TY - JOUR T1 - Active Long-Only Investment in Energy Futures JF - The Journal of Alternative Investments SP - 32 LP - 43 DO - 10.3905/jai.2004.439640 VL - 7 IS - 2 AU - Georgi Georgiev Y1 - 2004/09/30 UR - https://pm-research.com/content/7/2/32.abstract N2 - 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. ER -