We use data from 1999 to 2015 for 45 different assets. We compare risk-return characteristics in an out-of-sample framework of all network-based asset allocation strategies with their respective benchmark models. Within our sample, we show that utilizing information on the interconnectedness of various asset returns given the topological structure of a network improves the risk-return characteristics of standard benchmark portfolios. It is quite clear that the constructed network takes into account complex relationships between assets beyond those measured by correlations.