HELENA (AP) — U.S. Immigration and Customs Enforcement agents returned $5,000 to a Helena woman who was bilked out of $20,000 in a Canadian lottery scam.

The money was returned Thursday following an investigation by a joint U.S.-Canada initiative called Project COLT, which was formed in the 1990s to combat telemarketing fraud in both countries.

In the lottery scam, con artists call a person to tell them they have won a lottery or other substantial prize, but in order for the money to be released, the ‘‘winner’’ must pay a Customs duty, a tax or a fee.

‘‘The sad truth is that most people simply lose their money,’’ said Michael Masto, assistant special agent in charge for the ICE office in Denver.

Project COLT intercepts about $1 million annually, returning the money to victims.