Downside risk and the energy hedger's horizon

► The impact of investor time-horizon on an optimal downside hedged energy portfolio is explored. ► The optimal heating oil hedge ratio and associated effectiveness are contrasted for a range of risk metrics. ► All downside risk metrics show increasing hedging effectiveness at longer horizons. ► Decreased hedging effectiveness is demonstrated for increased levels of uncertainty at higher confidence intervals. ► Both hedging horizon and confidence intervals found to be fundamental to the futures hedging decision.