What are the benefits of globally invested mutual funds? Evidence from statistical arbitrage models

Even though correlations between different economies’ stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall market returns of the last decade. Anticipating beneficial asset allocations is challenging since higher returns are basically associated with higher risks. The estimation procedure which is employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers 11 years.
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What are the benefits of globally invested mutual funds? Evidence from statistical arbitrage models