| A. Contemporaneous Ratings Changes and Portfolio Performance | |||||||||||
| Downgrade | Upgrade | Upgrade-Downgrade | |||||||||
| MSCI | MSCI | MSCI | |||||||||
| Portfolio | Standard | World | Portfolio | Standard | World | Portfolio | Standard | World | |||
| Risk Attribute | Return | Deviation | Beta | Return | Deviation | Beta | Return | Deviation | Alpha | ||
| All Countries | |||||||||||
| II CCR | 21.6% | 20.6% | 0.95 | 30.6% | 24.4% | 0.95 | 9.0% | 14.4% | 4.5% | ||
| ICRGC | 16.7% | 24.3% | 1.07 | 33.4% | 21.9% | 0.97 | 16.7% | 14.5% | 8.3% | ||
| ICRGP | 19.3% | 21.5% | 0.95 | 34.3% | 24.3% | 1.13 | 15.0% | 16.1% | 5.6% | ||
| ICRGF | 18.1% | 30.2% | 1.21 | 28.5% | 22.6% | 0.99 | 10.4% | 23.0% | 5.7% | ||
| ICRGE | 25.5% | 26.6% | 1.30 | 26.6% | 18.9% | 0.78 | 1.1% | 10.9% | 4.0% | ||
| Developed Countries | |||||||||||
| II CCR | 17.2% | 19.8% | 0.98 | 19.5% | 20.3% | 1.09 | 2.3% | 13.5% | 0.5% | ||
| ICRGC | 15.0% | 19.7% | 1.05 | 21.3% | 21.2% | 1.20 | 6.3% | 9.8% | 1.8% | ||
| ICRGP | 15.9% | 17.7% | 0.98 | 24.4% | 27.6% | 1.52 | 8.5% | 16.6% | 0.9% | ||
| ICRGF | 14.5% | 21.1% | 1.12 | 22.1% | 20.2% | 1.12 | 7.6% | 10.0% | 3.5% | ||
| ICRGE | 16.1% | 17.8% | 0.95 | 19.2% | 18.4% | 1.02 | 3.1% | 8.4% | 0.6% | ||
| Emerging Markets | |||||||||||
| II CCR | 22.2% | 25.1% | 0.87 | 36.7% | 33.3% | 0.83 | 14.4% | 24.5% | 7.6% | ||
| ICRGC | 16.0% | 35.0% | 1.12 | 41.1% | 26.3% | 0.84 | 25.0% | 29.7% | 12.5% | ||
| ICRGP | 20.0% | 31.6% | 0.82 | 39.1% | 28.2% | 1.07 | 19.1% | 27.4% | 6.3% | ||
| ICRGF | 18.6% | 36.8% | 1.28 | 35.8% | 26.8% | 0.76 | 17.2% | 33.5% | 10.5% | ||
| ICRGE | 31.5% | 35.1% | 1.45 | 32.7% | 24.9% | 0.51 | 1.2% | 22.6% | 7.1% | ||
| MSCI World | 14.9% | 15.5% | |||||||||
| B. Predictive Rating Change and Portfolio Performance | |||||||||||
| Downgrade | Upgrade | Upgrade-Downgrade | |||||||||
| MSCI | MSCI | MSCI | |||||||||
| Portfolio | Standard | World | Portfolio | Standard | World | Portfolio | Standard | World | |||
| Risk Attribute | Return | Deviation | Beta | Return | Deviation | Beta | Return | Deviation | Alpha | ||
| All Countries | |||||||||||
| II CCR | 29.1% | 21.5% | 0.76 | 28.6% | 24.7% | 1.04 | -0.5% | 20.2% | -2.4% | ||
| ICRGC | 21.3% | 22.3% | 1.02 | 30.8% | 22.0% | 0.85 | 9.5% | 16.6% | 5.7% | ||
| ICRGP | 26.1% | 18.9% | 0.85 | 26.8% | 21.9% | 1.00 | 0.7% | 10.7% | -0.8% | ||
| ICRGF | 26.6% | 30.8% | 0.86 | 26.4% | 21.6% | 1.02 | -0.2% | 24.5% | -2.4% | ||
| ICRGE | 23.4% | 25.9% | 1.04 | 30.7% | 21.3% | 0.94 | 7.4% | 17.9% | 3.7% | ||
| Developed Countries | |||||||||||
| II CCR | 19.9% | 20.6% | 1.03 | 20.6% | 20.5% | 1.18 | 0.7% | 14.2% | -0.9% | ||
| ICRGC | 17.1% | 20.0% | 1.19 | 21.7% | 18.7% | 0.94 | 4.6% | 10.8% | 4.2% | ||
| ICRGP | 18.8% | 18.6% | 1.07 | 20.3% | 21.5% | 1.25 | 1.5% | 10.4% | -0.6% | ||
| ICRGF | 21.8% | 20.9% | 1.09 | 19.9% | 19.3% | 1.12 | -1.9% | 9.9% | -1.3% | ||
| ICRGE | 14.8% | 18.5% | 1.04 | 19.9% | 17.6% | 0.99 | 5.1% | 9.0% | 2.7% | ||
| Emerging Markets | |||||||||||
| II CCR | 35.4% | 26.9% | 0.61 | 29.9% | 30.8% | 0.81 | -5.5% | 29.9% | -3.8% | ||
| ICRGC | 22.8% | 31.1% | 0.69 | 36.4% | 28.3% | 0.84 | 13.6% | 29.6% | 4.3% | ||
| ICRGP | 28.3% | 27.4% | 0.57 | 28.2% | 25.8% | 0.75 | 0.0% | 23.4% | -1.9% | ||
| ICRGF | 27.2% | 37.1% | 0.76 | 33.8% | 26.6% | 0.89 | 6.6% | 33.5% | 0.4% | ||
| ICRGE | 27.2% | 37.3% | 0.90 | 38.0% | 28.8% | 0.83 | 10.8% | 36.3% | 4.4% | ||
| MSCI World | 17.5% | 15.0% | |||||||||
| -Panel A portfolios formed by equal weighting all countries that experienced a contemporaneous increase or a decrease in a | |||||||||||
| country risk exposure. | |||||||||||
| -Panel B portfolios formed by equal weighting all countries that experienced either an increase or a decrease in a country risk | |||||||||||
| exposure over the last six months. | |||||||||||
| -Portfolios were reformed every six months. | |||||||||||
| -MSCI World returns in Panels A and B differ because the starting date in Panel A is January 1984 and in Panel B it is July 1984. |
Last Update: 5/28/96
Name: Campbell R. Harvey
Email: charvey@mail.duke.edu