The aim of this study is to provide empirical evidence of the international diversification benefits obtained employing not only time‐varying volatility forecasts but also time‐varying return forecasts from a multivariate approach that considers the dynamic relationships in return series as well as in volatilities and correlations. To that end, instead of using market indexes from different investment areas, we employ exchange trade funds actively traded on the New York Stock Exchange in recent years. It avoids nonsynchronous problems as well as allowing us to allocate internationally on a daily basis for which this approach is especially appropriate. Our overall results show that using this technique, it is possible to obtain economic gains and outperform the common benchmark strategies, even when the costs associated with the daily rebalance of each portfolio are taken into account.