Persistent Interest Portfolios: Marrying Web Search Data with Mean–Variance Theory

Abstract

Using Web search data obtained with Google Trends, the authors find that some companies among the S&P 500 Index constituents have persistently high search scores. Many of these companies provide consumer products/services. Mean–variance-optimal portfolios composed of these companies significantly outperform the S&P 500 Index and the consumer-related exchange-traded funds over the 2009–2015 period. The authors conclude that the information from Web searches may be helpful for identifying optimal portfolios.