RT Journal Article SR Electronic T1 Active Long-Only Investment in Energy Futures JF The Journal of Alternative Investments FD Institutional Investor Journals SP 32 OP 43 DO 10.3905/jai.2004.439640 VO 7 IS 2 A1 Georgi Georgiev YR 2004 UL https://pm-research.com/content/7/2/32.abstract 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.