• Skip to main content
  • Skip to footer

OptionMetrics

search
  • About Us
    • Who We Serve
    • Why OptionMetrics
    • Leadership
  • Data Products
    • Equities
      • United States
      • Europe
      • Asia
      • Canada
      • ETFs
    • Futures
    • Signed Volume
    • Implied Beta
    • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact

E. Szado and H. Kazemi: Collaring the Cube: Protection Options for a QQQ ETF Portfolio

April 1, 2008

This article assesses the effectiveness of a long collar as a protective strategy. We examine the risk/return characteristics of a passive collar strategy on the Powershares QQQ trust exchange traded fund (Ticker: QQQQ) from March 1999 to March 2008 and find that, over this time period, a 6-month put/1-month call collar provides far superior returns to the buy and hold QQQ strategy at about 1⁄3 of the volatility. Since returns from protective strategies are not normally distributed, we use both Leland alpha and the Stutzer index to measure risk-adjusted performance.

Download

Share this post:
  • Facebook
  • Pinterest
  • Twitter
  • Linkedin
Foote Logo
  • About Us
  • Who We Serve
  • Why OptionMetrics
  • Leadership
  • Data Products
  • Equities
  • Futures
  • Signed Volume
  • Implied Beta
  • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact Us
  • Support Request
Stay Connected

dashicons-linkedin dashicons-twitter dashicons-facebook-alt

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply

© 2023 OptionMetrics, LLC. All Rights Reserved. | Privacy Policy | Terms of Use | Accessibility | Site Map