Table14: Political Risk, Economic Risk and Financial Risk

country Quartile Strategies, Annual Data, 1984-1995
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