504 paired observations · consistent sample covariance and variance
BETAHEDGE PORTFOLIO ANALYTICS
Measure the risk. Then size the hedge.
CAPM, risk-adjusted ratios, tail loss, forecast skill and hedge sizing are calculated from the same aligned return series. The demo translates those outputs into an explainable NIFTY option structure without placing an order.
504 deterministic daily observations calibrated to plausible Indian equity behavior. Values are illustrative, reproducible and never sent to a broker.
Demo portfolio
₹1 crore single-stock exposure with market sensitivity and company-specific volatility.
Tail confidence
Changes VaR and Expected Shortfall—not the return history.
Annualized return less CAPM expectation
6.5% illustrative annual risk-free rate
Downside deviation below daily risk-free return
18.2% annual tracking error
RISK PATH · 2024-09-03 TO 2026-08-07
Growth of ₹100
Demo portfolioNIFTY benchmark
Portfolio return +15.2%Benchmark return +5.1%CAPM expected +4.9%
RISK-TO-HEDGE BRIDGE
Defensive posture
Model-indicated coverage75%
Rule-based output from beta, historical VaR, drawdown and tracking error. It is not an optimizer or a promise of hedge effectiveness.
Indicative NIFTY structure
Protective put
BUY24,600 PE12 lots
Indicative premium ₹1,76,904Portfolio cost 1.77%
Analysis only. The short put appears solely inside a fully defined-risk spread. No order-placement endpoint is present.
95% one-day loss threshold
Average loss beyond VaR
Peak-to-trough demo path
Sample standard deviation
CAPM & ACTIVE RISK
Return decomposition
MeasureOutputInterpretation
Portfolio return+15.2%Arithmetic annualized demo mean
CAPM expected return+4.9%Risk-free + β × market premium
Jensen's alpha+10.3%Observed less CAPM expected
Tracking error18.2%Annualized active-return dispersion
FUNDAMENTAL LAW · DEMO SIGNALS
Forecast skill with implementation drag
Spearman IC0.181
Independent breadth24
Transfer coefficient0.72
Expected IR0.64
IR = IC × √breadth × transfer coefficient. Breadth is treated as independent bets, not the raw number of forecasts; realised results can differ materially.
SECONDARY HEDGE CHECK
Futures-equivalent overlay
7SHORT indicative NIFTY futures contractsThe signed quantity checks beta exposure using ₹16.0 lakh per contract. BetaHedge still recommends the defined-risk option structure above for this demo.
01
Aligned inputs Portfolio and benchmark observations are paired before estimation.
02
Consistent beta Sample covariance and variance use the same denominator.
03
True downside risk Sortino uses downside deviation relative to the daily risk-free threshold.
04
Tail-aware output Historical VaR is accompanied by Expected Shortfall and drawdown.