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- W1979784924 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." @default.
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- W1979784924 date "2004-09-30" @default.
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- W1979784924 title "Active Long-Only Investment in Energy Futures" @default.
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- W1979784924 doi "https://doi.org/10.3905/jai.2004.439640" @default.
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