One might think that, because systematic risk begets return, investing in developing countries might be a good place to sock away some money and experience the 'risk premium'. But over the past 10 years, the average USD returns to 17 prominent developed countries was about the same as the annual return is the US.
The only places I have seen a risk premium, are the following: the short end of the yield curve (overnight to 3 years), the Baa-Aaa spread, and the equity risk premium. If you know of any others, I'd like to learn of them.
Annual Equity Returns in USD, 6/95-6/08
12.62 TEL AVIV
8.65 S&P500 (USA)