DOES A HEDGE STRATEGY WITH OUT-OF-THE-MONEY OPTIONS ON SHARES OF STATE-OWNED COMPANIES BRING GREAT RETURNS? AN ANALYSIS IN THE PERIOD FORM 2018 TO 2021

Lucas Oliveira Florindo (), Helberte João França Almeida () and Rafael Jasper Feltrin ()
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Lucas Oliveira Florindo: Universidade Federal de Santa Catarina
Helberte João França Almeida: Universidade Federal de Santa Catarina
Rafael Jasper Feltrin: Universidade Federal de Santa Catarina

Revista de Economia Mackenzie (REM), 2023, vol. 20, issue 2, 167-190

Abstract: This study aimed to measure the results of an investment strategy whose main objective is the preservation of capital in times of crisis. For this, two portfolios were created composed of shares of state-owned companies, one of which would have in addition to the shares, a hedge strategy made with options to sell out of money, the portfolios were analyzed and compared through their total return in the period and by the risk-return perspective, using the Sharpe and Treynor ratios. The results obtained showed us that a portfolio composed of state shares and with a continuous hedge protection using selling options was more profitable and presented a better risk-return than an unprotected portfolio in the period analyzed.

Keywords: Hedge; risk-return; options; state-owned companies. (search for similar items in EconPapers)
JEL-codes: G1 G11 G2 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:20:2:2023:jul:dec:p:167-190

DOI: 10.5935/1808-2785/rem.v20n2p.167-190

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