1. Top-Down Asset Allocation for Latin America Clairvoyant Investment Advisors Sonia Kopp Chris Lyford Peter O’Hara Denis Rappaport Michelle Todd February 24, 2000

2. Investment Mandate To use a top-down asset allocation model to dynamically allocate amongst five Latin American Countries with the objective of outperforming established dollar- priced Latin American indices.

3. Markets and Indices n Argentina n Brazil n Chile n Mexico n Venezuela n IFC Latin America U$ Index n MSCI Latin America U$ Index

4. In-Sample Model Summary

5. 1999 Out-of-Sample Results

6. Currency Comment n A Critical Issue n Overlays Expensive n Predicting Returns: Avoiding De-valuations

7. Final Insights and Remarks n Implementation n Time Horizon n Model Deterioration n Improving Top-Down Latin American Strategies in the Future

8. Raw Direction Count Data