Beta hedge calculator
Index futures to hedge a portfolio.
Free risk tools
Rolling beta and hedge ratio
How much of one market hedges another? The beta from your prices, window by window, and the hedge size for your position.
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The prices
The hedge
Beta of 0.50 over the last 20 bars: to hedge 10,000 held, sell about 5,031 of the second market.
- Whole run
- 0.44 over all 79 bars, with an R squared of 0.08: the second market explains 8% of the first one's swings.
- Risk left
- A bar-to-bar swing of about 0.72% unhedged, about 0.69% left with the hedge: a poor hedge; most of the risk stays.
- Stability
- The 20-bar beta ran from -0.02 to 0.80, median 0.40. It moves a lot, so check the hedge size again often.
- Read it with care
- Beta is measured on the bar-to-bar moves you pasted. Hedge in money value, not in lots or ounces, and size it again when the beta moves.
The 20-bar beta at points through the run, by the bar it ends on, and the hedge it gives for 10,000 held. The latest is marked.
| Ends at bar | Beta | Hedge |
|---|---|---|
| 31 | 0.80 | 8,040 |
| 38 | 0.33 | 3,290 |
| 45 | 0.22 | 2,190 |
| 52 | 0.12 | 1,210 |
| 59 | 0.54 | 5,376 |
| 66 | 0.41 | 4,077 |
| 73 | 0.76 | 7,572 |
| 80 | 0.50 | 5,031 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
How much to hedge, and for how long
Beta says how far one market tends to move for each 1% move in another. Silver with a beta of 1.4 to gold tends to move 1.4% when gold moves 1%, so a hedge needs about 1.4 times the money in gold, on the other side. The R squared says how much of the risk such a hedge can remove; the rest stays. Beta drifts, which is why this page measures it window by window as well as over the whole run.
Turn a beta into futures contracts with the beta hedge calculator, see whether the link itself holds with the rolling correlation calculator, and test a pair for mean reversion with the cointegration test.
Not advice. Arithmetic on the prices you type; past links do not promise future ones.
Next tools
Rolling correlation calculator
Does the link hold?
Cointegration test
Is the pair really tied together?
Pricing
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.