Replikacja szerokiego rynku akcji Giełdy Papierów Wartościowych w Warszawie (GPW S. A.) z wykorzystaniem indeksu inwestycji odpowiedzialnych społecznie WIG-ESG

Jacek Tomaszewski

Gospodarka Narodowa-The Polish Journal of Economics, 2024, vol. 2024, issue 1

Abstract: The aim of this study is to investigate the viability of using the Warsaw Stock Exchange’s WIG-ESG socially responsible (ethical) investing index for building a passive investment portfolio. To validate this hypothesis, various portfolio analysis tools (standard deviation, the Sharpe ratio, tracking error, and the variance ratio) were applied to test the relationship between the WIG-ESG index and the traditional broad market index WIG. The results of the analysis revealed a strong and statistically significant relationship between the two indices. These findings indicate that the WIG-ESG index can be used as a benchmark for constructing a passive investment portfolio, offering an alternative to traditional indices that do not incorporate ESG (Environmental, Social, Governance) factors into their construction. The main practical implication of the study is the potential for constructing real-life investment portfolios (ETF funds, structured products, etc.) that can combine two approaches to portfolio construction: a passive approach and one involving the inclusion of ESG factors during the portfolio selection process. These two approaches are rapidly gaining popularity among investors.

Keywords: Financial; Economics (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ags:polgne:360589

DOI: 10.22004/ag.econ.360589

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