TABLE3: PROJECTED RETURNS, VOLATILITY AND HITTING TIMES

CountryExpectedExpectedExpectedEx-AnteHitting TimeHitting Time
Credit RatingReturnsReturnsReturnsVolatilityin Yearsin Years
CountryMarch 1995Linear ModelLog ModelRisk ModelLog ModelBreak-EvenDoubling

Afghanistan8.738.6%53.1%85.2%55.8%1.824.85
Albania12.737.4%47.1%63.3%50.1%1.865.25
Algeria23.534.0%37.0%38.6%40.9%2.016.25
Angola10.938.0%49.5%71.4%52.4%1.845.08
Argentina38.929.2%28.3%26.0%33.3%2.277.73
Australia70.918.6%17.4%16.9%24.3%3.1811.89
Austria86.213.4%13.8%14.9%21.3%3.9414.95
Bahrain52.224.8%23.0%20.9%28.9%2.589.22
Bangladesh24.833.6%36.1%37.0%40.0%2.036.36
Barbados38.229.4%28.6%26.4%33.6%2.267.66
Belarus15.236.6%44.2%54.8%47.4%1.895.48
Belgium78.616.0%15.5%15.8%22.7%3.5313.30
Benin15.136.7%44.3%55.1%47.5%1.895.47
Bolivia22.534.4%37.7%40.0%41.5%1.996.15
Botswana48.526.0%24.4%22.1%30.0%2.498.78
Brazil33.430.9%30.9%29.3%35.6%2.177.18
Bulgaria21.934.5%38.1%40.9%41.9%1.986.10
Burkina Faso16.736.2%42.6%50.8%46.0%1.915.62
Cameroon19.235.4%40.3%45.4%43.9%1.945.85
Canada80.215.4%15.1%15.6%22.4%3.6113.63
Chile55.623.7%21.9%20.0%27.9%2.679.64
China57.623.1%21.2%19.5%27.4%2.739.90
Colombia45.727.0%25.4%23.1%30.9%2.428.46
Congo14.836.8%44.6%56.0%47.8%1.895.45
Costa Rica30.931.7%32.3%31.1%36.7%2.136.94
Cote d'Ivoire17.735.9%41.7%48.5%45.1%1.925.71
Croatia17.136.0%42.3%49.9%45.6%1.925.66
Cuba8.238.8%54.0%89.2%56.7%1.814.80
Cyprus52.624.7%22.9%20.8%28.7%2.599.26
Czech Republic55.823.7%21.8%20.0%27.9%2.689.67
Denmark79.315.7%15.3%15.7%22.6%3.5613.44
Dominican Republic23.134.2%37.3%39.2%41.1%2.006.21
Ecuador25.033.6%35.9%36.8%39.9%2.036.38
Egypt32.931.1%31.2%29.6%35.8%2.167.13
El Salvador18.735.5%40.8%46.4%44.3%1.945.81
Estonia25.433.4%35.6%36.3%39.7%2.046.42
Ethiopia13.537.2%46.1%60.3%49.2%1.875.32
Finland70.018.9%17.7%17.0%24.4%3.1511.74
France89.012.4%13.1%14.6%20.8%4.1215.64
Gabon25.833.3%35.4%35.9%39.5%2.046.46
Georgia8.038.8%54.4%90.9%57.1%1.814.78
Germany90.611.8%12.8%14.4%20.6%4.2316.05
Ghana29.232.3%33.3%32.5%37.6%2.106.77
Greece49.125.9%24.1%21.9%29.8%2.508.84
Grenada8.938.6%52.7%83.7%55.4%1.824.87
Guatemala21.934.5%38.1%40.9%41.9%1.986.10
Guinea13.837.1%45.7%59.2%48.9%1.875.35
Haiti9.138.5%52.4%82.3%55.1%1.824.90
Honduras15.536.5%43.9%53.9%47.1%1.895.51
Hong Kong67.019.9%18.5%17.6%25.1%3.0311.26
Hungary46.426.7%25.2%22.8%30.6%2.448.54
Iceland56.923.3%21.5%19.7%27.6%2.719.81
India44.227.4%26.0%23.7%31.4%2.398.29
Indonesia51.924.9%23.1%21.0%28.9%2.579.18
Iran25.533.4%35.6%36.2%39.6%2.046.43
Iraq7.938.9%54.5%91.8%57.2%1.814.77
Ireland72.318.1%17.1%16.7%24.0%3.2412.13
Israel47.926.2%24.6%22.3%30.1%2.478.71
Italy72.418.1%17.0%16.7%23.9%3.2412.15
Jamaica25.233.5%35.8%36.5%39.8%2.036.40
Japan91.911.4%12.5%14.3%20.4%4.3316.40
Jordan26.333.2%35.1%35.3%39.2%2.056.50
Kazakhstan18.735.5%40.8%46.4%44.3%1.945.81
Kenya24.933.6%36.0%36.9%40.0%2.036.37
Kuwait52.724.7%22.9%20.8%28.7%2.599.28
Latvia22.634.3%37.6%39.9%41.4%1.996.16
Lebanon24.933.6%36.0%36.9%40.0%2.036.37
Liberia6.239.4%58.3%110.2%60.9%1.794.58
Libya30.531.8%32.5%31.4%36.9%2.126.90
Lithuania21.734.6%38.3%41.2%42.1%1.986.08
Luxembourg85.413.6%13.9%14.9%21.5%3.9014.76
Malawi18.835.5%40.7%46.2%44.2%1.945.82
Malaysia68.619.4%18.0%17.3%24.8%3.0911.51
Mali17.336.0%42.1%49.4%45.5%1.925.68
Malta61.021.9%20.2%18.7%26.5%2.8310.37
Mauritius45.427.1%25.5%23.2%31.0%2.418.42
Mexico46.926.6%25.0%22.6%30.5%2.458.59
Morocco39.029.1%28.2%26.0%33.2%2.287.74
Mozambique12.637.4%47.2%63.7%50.2%1.865.24
Myanmar16.536.2%42.8%51.3%46.2%1.915.60
Nepal24.433.8%36.3%37.5%40.3%2.026.33
Netherlands89.012.4%13.1%14.6%20.8%4.1215.64
New Zealand68.219.5%18.1%17.3%24.8%3.0811.45
Nicaragua10.238.2%50.6%75.3%53.4%1.835.01
Nigeria17.535.9%41.9%48.9%45.3%1.925.70
North Korea7.039.2%56.4%100.6%59.1%1.804.67
Norway80.315.4%15.1%15.6%22.4%3.6113.65
Oman52.024.9%23.1%21.0%28.9%2.579.19
Pakistan30.132.0%32.7%31.8%37.1%2.116.86
Panama25.733.4%35.4%36.0%39.5%2.046.45
Papua New Guinea32.431.2%31.5%30.0%36.0%2.157.08
Paraguay30.631.8%32.5%31.4%36.9%2.126.91
Peru23.734.0%36.8%38.4%40.7%2.016.26
Philippines35.430.3%29.9%28.0%34.7%2.217.37
Poland35.730.2%29.8%27.8%34.6%2.217.40
Portugal67.319.8%18.4%17.5%25.0%3.0511.31
Qatar53.924.3%22.5%20.5%28.4%2.629.43
Romania28.132.6%33.9%33.5%38.2%2.086.67
Russia19.535.3%40.1%44.9%43.7%1.955.88
Saudi Arabia55.823.7%21.8%20.0%27.9%2.689.67
Senegal21.634.6%38.4%41.3%42.1%1.986.07
Seychelles23.734.0%36.8%38.4%40.7%2.016.26
Sierra Leone8.138.8%54.2%90.0%56.9%1.814.79
Singapore83.014.5%14.5%15.2%21.9%3.7614.22
Slovakia33.231.0%31.1%29.4%35.7%2.177.16
Slovenia39.529.0%28.0%25.7%33.0%2.297.79
South Africa42.528.0%26.7%24.4%31.9%2.358.11
South Korea71.418.4%17.3%16.8%24.1%3.2011.98
Spain73.717.7%16.7%16.5%23.7%3.3012.38
Sri Lanka32.431.2%31.5%30.0%36.0%2.157.08
Sudan6.139.4%58.5%111.5%61.1%1.794.57
Swaziland28.532.5%33.7%33.2%38.0%2.096.71
Sweden74.417.4%16.5%16.4%23.5%3.3312.51
Switzerland92.511.1%12.4%14.2%20.3%4.3716.56
Syria24.933.6%36.0%36.9%40.0%2.036.37
Taiwan79.715.6%15.2%15.6%22.5%3.5813.52
Tanzania15.536.5%43.9%53.9%47.1%1.895.51
Thailand63.521.1%19.5%18.2%25.9%2.9110.73
Togo17.236.0%42.2%49.6%45.5%1.925.67
Trinidad & Tobago33.231.0%31.1%29.4%35.7%2.177.16
Tunisia43.327.7%26.4%24.0%31.7%2.378.19
Turkey40.728.6%27.5%25.2%32.6%2.317.92
United Kingdom87.712.8%13.4%14.7%21.1%4.0415.31
United States90.411.9%12.9%14.4%20.6%4.2216.00
Uganda12.837.4%47.0%62.9%50.0%1.865.26
Ukraine15.536.5%43.9%53.9%47.1%1.895.51
United Arab Emirates60.522.1%20.3%18.8%26.6%2.8110.30
Uruguay38.529.3%28.5%26.3%33.4%2.277.69
Uzbekistan14.436.9%45.1%57.2%48.2%1.885.41
Venezuela33.131.0%31.1%29.5%35.7%2.167.15
Vietnam27.632.8%34.2%34.0%38.4%2.076.62
Yugoslavia7.339.1%55.8%97.5%58.4%1.804.71
Zaire7.039.2%56.4%100.6%59.1%1.804.67
Zambia14.636.8%44.8%56.6%48.0%1.885.43
Zimbabwe30.731.8%32.4%31.3%36.8%2.126.92

Expected return and risk estimates are calculated from an unhedged US dollar perspective.


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