| 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 | 11.9% | 17.4% | 0.81 | 15.3% | 17.0% | 1.01 | 3.5% | 16.0% | 1.0% | ||
| ICRGC | 15.8% | 17.4% | 0.95 | 19.6% | 21.0% | 1.17 | 3.8% | 17.3% | 0.4% | ||
| ICRGP | 14.7% | 16.5% | 0.96 | 22.4% | 22.6% | 1.24 | 7.7% | 17.5% | 3.5% | ||
| ICRGF | 11.8% | 20.6% | 1.00 | 18.6% | 18.5% | 1.10 | 6.8% | 17.6% | 4.3% | ||
| ICRGE | 14.4% | 13.8% | 0.80 | 16.9% | 18.0% | 1.13 | 2.5% | 10.8% | -1.8% | ||
| Developed Countries | |||||||||||
| II CCR | 11.6% | 16.4% | 0.75 | 13.5% | 18.3% | 1.06 | 1.9% | 17.1% | -1.6% | ||
| ICRGC | 16.4% | 17.0% | 0.95 | 18.3% | 21.3% | 1.17 | 1.9% | 17.8% | -1.4% | ||
| ICRGP | 15.3% | 16.6% | 0.95 | 20.2% | 25.1% | 1.34 | 4.9% | 20.0% | -0.1% | ||
| ICRGF | 14.4% | 19.6% | 1.01 | 18.5% | 19.3% | 1.11 | 4.0% | 17.9% | 1.9% | ||
| ICRGE | 13.9% | 13.7% | 0.79 | 17.6% | 17.8% | 1.09 | 3.8% | 11.8% | -1.1% | ||
| Emerging Markets | |||||||||||
| II CCR | 4.0% | 34.3% | 1.54 | 24.4% | 30.1% | 0.70 | 20.4% | 33.7% | 16.0% | ||
| ICRGC | 0.7% | 33.2% | 0.82 | 34.1% | 28.4% | 1.24 | 33.4% | 29.9% | 11.0% | ||
| ICRGP | 5.6% | 33.3% | 1.07 | 24.5% | 30.9% | 0.99 | 18.8% | 29.0% | 8.4% | ||
| ICRGF | 3.4% | 34.3% | 0.86 | 26.2% | 30.4% | 1.30 | 22.8% | 27.8% | 6.9% | ||
| ICRGE | 8.6% | 31.3% | 0.59 | 20.4% | 32.1% | 1.39 | 11.7% | 29.4% | 0.6% | ||
| 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 | 17.9% | 22.2% | 1.08 | 22.4% | 15.7% | 0.85 | 4.5% | 21.2% | 7.0% | ||
| ICRGC | 13.2% | 16.2% | 1.04 | 21.7% | 16.8% | 0.83 | 8.5% | 14.4% | 11.7% | ||
| ICRGP | 16.6% | 15.2% | 0.96 | 17.2% | 19.2% | 1.06 | 0.6% | 14.9% | -0.6% | ||
| ICRGF | 15.8% | 22.4% | 1.16 | 17.0% | 17.0% | 1.04 | 1.2% | 18.0% | 2.0% | ||
| ICRGE | 11.2% | 18.2% | 1.00 | 24.5% | 19.9% | 1.14 | 13.2% | 18.8% | 10.1% | ||
| Developed Countries | |||||||||||
| II CCR | 16.7% | 22.4% | 1.19 | 20.6% | 15.8% | 0.83 | 3.9% | 21.4% | 8.6% | ||
| ICRGC | 14.5% | 16.1% | 0.97 | 21.2% | 17.4% | 0.85 | 6.7% | 16.9% | 8.6% | ||
| ICRGP | 16.5% | 15.3% | 0.93 | 15.2% | 20.5% | 1.09 | -1.3% | 17.7% | -3.2% | ||
| ICRGF | 19.2% | 20.1% | 1.04 | 17.1% | 18.0% | 1.06 | -2.1% | 18.1% | -2.9% | ||
| ICRGE | 10.0% | 17.5% | 1.01 | 25.1% | 20.0% | 1.13 | 15.2% | 18.3% | 12.3% | ||
| Emerging Markets | |||||||||||
| II CCR | 20.9% | 34.9% | 1.48 | 18.2% | 32.9% | 0.52 | -2.7% | 39.0% | 6.6% | ||
| ICRGC | 9.2% | 33.6% | 1.39 | 27.9% | 31.6% | 0.54 | 18.7% | 38.9% | 15.5% | ||
| ICRGP | 11.1% | 31.0% | 1.27 | 22.6% | 31.0% | 0.52 | 11.5% | 37.1% | 11.7% | ||
| ICRGF | 17.8% | 30.0% | 1.20 | 19.6% | 33.1% | 0.84 | 1.9% | 36.9% | 4.5% | ||
| ICRGE | 22.0% | 37.2% | 1.25 | 20.0% | 31.6% | 1.21 | -2.1% | 41.1% | -1.5% | ||
| MSCI World | 17.5% | 15.0% | |||||||||
| -Panel A portfolios formed by capitalization weighting all countries that experienced a contemporaneous increase or a decrease | |||||||||||
| in a country risk exposure. | |||||||||||
| -Panel B portfolios formed by capitalization 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