Industry momentum boosts portfolio performance, outshining traditional strategies.
Minimum-variance portfolios, which focus on asset return variances, outperform traditional mean-variance approaches. However, they do not beat the simple 1/N rule. By using industry return momentum, a new portfolio strategy was developed. This strategy outperforms many established ones in terms of returns and risk. It is suitable for investors as it only slightly increases portfolio turnover compared to standard minimum-variance portfolios.