Value of Nifty

Value of the portfolio

Lot size of Nifty Futures
Risk free interest rate
Dividend yield on the index
Beta of the portfolio

6112
50,000,000 P
50
4% pa
1% pa
1

309701.95

N*
Futures Price today

161.4

6194.039045

Performance of a stock index hedge

Value of the index in 3 months

4112

5112

6112

7112

Futures price of Index today

6194

6194

6194

6194

Futures price of index in three months

4126

5129

6132

7136

Gain on futures position

16695967.63

8596738 497508.3 -7601721.3

Return on Market

-32.47%

-16.11%

0.25%

16.61%

Expected return on portfolio

Expected portfolio value in 3 months (including
dividends)

-32.47%

-16.11%

0.25%

16.61%

33763743.46 41944372 50125000

58305628

50459711.09 50541110 50622508

0.92%
1.08%
1.25%

50703907
1.41%

Total expected value of position in three months

8112
6194

8139
-15700951
32.97%
32.97%
66486256.54
50785305.54
1.57%

0.01

Value of Nifty
Value of the portfolio
Lot size of Nifty Futures
Risk free interest rate
Dividend yield on the index
Beta of the portfolio

6112
50,000,000 P
50
4% pa
1% pa
1.5

Futures Price today

6194.03904

309702

N*

-360.0

Performance of a stock index hedge

Value of the index in 3 months
Futures price of Index today
Futures price of index in three months
Gain on futures position
Return on Market
Expected return on portfolio
Expected portfolio value in 3 months (including
dividends)
Total expected value of position in three months

4112
6194
4126
-37229571
-32.47%

5112
6194
5129
-19169471
-16.11%

6112
6194
6132
-1109371
0.25%

7112
6194
7136
16950729
16.61%

-49.21%

-24.67%

-0.13%

24.42%

25395615

37666558

49937500

62208442

-11833956 18497086.6
-123.67%
-63.01%

48828129
-2.34%

79159171.59
58.32%

8112
6194
8139
35010829
32.97%
48.96%
74479385
109490214.1
118.98%

3.71

Value of Nifty
Value of the portfolio
Lot size of Nifty Futures
Risk free interest rate
Dividend yield on the index
Beta of the portfolio

6112
50,000,000 P
50
4% pa
1% pa
1.5

Futures Price today

6194.03904

309702

N*

161

Performance of a stock index hedge

Value of the index in 3 months
Futures price of Index today
Futures price of index in three months
Gain on futures position
Return on Market
Expected return on portfolio
Expected portfolio value in 3 months (including
dividends)
Total expected value of position in three months

4112
6194
4126
16691258
-32.47%

5112
6194
5129
8594313
-16.11%

6112
6194
6132
497368
0.25%

7112
6194
7136
-7599577
16.61%

-49.21%

-24.67%

-0.13%

24.42%

25395615

37666558

49937500

62208442

42086872.9 46260870.4
-15.83%
-7.48%

50434868
0.87%

54608865.49
9.22%

8112
6194
8139
-15696522
32.97%
48.96%
74479385
58782863.02
17.57%

0.51