Here is one small example. I've chosen to define nine "sectors" or "groups" of futures markets, and selected a US-only portfolio by choosing five markets from each sector. (However, some sectors contain fewer than five US markets, so I just took all available US markets in that sector. This happened in meats, STIRs, LTIRs, and Energies.)
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PORTFOLIO: USA-38 Grains Corn, Oats, Rough Rice, Soybeans, Wheat Metals Gold, Copper, Palladium, Platinum, Silver Meats Milk, Feeder Cattle, Live Cattle, Hogs Softs/Tropicals Cocoa, Cotton, Coffee, OJuice, Sugar Stock Indices eMini S&P, eMini NASDAQ, miniDow, miniMidcap Short Term Interest Rates Eurodollars, FedFunds Long Term Interest Rates 5Year, 2Year, 10Year, Bonds Energies Crude, HeatingOil, NatGas, RBOB Currencies Aussie, British, Canadian, Euro, Yen
I chose another portfolio of 38 markets, but this time included non-USA markets in my choices. The second portfolio had the same number of markets in each sector as the first portfolio, as you can see:
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PORTFOLIO: INTERNATIONAL-38 Grains Corn, ParisRapeseed, RoughRice, Wheat, KC Wheat Metals Gold, Silver, LMECopper, LMENickel, TokyoPlatinum Meats Milk, Feeder Cattle, Live Cattle, Hogs Softs/Tropicals LondonCoffee, LondonSugar, TokyoRubber, Cotton, MalayPalmOil Stock Indices HangSeng, Singapore, Topix, CAC-40 Short Term Interest Rates FedFunds, EURIBOR Long Term Interest Rates 5Year, 2Year, Japanese, Swiss Energies LondonCrude, LondonGasoil, NatGas, RBOB Currencies Euro/Yen cross, NZDollar, Yen, Euro, DollarIndex
Each of the 24,000 simulated parameter variations is plotted as a dot on this scatterplot. The X-coordinate shows the average trade duration for that particular parameter set, and the Y-coordinate shows the Robust Sharpe Ratio.
Figure 3 overlays the Frontiers (the upper boundaries) of the USA-38 portfolio results, and the INTERNATIONAL-38 portfolio results, on the same graph. As you can see, diversifying from USA to INTERNATIONAL has increased profitability, at least in this particular case of this one system and these two portfolios. However, I have seen confirmations of this general trend, again and again: the more I diversify globally, the better the results. This is merely one example.
Please feel free to perform similar experiments yourself, possibly using different systems, different portfolio construction rules, different portfolio sizes, and so forth; whatever interests YOU. Run some tests! Collect some data! Analyze the results and, occasionally, have a Eureka! moment.
EDIT: added another paragraph
EDIT2: fixed spelling mistake
EDIT3: fixed incorrect extra mkt in International list