A Century of Profitable Industry Trends

Optimal Momentum

Gary Antonacci, Carlo Zarattini

Research

34 Pages

This paper analyzes a long-only trend-following strategy applied across 48 U.S. industry portfolios from 1926 to 2024. It reports that this model significantly outperformed passive equity benchmarks, generating higher returns with lower volatility and drawdowns.

Key Takeaways

Strong outperformance: The trend-following industry model achieved an average annual return of ~18.5%, versus ~9.7% for the U.S. equity market
Boosted risk efficiency: With volatility around 12.1%, the strategy yielded a Sharpe Ratio of ~1.46 versus ~0.63 for the market
Drawdown control: The approach reduced peak drawdowns by nearly 60% compared to a buy-and-hold benchmark
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