.0 | 36.0 | 26.5 | 67.2 | 79.5 | 75.0 | 42.6 | 40.9 | |||
| Singapore | MSCI | Jan-84 | 18.2% | 11.1% | 24.9% | 0.84 | 78.1 | 85.0 | 89.0 | 41.0 | 39.5 | 83.0 | 85.5 | 80.0 | 48.0 | 42.5 | 77.9 | 81.8 | 79.5 | 43.9 | 40.0 | |||
| South Africa | IFC | Jan-93 | 39.0% | 42.6% | 25.3% | 0.73 | 39.3 | 66.0 | 67.0 | 30.0 | 37.0 | 42.5 | 75.5 | 74.0 | 41.0 | 35.5 | 40.0 | 73.1 | 72.1 | 37.3 | 36.6 | |||
| South Korea | IFC | Jul-85 | 22.9% | 19.9% | 28.1% | 0.57 | 57.9 | 64.5 | 63.0 | 31.0 | 35.0 | 71.4 | 81.5 | 77.0 | 46.0 | 39.5 | 65.5 | 74.6 | 67.2 | 43.7 | 37.9 | |||
| Spain | MSCI | Jan-84 | 21.1% | 22.1% | 25.4% | 1.09 | 62.1 | 70.0 | 69.0 | 37.0 | 33.5 | 73.7 | 74.5 | 71.0 | 41.0 | 37.0 | 72.5 | 74.3 | 71.1 | 40.7 | 36.5 | |||
| Sri Lanka | IFC | Jan-93 | 12.9% | 7.8% | 33.4% | -0.12 | 23.4 | 50.0 | 38.0 | 29.0 | 36.0 | 32.4 | 69.5 | 65.0 | 36.0 | 37.5 | 29.4 | 62.6 | 56.3 | 32.7 | 35.9 | |||
| Sweden | MSCI | Jan-84 | 22.8% | 17.5% | 23.8% | 1.02 | 77.0 | 86.0 | 90.0 | 44.0 | 38.5 | 74.4 | 81.5 | 81.0 | 43.0 | 39.0 | 78.2 | 84.0 | 85.1 | 45.1 | 37.7 | |||
| Switzerland | MSCI | Jan-84 | 22.2% | 19.7% | 18.8% | 0.86 | 95.3 | 95.0 | 97.0 | 47.5 | 44.5 | 92.5 | 88.5 | 85.0 | 50.0 | 41.5 | 93.6 | 92.4 | 91.9 | 49.9 | 42.6 | |||
| Taiwan | IFC | Jan-85 | 33.3% | 22.3% | 50.8% | 0.73 | 69.5 | 81.5 | 78.0 | 42.0 | 42.5 | 79.7 | 84.5 | 77.0 | 48.0 | 43.5 | 76.4 | 83.2 | 76.3 | 46.8 | 43.1 | |||
| Thailand | IFC | Jan-84 | 32.5% | 28.1% | 29.8% | 0.60 | 52.2 | 63.0 | 60.0 | 31.0 | 35.5 | 63.5 | 73.0 | 63.0 | 42.0 | 41.0 | 57.9 | 66.9 | 59.7 | 37.0 | 36.9 | |||
| Turkey | IFC | Jan-87 | 45.1% | 24.6% | 71.7% | 0.30 | 26.0 | 56.0 | 57.0 | 25.5 | 28.5 | 40.7 | 62.5 | 59.0 | 36.0 | 29.5 | 42.2 | 55.4 | 54.9 | 28.1 | 27.7 | |||
| U.K. | MSCI | Jan-84 | 19.2% | 17.0% | 21.1% | 1.08 | 89.3 | 86.0 | 90.0 | 46.0 | 35.0 | 87.7 | 78.5 | 77.0 | 46.0 | 34.0 | 86.7 | 82.3 | 80.8 | 47.6 | 35.9 | |||
| U.S. | MSCI | Jan-84 | 15.3% | 15.2% | 14.9% | 0.73 | 96.4 | 91.0 | 95.0 | 47.5 | 40.0 | 90.4 | 83.0 | 80.0 | 48.0 | 37.5 | 91.3 | 84.7 | 82.7 | 48.6 | 37.8 | |||
| Venezuela | IFC | Jan-85 | 21.0% | 11.1% | 45.4% | -0.24 | 37.4 | 63.5 | 67.0 | 25.0 | 35.0 | 33.1 | 66.0 | 65.0 | 33.0 | 34.0 | 36.4 | 64.4 | 66.1 | 31.3 | 31.2 | |||
| Zimbabwe | IFC | Jan-84 | 28.1% | 26.3% | 33.3% | 0.10 | 20.7 | 42.0 | 38.0 | 23.5 | 23.0 | 30.7 | 66.5 | 67.0 | 33.0 | 32.5 | 25.0 | 52.3 | 52.6 | 25.5 | 26.3 | |||
| All returns in US Dollars. | ||||||||||||||||||||||||
| Beta versus World refers to MSCI World Index in US Dollars. |
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu