This paper studies the energy futures risk premia that can be extracted through long-short portfolios that exploit heterogeneities across contracts as regards various characteristics or signals and integrations thereof. Investors can earn a sizeable premium of about 8% and 12% per annum by exploiting the energy futures contract risk associated with the hedgers' net positions and roll-yield characteristics, respectively, in line with predictions from the hedging pressure hypothesis and theory of storage. Simultaneously exploiting various signals towards style-integration with alternative weighting schemes further enhances the premium. In particular, the style-integrated portfolio that equally weights all signals stands out as the most effective. The findings are robust to transaction costs, data mining and sub-period analyses.

本文研究了可以通过多空投资组合提取的能源期货风险溢价，这些投资组合利用跨合约的各种特征或信号及其整合的异质性。根据对冲压力假设和存储理论的预测，投资者分别利用与套期保值者的净头寸和展期收益特征相关的能源期货合约风险，每年可以获得约 8% 和 12% 的可观溢价. 同时利用各种信号与替代加权方案进行风格整合，进一步提高了溢价。特别是，对所有信号均等加权的风格集成投资组合是最有效的。研究结果对交易成本、数据挖掘和子期间分析是稳健的。