Dear traders! Let's discuss investing in self-made structured products that replicate index returns with 100% capital protection. For example DIA Call Jan 2008 @104 Ã±osts $12-$12.3 http://finance.yahoo.com/q?s=YCKAZ.X DIA current price is 104.60. Time cost of this option is 4.68% a year. So we invest about 90.5% of total investmet in bond or bank's deposit with YTM about 5% and maturity in Jan 2008. Also we invest remaining 9.5% of total investment in YCKAZ options. So we have 100% of Dow Jones perfomance (excluding dividends) and 100% capital protection of investments. If in 2008 DIA is below current price and options cost 0 we'll still have 100% of initial investments because bond part of investment will return us 9.5% for 2 years. Let's modify this strategy: We invest 85% of total investmet in mutual fund that invest in floating rate bank loans and yields about 7% and remaining 15% in in YCKAZ options. Floating rate loans or bonds don't deprecate dramatically in price with FED RATE changes. So we'll have 150% of Dow Jones perfomance and 100% captial protection!!!!!!!!! Historical returns of such investments are more than 15% per annum!!! What do you think about this strategy?