Honors Program
University Honors
Date of Award
5-2022
Thesis Professor(s)
William J. Trainor
Thesis Professor Department
Economics and Finance
Thesis Reader(s)
Son Wilson
Abstract
This study uses barbell strategies on the S&P 500 and the NASDAQ 100 to explore if funds invested primarily in fixed income assets with a portion of the investment placed in in-the-money call options can participate in upside potential, while also reducing risk. This study examines call options on the underlying indexes as well as their leveraged, 2x and 3x, counterparts. The barbell strategy studied, 88% in fixed income bonds and 12% in call options, does not have a higher return than the underlying index, and adds additional risk. However, a weighted portfolio with combinations of a risk-free asset and leveraged ETF does provide a higher return on investment, with a decreased risk as compared to the underlying index.
Publisher
East Tennessee State University
Document Type
Honors Thesis - Open Access
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.
Recommended Citation
Wampler, Eliza, "Risk-Return Dynamics Using Leveraged ETF Options" (2022). Undergraduate Honors Theses. Paper 690. https://dc.etsu.edu/honors/690
Copyright
Copyright by the authors.