Chapter 11 - Hedging with Futures

Beta Calculation
Date

Nifty Close Nifty Daily ReturnTCS CloseTCS Daily Return

3-Sep-14

8114.6

2606.4

4-Sep-14

8095.95

-0.23% 2584.75

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%

###

8094.1

-0.72% 2600.15

-1.18%

###

8085.7

-0.10% 2598.35

-0.07%

###

8105.5

0.24%

2607.6

0.36%

###

8042

-0.78%

2558.3

-1.89%

###

7932.9

-1.36% 2550.85

-0.29%

###

7975.5

0.54%

2591.2

1.58%

###

8114.75

1.75%

2642.3

1.97%

###

8121.45

0.08%

2714.2

2.72%

###

8146.3

0.31%

2721.8

0.28%

###

8017.55

-1.58%

2688.2

-1.23%

###

8002.4

-0.19%

2643

-1.68%

###

7911.85

-1.13%

2708.6

2.48%

###

7968.85

0.72%

2684

-0.91%

###

7958.9

-0.12% 2767.95

3.13%

###

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

13-Oct-14

7884.25

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%

-1.26%

-0.83%

2678.5

-1.02%

0.31% 2716.55

1.42%

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

29-Oct-14

8090.45

30-Oct-14

0.45%

2478.6

0.87%

0.78% 2506.05

1.11%

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

7-Nov-14

0.17%

2599.5

0.35%

8337

-0.02% 2572.85

-1.03%

###

8344.25

0.09% 2569.65

-0.12%

###

8362.65

0.22%

###

2580.7

0.43%

8383.3

0.25% 2591.75

0.43%

###

8357.85

-0.30% 2588.45

-0.13%

###

8389.9

0.38% 2606.45

0.70%

###

8430.75

0.49%

2618.3

0.45%

###

8425.9

-0.06% 2585.85

-1.24%

###

8382.3

-0.52% 2573.75

-0.47%

###

8401.9

0.23% 2605.45

1.23%

###

8477.35

0.90% 2622.15

0.64%

###

8530.15

0.62%

2657.7

1.36%

###

8463.1

-0.79%

2636

-0.82%

###

8475.75

0.15%

2627.3

-0.33%

###

8494.2

0.22%

2653.3

0.99%

###

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%

3-Dec-14

2657.3

-1.32%

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%

###

8355.65

###

0.18%

2507.9

-0.28%

8292.9

-0.75% 2492.15

-0.63%

###

8224.1

-0.83%

2450.7

-1.66%

###

8219.6

-0.05% 2358.65

-3.76%

###

8067.6

-1.85% 2443.05

3.58%

###

8029.8

-0.47%

0.04%

2444.1

###

8159.3

1.61%

2460.7

0.68%

###

8225.2

0.81% 2510.55

2.03%

###

8324

1.20%

2513.4

0.11%

###

8267

-0.68%

2516.7

0.13%

###

8174.1

-1.12%

2479.9

-1.46%

###

8200.7

0.33%

2505

1.01%

###

8246.3

0.56%

2522.9

0.71%

###

8248.25

0.02% 2530.05

0.28%

###

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

16-Jan-15

2.62%

2539.1

0.68%

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%

29-Jan-15

2539.6

1.50%

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%

3-Feb-15

8756.55

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%

###

8565.55

2514.2

1.30%

-0.46% 2558.25

1.75%

2512.9

-2.44%

0.46% 2441.15

-2.86%

###

8627.4

###

0.72%

2459.9

0.77%

8711.55

0.98% 2462.15

0.09%

###

8805.5

1.08% 2538.75

3.11%

###

8809.35

0.04%

2584.8

1.81%

###

8869.1

0.68% 2635.65

1.97%

###

8895.3

0.30% 2681.05

1.72%

###

8833.6

-0.69% 2675.55

-0.21%

###

8754.95

-0.89% 2696.65

0.79%

###

8762.1

0.08% 2704.75

0.30%

###

8767.25

###

2672.2

-1.20%

8683.85

-0.95% 2656.45

-0.59%

###

8844.6

1.85% 2662.35

0.22%

###

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%

0.06%

Beta

0.62

10