Evidence from applying my approach to US asset class data over 2007 to 2017 shows clear benefits versus the benchmarks, such as 1/N equal-weighted portfolios, single asset market-level indexes, and portfolios based on the risk parity approach using the predictions from DCC/ADCC-GARCH models without the macroeconomic uncertainty indexes as input. Specifically, my approach produces higher realized returns and lower realized risks out of sample. When my portfolio management approach is used to construct passively and actively managed energy stock portfolios, my passively managed portfolios significantly outperform the existing benchmark portfolios with lower tracking errors. My actively managed portfolios can use a much smaller set of stocks to achieve higher returns, lower risks, higher Sharpe ratios, and comparable information ratios than popular energy mutual funds from Vanguard and Fidelity, and consequently reduce computational burden and transaction costs.