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

Using web search data obtained with Google Trends, we found that some companies among the S&P 500 constituents have persistently high search scores. Many of these companies provide consumer products/services. Mean-variance optimal portfolios composed of these companies have significantly outperformed the S&P 500 index and the consumer-related ETFs in 2009-2015. We conclude that the information based on web searches may be helpful for identifying optimal portfolios