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Hedging Strategies in Zerodha Varsity

The document provides daily closing values for the Nifty 50 index and Tata Consultancy Services (TCS) stock price over a period of several months. It uses this data to calculate the beta of TCS relative to the Nifty 50 index, which measures the volatility of TCS compared to the overall market. The beta value calculated is 0.62, indicating that TCS is historically less volatile than the overall market.

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Industry Standard Structural Design
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19 views4 pages

Hedging Strategies in Zerodha Varsity

The document provides daily closing values for the Nifty 50 index and Tata Consultancy Services (TCS) stock price over a period of several months. It uses this data to calculate the beta of TCS relative to the Nifty 50 index, which measures the volatility of TCS compared to the overall market. The beta value calculated is 0.62, indicating that TCS is historically less volatile than the overall market.

Uploaded by

Industry Standard Structural Design
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd

Zerodha Varsity - Module 4

Chapter 11 - Hedging with Futures

Beta Calculation
Date Nifty Close Nifty Daily Return TCS Close TCS Daily Return
3-Sep-14 8114.6 2606.4
4-Sep-14 8095.95 -0.23% 2584.75 -0.83% Beta
5-Sep-14 8086.85 -0.11% 2598.6 0.54%
8-Sep-14 8173.9 1.08% 2642.7 1.70%
9-Sep-14 8152.95 -0.26% 2631.25 -0.43%
10-Sep-14 8094.1 -0.72% 2600.15 -1.18%
11-Sep-14 8085.7 -0.10% 2598.35 -0.07%
12-Sep-14 8105.5 0.24% 2607.6 0.36%
15-Sep-14 8042 -0.78% 2558.3 -1.89%
16-Sep-14 7932.9 -1.36% 2550.85 -0.29%
17-Sep-14 7975.5 0.54% 2591.2 1.58%
18-Sep-14 8114.75 1.75% 2642.3 1.97%
19-Sep-14 8121.45 0.08% 2714.2 2.72%
22-Sep-14 8146.3 0.31% 2721.8 0.28%
23-Sep-14 8017.55 -1.58% 2688.2 -1.23%
24-Sep-14 8002.4 -0.19% 2643 -1.68%
25-Sep-14 7911.85 -1.13% 2708.6 2.48%
26-Sep-14 7968.85 0.72% 2684 -0.91%
29-Sep-14 7958.9 -0.12% 2767.95 3.13%
30-Sep-14 7964.8 0.07% 2736.6 -1.13%
1-Oct-14 7945.55 -0.24% 2775.6 1.43%
7-Oct-14 7852.4 -1.17% 2731.35 -1.59%
8-Oct-14 7842.7 -0.12% 2683.2 -1.76%
9-Oct-14 7960.55 1.50% 2706.05 0.85%
10-Oct-14 7859.95 -1.26% 2678.5 -1.02%
13-Oct-14 7884.25 0.31% 2716.55 1.42%
14-Oct-14 7864 -0.26% 2699.2 -0.64%
16-Oct-14 7748.2 -1.47% 2678.1 -0.78%
17-Oct-14 7779.7 0.41% 2441.15 -8.85%
20-Oct-14 7879.4 1.28% 2423.3 -0.73%
21-Oct-14 7927.75 0.61% 2433.4 0.42%
22-Oct-14 7995.9 0.86% 2451.85 0.76%
23-Oct-14 8014.55 0.23% 2465.35 0.55%
27-Oct-14 7991.7 -0.29% 2457.15 -0.33%
28-Oct-14 8027.6 0.45% 2478.6 0.87%
29-Oct-14 8090.45 0.78% 2506.05 1.11%
30-Oct-14 8169.2 0.97% 2558.2 2.08%
31-Oct-14 8322.2 1.87% 2607.85 1.94%
3-Nov-14 8324.15 0.02% 2590.35 -0.67%
5-Nov-14 8338.3 0.17% 2599.5 0.35%
7-Nov-14 8337 -0.02% 2572.85 -1.03%
10-Nov-14 8344.25 0.09% 2569.65 -0.12%
11-Nov-14 8362.65 0.22% 2580.7 0.43%
12-Nov-14 8383.3 0.25% 2591.75 0.43%
13-Nov-14 8357.85 -0.30% 2588.45 -0.13%
14-Nov-14 8389.9 0.38% 2606.45 0.70%
17-Nov-14 8430.75 0.49% 2618.3 0.45%
18-Nov-14 8425.9 -0.06% 2585.85 -1.24%
19-Nov-14 8382.3 -0.52% 2573.75 -0.47%
20-Nov-14 8401.9 0.23% 2605.45 1.23%
21-Nov-14 8477.35 0.90% 2622.15 0.64%
24-Nov-14 8530.15 0.62% 2657.7 1.36%
25-Nov-14 8463.1 -0.79% 2636 -0.82%
26-Nov-14 8475.75 0.15% 2627.3 -0.33%
27-Nov-14 8494.2 0.22% 2653.3 0.99%
28-Nov-14 8588.25 1.11% 2643 -0.39%
1-Dec-14 8555.9 -0.38% 2692.95 1.89%
2-Dec-14 8524.7 -0.36% 2657.3 -1.32%
3-Dec-14 8537.65 0.15% 2635.35 -0.83%
4-Dec-14 8564.4 0.31% 2637.95 0.10%
5-Dec-14 8538.3 -0.30% 2578.95 -2.24%
8-Dec-14 8438.25 -1.17% 2512.8 -2.56%
9-Dec-14 8340.7 -1.16% 2514.85 0.08%
10-Dec-14 8355.65 0.18% 2507.9 -0.28%
11-Dec-14 8292.9 -0.75% 2492.15 -0.63%
12-Dec-14 8224.1 -0.83% 2450.7 -1.66%
15-Dec-14 8219.6 -0.05% 2358.65 -3.76%
16-Dec-14 8067.6 -1.85% 2443.05 3.58%
17-Dec-14 8029.8 -0.47% 2444.1 0.04%
18-Dec-14 8159.3 1.61% 2460.7 0.68%
19-Dec-14 8225.2 0.81% 2510.55 2.03%
22-Dec-14 8324 1.20% 2513.4 0.11%
23-Dec-14 8267 -0.68% 2516.7 0.13%
24-Dec-14 8174.1 -1.12% 2479.9 -1.46%
26-Dec-14 8200.7 0.33% 2505 1.01%
29-Dec-14 8246.3 0.56% 2522.9 0.71%
30-Dec-14 8248.25 0.02% 2530.05 0.28%
31-Dec-14 8282.7 0.42% 2558.25 1.11%
1-Jan-15 8284 0.02% 2545.55 -0.50%
2-Jan-15 8395.45 1.35% 2579.45 1.33%
5-Jan-15 8378.4 -0.20% 2540.25 -1.52%
6-Jan-15 8127.35 -3.00% 2446.6 -3.69%
7-Jan-15 8102.1 -0.31% 2417.7 -1.18%
8-Jan-15 8234.6 1.64% 2443.8 1.08%
9-Jan-15 8284.5 0.61% 2512.3 2.80%
12-Jan-15 8323 0.46% 2509.7 -0.10%
13-Jan-15 8299.4 -0.28% 2497.9 -0.47%
14-Jan-15 8277.55 -0.26% 2521.95 0.96%
15-Jan-15 8494.15 2.62% 2539.1 0.68%
16-Jan-15 8513.8 0.23% 2532.15 -0.27%
19-Jan-15 8550.7 0.43% 2511 -0.84%
20-Jan-15 8695.6 1.69% 2500.45 -0.42%
21-Jan-15 8729.5 0.39% 2513.8 0.53%
22-Jan-15 8761.4 0.37% 2513.55 -0.01%
23-Jan-15 8835.6 0.85% 2503.6 -0.40%
27-Jan-15 8910.5 0.85% 2502.05 -0.06%
28-Jan-15 8914.3 0.04% 2539.6 1.50%
29-Jan-15 8952.35 0.43% 2544.65 0.20%
30-Jan-15 8808.9 -1.60% 2482.05 -2.46%
2-Feb-15 8797.4 -0.13% 2514.2 1.30%
3-Feb-15 8756.55 -0.46% 2558.25 1.75%
4-Feb-15 8723.7 -0.38% 2514.3 -1.72%
5-Feb-15 8711.7 -0.14% 2552.4 1.52%
6-Feb-15 8661.05 -0.58% 2575.75 0.91%
9-Feb-15 8526.35 -1.56% 2512.9 -2.44%
10-Feb-15 8565.55 0.46% 2441.15 -2.86%
11-Feb-15 8627.4 0.72% 2459.9 0.77%
12-Feb-15 8711.55 0.98% 2462.15 0.09%
13-Feb-15 8805.5 1.08% 2538.75 3.11%
16-Feb-15 8809.35 0.04% 2584.8 1.81%
18-Feb-15 8869.1 0.68% 2635.65 1.97%
19-Feb-15 8895.3 0.30% 2681.05 1.72%
20-Feb-15 8833.6 -0.69% 2675.55 -0.21%
23-Feb-15 8754.95 -0.89% 2696.65 0.79%
24-Feb-15 8762.1 0.08% 2704.75 0.30%
25-Feb-15 8767.25 0.06% 2672.2 -1.20%
26-Feb-15 8683.85 -0.95% 2656.45 -0.59%
27-Feb-15 8844.6 1.85% 2662.35 0.22%
28-Feb-15 8901.85 0.65% 2675.25 0.48%
2-Mar-15 8956.75 0.62% 2669.4 -0.22%
3-Mar-15 8996.25 0.44% 2776 3.99%
0.62

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