How to mimic Nifty 50

if simply buy all the 50 stocks will my delta be 1?

Buy niftybees etf. Different stocks have different weightage on the index.

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Delta refers to rate of change of price of derivative wrt to change in underlying price eg futures have delta of 1 i.e. for every 1 Re. rise or fall in underlying be it stock or index will cause rise or fall of Re. 1 in futures accordingly

I think what you should refer the movement as it as ‘beta’ i.e. rise or fall wrt to Nifty value.

If you buy all 50 stocks say 1 qty each then still your beta or for that matter delta won’t be 1.

So best to buy Nifty etf or future. :slightly_smiling_face:

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What about the beta ? Its not 1

:dart: absolutely

Future has a premium. What is nifty etf beta?

It is 1

14906−15175=269 nifty

159.64−162.10=2.46 nifty bees

14906÷159.64=93.37 quantity to gain same points

93.37258…×2.46=229 actual gained nifty bees

But today nifty is up 269

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Go look at niftybees factsheet

Beta is close to 1 but not actually 1 due to tracking error. Your next best bet would be to buy stocks in the proportion of the current weightage.

Exactly, how much quantity should I buy to mimic any idea?

Nifty value / etf value = qty

I was asking about stocks

You can google current index weightage based on that allocate your capital.

On SBI Nifty 50 ETF website (under the Unit Creation tab), they have shared the exact quantity of each Nifty 50 stock required for creating the Creation Unit (which is 50,000 quantity of the ETF) -

SBI - ETF Nifty 50 - Unit Creation For Date 2021-05-21

SECURITY NAME QUANTITY CLOSING PRICE VALUE
Adani Ports And Special Economic Zone Ltd. 86 769.2 66151.2
Asian Paints Ltd. 53 2832.5 150122.5
Axis Bank Ltd. 294 730.9 214884.6
Bajaj Auto Ltd. 15 4125.55 61883.25
Bajaj Finance Ltd. 31 5631.75 174584.25
Bajaj Finserv Ltd. 7 11265.15 78856.05
Bharat Petroleum Corporation Ltd. 109 461.05 50254.45
Bharti Airtel Ltd. 283 530.95 150258.85
Britannia Industries Ltd. 14 3435.75 48100.5
Cipla Ltd. 59 926.9 54687.1
Coal India Ltd. 245 147.2 36064
Divi’S Laboratories Ltd. 15 4079.9 61198.5
Dr. Reddy’S Laboratories Ltd. 14 5216.45 73030.3
Eicher Motors Ltd. 16 2522.3 40356.8
Grasim Industries Ltd. 45 1371.85 61733.25
Hcl Technologies Ltd. 127 930.65 118192.55
Hdfc Bank Ltd. 509 1497.3 762125.7
Hdfc Life Insurance Company Ltd. 97 670.7 65057.9
Hero Motocorp Ltd. 15 2884.4 43266
Hindalco Industries Ltd. 171 389.8 66655.8
Hindustan Unilever Ltd. 104 2362.25 245674
Housing Development Finance Corporation Ltd. 211 2518.05 531308.55
Icici Bank Ltd. 809 642.45 519742.05
Indian Oil Corporation Ltd. 297 104.3 30977.1
Indusind Bank Ltd. 66 1016 67056
Infosys Ltd. 433 1354.5 586498.5
Itc Ltd. 1022 209.05 213649.1
Jsw Steel Ltd. 113 698.2 78896.6
Kotak Mahindra Bank Ltd. 171 1757.65 300558.15
Larsen & Toubro Ltd. 141 1418.05 199945.05
Mahindra & Mahindra Ltd. 112 818.95 91722.4
Maruti Suzuki India Ltd. 16 6814.65 109034.4
Nestle India Ltd. 4 17497.1 69988.4
Ntpc Ltd. 556 112.85 62744.6
Oil & Natural Gas Corporation Ltd. 427 112.75 48144.25
Power Grid Corporation Of India Ltd. 300 227.95 68385
Reliance Industries Ltd. 378 2002.55 756963.9
Sbi Life Insurance Company Ltd. 46 969.25 44585.5
Shree Cement Ltd. 2 27622.65 55245.3
State Bank Of India 449 401.2 180138.8
Sun Pharmaceutical Industries Ltd. 126 690.4 86990.4
Tata Consumer Products Ltd. 70 649.7 45479
Tata Consultancy Services Ltd. 121 3080.5 372740.5
Tata Motors Ltd. 210 313.1 65751
Tata Steel Ltd. 91 1113.1 101292.1
Tech Mahindra Ltd. 72 980.5 70596
Titan Company Ltd. 49 1538.35 75379.15
Ultratech Cement Ltd. 13 6637.6 86288.8
Upl Ltd. 64 779.85 49910.4
Wipro Ltd. 173 512.7 88697.1
Total Basket Value NAV (₹) NAV Date Basket Size (Units) Cash Component Per Basket
7681845.65 153.66 21-05-2021 50000 969.35
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Thank you @Prayag

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It’s an ideal senario, but in reality date to expiration and short term demand and supply also affects the price of the future

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Hi @Prayag, the link that you’ve posted above does show the weightage of each stock but this keeps on regularly changing. It obviously is difficult for anyone to keep on tracking the change and accordingly re-manage it in your portfolio. Isn’t it?

I guess nity bees is sufficient if you are looking for longterm .

short term i guess it is impossible to imitate coz even the big fund managers like sbi nifty , kotak nifty , nippon etf there will be a tracking error

I beg to differ. During Many of high volatility days the etf prices do not go parallel to that of index. The classical example was the lower circuit day, when being oblivious to this fact, I bought lots of nifty bees only to find later that the prices of nifty bees was not linear that point in time and my buy prices of etf were corresponding to roughly 1000 points higher nifty.

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