if simply buy all the 50 stocks will my delta be 1?
Buy niftybees etf. Different stocks have different weightage on the index.
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.
What about the beta ? Its not 1
Future has a premium. What is nifty etf beta?
It is 1
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
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|
|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|
|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|
|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|
|Total Basket Value||NAV (₹)||NAV Date||Basket Size (Units)||Cash Component Per Basket|
Thank you @Prayag
It’s an ideal senario, but in reality date to expiration and short term demand and supply also affects the price of the future
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.