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- GPW Benchmark starts the publication of two new strategy indices
- Publication of the indices begins on 4 September 2023
- The new strategy indices are calculated based on the value of WIG20TR and the transaction-based index WIRON
GPW Benchmark is starting to publish two new strategy indices, WIG20TRsht and WIG20TRlev. The construction and objective of measuring economic realities of the new indices is the same as for the WIG20short and WIG20lev indices already published by GPW Benchmark. Unlike the existing indices which are based on the WIG20 index and the WIBOR ON reference rate, the new indices will reflect the performance of the WIG20TR index (the total return counterpart to WIG20) using the transaction-based index WIRON.
WIG20TRsht directly reflects the performance of WIG20TR but in the opposite direction. If WIG20TR rises by 2% at a trading session, WIG20TRsht falls by 2%. A 2% decline in WIG20TR at a session results in a 2% increase of WIG20TRsht.
WIG20TRlev also directly reflects the performance of WIG20TR, its direction is the same as for WIG20TR, but it is twice as large. If WIG20TR rises by 2% at a session, WIG20TRlev rises by 4%. A 2% decline in WIG20TR results in a 4% decline of WIG20TRlev.
The return or the cost, respectively, of an investment in the WIG20TR portfolio is included in the formula of both indices, as well. For WIG20TRsht, it is the result of the invested amount that the investor receives for short selling the WIG20TR portfolio. For WIG20TRlev, it is the cost of capital borrowed to buy shares in the WIG20TR portfolio. Both the return and the cost of capital are expressed in the new indices in terms of the value of WIRON (in the previously published strategy indices, WIBOR ON).
As a result investors with expectations of negative stock market performance have the opportunity to generate positive returns on their investments if markets fall as predicted (WIG20TRsht).
Investors expecting a rise in stock prices in the market have a chance of doubling the return on such an investment but they have to remember that their chance of loss is also double (WIG20TRlev).
The historical performance of the new indices WIG20TRsht and WIG20TRlev has been recalculated backwards from 2 January 2019 (first value of WIRON). The indices will be published continuously every 15 seconds between 09:00 and 17:15.
Performance of new strategy indices WIG20TRsht and WIG20TRlev vs. WIG20TR.
Figure 1. Performance of WIG20TRsht vs. WIG20TR
Figure 2. Performance of WIG20TRlev vs. WIG20TR
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The Warsaw Stock Exchange Group (GPW Group) operates trading platforms for shares, Treasury and corporate bonds, derivatives, electricity and gas, and provides indices and benchmarks including WIBOR and WIBID. The index agent FTSE Russell classifies the Polish capital market as a Developed Market since 2018. The markets operated by the GPW Group are the biggest in Central and Eastern Europe. For more information, visit www.gpw.pl
