PT - JOURNAL ARTICLE AU - Georgi Georgiev TI - Active Long-Only Investment in Energy Futures AID - 10.3905/jai.2004.439640 DP - 2004 Sep 30 TA - The Journal of Alternative Investments PG - 32--43 VI - 7 IP - 2 4099 - https://pm-research.com/content/7/2/32.short 4100 - https://pm-research.com/content/7/2/32.full AB - 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.