A Century of Profitable Industry Trends
This study examines the profitability of a long-only trend-following portfolio across 48 industry sectors from 1926 to 2024. The analysis demonstrates the model’s effectiveness through its 18.5% average annual return, significantly outperforming the US equity market’s 9.7% return. The Timing Industry strategy not only offers higher returns but also reduced volatility and drawdowns, achieving a Sharpe Ratio of 1.46. We also analyze the performance using 31 sector ETFs over the past 20 years, confirming the strategy’s robustness and profitability even after accounting for trading costs.