@article {Szado24, author = {Edward Szado and Hossein B Kazemi}, title = {Collaring the Cube: Protection Options for a QQQ ETF Portfolio }, volume = {11}, number = {4}, pages = {24--42}, year = {2009}, doi = {10.3905/JAI.2009.11.4.024}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article assesses the effectiveness of a long collar as a protective strategy. It examines the risk/return characteristics of a passive collar strategy on the Powershares QQQ trust exchange-traded fund from March 1999{\textendash}2008 and finds that, over this time period, a six-month put/one-month call collar provides far superior returns to the buy-and-hold QQQ strategy with significantly less volatility. Since returns from protective strategies are not normally distributed, both Leland alpha and the Stutzer index are used to measure risk-adjusted performance. In addition, a number of implementations of a long collar strategy are considered, where for each strategy the impact of bid/ask spreads on the strategy{\textquoteright}s perfor mance is taken into account. To examine the collar{\textquoteright}s performance in different market environments, the time period is further segmented into two sub-periods, an early period that is generally favorable to the collar and a later period that is unfavorable to a collar strategy. The magnitude of the risk reduction of the collar is significant. TOPICS: Exchange-traded funds and applications, options, statistical methods, risk management}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/11/4/24}, eprint = {https://jai.pm-research.com/content/11/4/24.full.pdf}, journal = {The Journal of Alternative Investments} }