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A study of risk and return characteristics of long collar strategy on Nifty Bees

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Avneet Kaur and Navdeep Aggarwal

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Abstract

Indian Journal of Economics and Development
Year : 2013, Volume : 9, Issue : 1
First page : ( 39) Last page : ( 49)
Print ISSN : 2277-5412.

A study of risk and return characteristics of long collar strategy on Nifty Bees

Kaur Avneet1, Ph.D. Scholar, Aggarwal Navdeep, Assistant Professor
School of Business Studies, Punjab Agricultural University, Ludhiana-141004

1Email: avneet_kaur89@yahoo.com

JEL Classification: G10

Online published on 1 August, 2013.

Abstract
The study was carried out to analyze the performance of long collar strategy on equity index based exchange traded fund namely Nifty Bees. The long collar strategy was applied by using put and call options available on S & P CNX Nifty. Using different combinations of moneyness and maturity of the options along with a long position in the ETF, returns were calculated on monthly basis for period from 1st January 2006 to 31st August 2011. The result shows that the long collar strategy, in all combinations of moneyness and maturity, outperforms the simple buy and hold strategy on risk adjusted basis.