Future sell and buy underlying asset

Could you please let me what happens with below trade ?
At the begging of the month sell future (Say Nifty Future or some stock future) and buy underlying asset (Nifty bees or underlying stock corresponding to the future sold). Can we capture the premium of the future as profit ??

Definitely not a profitable strategy as there is no free lunch in stock market. But I want to understand this trade well.

@Jason_Castelino could you please let me know your comments on this. Thanks!

Your return will be very close to risk free rate.

Sorry, I am a beginner and trying to understand the things. Could you please let know your few cents on “risk free returns”. Thanks in advance.

If my understanding of your explanation is correct, what you are describing is basically what an arbritage mutual fund does. You can invest in these funds directly and leave the calculations and stuff to them. Some have given <=8-8.5% returns in last year in a safe manner.

I doubt an individual can do better manually since they need to calculate price differences and risk free returns, etc.

You can read this Varsity article about how futures is priced - The Futures Pricing – Varsity by Zerodha

Their modules on Futures - Futures Trading – Varsity by Zerodha

Thank you @Jason_Castelino and @tallerballer