In his latest newsletter (click here for a PDF version), Research Affiliates’ Rob Arnott offers some interesting data on sovereign debt — data that indicates many investors are buying up bonds from the wrong countries.

While investors have been pouring into U.S. Treasuries, Arnott says the U.S. — and many other developed countries — aren’t the place to be when it comes to sovereign debt. “Bond investors are lenders,” he says. “Why should we deliberately choose to lend more to those who are most deeply in debt?”

Arnott measures a country’s ability to finance its debt by comparing its debt level to its “economic size”, which he calculates using four factors: capital (using gross domestic product); labor (using population); resources (using landmass as a proxy); and energy (using aggregate energy consumption). His findings: A small number of developed countries — including Australia, Poland, Slovakia, Canada, and Sweden — are in solid position when it comes to financing their debt. But other developed nations — including the U.S., though it’s a bit better off than other G-5 nations — aren’t all that different than the much-maligned so-called “PIIGS” (Portugal, Italy, Ireland, Greece, and Spain) when it comes to debt financing ability.

The really attractive areas based on ability to finance debt, according to Arnott: emerging markets. “One might reasonably argue that — absent political risk — emerging markets are collectively more creditworthy than U.S. Treasuries,” he says. “Which invites a provocative question: when will U.S. Treasuries be priced to offer a ‘risk premium’ (higher yield) more than the most stable and solvent sovereign debt that money can buy: Emerging Markets?”

It’s a question Arnott certainly seems to think is worth considering — he says that the ” looming sovereign debt crisis will be one of — if not the — defining influences on capital market returns over the next 10 years.”