Emerging Market equity returns have proved challenging to model using conventional statistical tools. In this paper we use the conditional capital asset pricing model (CCAPM) together with an explicit expectations structure to arrive at a framework which can be easily estimated. We take the perspective that US equity corresponds to the market and that our investors are US dollar investors and use this approach to explain emerging market country index equity returns. Different choices of US equity index provide, unsurprisingly, different results. A noteworthy finding is that the Russell 2000 seems a better explanatory variable than the Russell 1000 suggesting that it is the small to medium capitalised US companies that help us understand emerging market returns.