Multi-region investment strategies, including developed and emerging markets.
The study finds that inflation and industrial growth predict commodity prices, while stocks lead commodities by a month in downturns. Futures trading makes markets more efficient but increases volatility after introduction and during crises.
Sharpe ratio up to 7.2. A powerful AI-driven approach to price trends, demonstrating that machine learning can outperform traditional technical indicators.
Adding a seasonality factor to a portfolio of market, size, value, and momentum increases the Sharpe ratio from 1.04 to 1.67.
The study highlights greater returns in markets with high trading frictions, such as non-US developed and emerging markets.