Global industry portfolios and short-term predictability of returns: Is it there?

► We explore predictability of a large set of trend following trading rules applied to a sample of global industry indices. ► The influences of nonsynchronous prices, data snooping and transaction costs have been accounted for in our analysis. ► We find that the hypothesis of no outperformance of trading rules cannot be rejected in most industries. ► Our findings can generally be interpreted as the evidence of short-term efficiency in global equity markets.