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Abstract
In this article we study and compare the investment performance and portfolio diversification benefits of passive and active long-only energy futures investment. We apply simple trend-capturing rules to dynamically reallocate capital into and out of the market. We find that active long-only investment may considerably increase absolute and risk-adjusted return, reduce the volatility inherent in energy futures, and provide significant downward protection in periods of extreme negative performance of the underlying energy markets.
- © 2004 Pageant Media Ltd
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Active Long-Only Investment in Energy Futures
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