Statistical Accuracy, Economic Value and Model Instability in ETF Return Forecasting: A Comparison Across Developed and Emerging Markets
Whether machine-learning models extract predictive signal from ETF returns across markets at different efficiency levels and whether statistical accuracy translates into trading value, remain contested. We examine this for iShares MSCI Brazil (EWZ) and iShares Core S&P 500 (IVV) from January 2010 to July 2026, training...