WIG-ESG: GPW’s First Index Supporting Green Transition

Exchanges around the world engage in promotion of sustainable finance. One of such initiatives is the publication of indices which cover companies integrating ESG in their business. There are more than 1000 ESG-related indices the world over. In Q4 2020 alone, investors placed USD 150 billion with ESG funds globally, demonstrating the rising interest of global investors in ESG. WIG-ESG, an index published by the Warsaw Stock Exchange, follows that trend.

ESG indices: a key benchmark of sustainable finance

As sustainable finance is gaining prominence on the global markets, green products integrating ESG factors are increasingly in demand, which is why exchange indices based on ESG criteria are a key element of transition to a greener economy.

The fundamental goal of exchange indices is to provide a summary of prices for a category of securities traded on a given market. An index represents a basket of instruments whose weights depend on predefined rules and on the characteristics of the instruments: for instance, bigger companies may have a bigger weight in an index. ESG scoring systems offered by independent providers are among the models used to define index portfolios as they provide a set of data that are comparable even if the underlying entities operate in different sectors, come in different sizes, or have exposure to different risks. By aggregating a swath of data, ESG-related indices mirror the sustainable finance profile of the underlying market. Such indices are typically used as the underlying of passive funds or the benchmark for other financial instruments. As they track a market segment, they provide an effective tool of investing in all index participants. In particular, ESG indices provide exposure to all entities in the index portfolio which are rated under ESG criteria. Importantly, green indices are increasingly popular with equity fund managers. With continued development of EU regulation, they will within years become a key benchmark of investment decisions.

Top 60 GPW-listed companies with ESG scorings

Interest in sustainable finance is steadily rising on the Polish market, as well, which is why GPW launched the WIG-ESG index in September 2019. Currently published by GPW Benchmark, WIG-ESG includes the stocks of the 60 biggest issuers listed on GPW participating in WIG20 and mWIG40. The weight of each company in the index depends on the number of its free-float shares adjusted for the ESG ranking and assessment of compliance with the Best Practice for GPW Listed Companies 2016. Each company is rated in two steps: first, in the light of ESG integration; and second, from the perspective of compliance with the code of corporate governance defined in the Best Practice for GPW Listed Companies 2016.

The ESG ranking of index participants is provided by the international ESG consultancy Sustainalytics. The scoring is based on public information disclosed by companies, including annual reports, non-financial reports, as well as information published online, in the press and other media

ESG or E, S or G 

What is key to the position of each company in WIG-ESG is the company’s ESG rating under the Sustainalytics methodology, which rates ESG risk by measuring the exposure of the sector to specific ESG risks and the company’s management of such risks. This comprehensive ESG Risk Rating covers the following areas of each company’s business:

E for environment: 


  • Carbon intensity of own operations, products and services;
  • Emissions, liquid and solid waste;
  • Land use and biodiversity in own operations and in supply chains;
  • Use of resources in own operations and in supply chains.
S for social: 


  • Access to basic services;
  • Social relations;
  • Privacy and data security;
  • Human capital;
  • Human right in own operations and in supply chains;
  • Occupational health and safety.
G for governance: 


  • Bribery and corruption;
  • Business ethics;
  • ESG integration in finance;
  • Corporate governance.

Governance is the key

Each company’s weight in the index also depends on its compliance with the principles of corporate governance defined in the Best Practice for GPW Listed Companies 2016. Based on companies’ published statements of compliance, the weights depend on the number of respected principles and the quality of the disclosures. The Best Practice ranking is also a scoring system which measures integration of corporate governance factors including:

  • Disclosure policy and investor relations;
  • Management Board and Supervisory Board standards;
  • Quality of internal systems and functions;
  • General meetings and shareholder relations;
  • Monitoring conflicts of interest and related-party transactions;
  • Remuneration policy.
The index is published every 60 seconds from the opening to the closing of each trading session. The weight of the biggest companies is capped under the 5/10/40 rule, i.e., the biggest company’s weight is capped at 10% while the total weight of the companies whose weights are over 5% is capped at 40%. Since its inception, WIG-ESG has been the underlying of an investment fund. The first product based on WIG-ESG is an NN Investment Partners TFI fund. WIG-ESG is also the underlying of structured products listed on GPW.

Every company can make it

The index portfolio is updated on a quarterly basis according to the most recent list of WIG20 and mWIG40 participants. The ESG ranking is based on company scoring, reviewed on an annual basis in order to track the companies’ ESG evolution. Each company can use this opportunity and improve its scoring by means of more precise reporting or more extensive publications concerning the integration of environmental, social and governance factors in its business. For industrial companies with high exposure to environmental risks, efficient investor communication can improve their ratings provided that the companies pursue a risk mitigation strategy geared to a climate-neutral economy.

Green indices gaining prominence

As sustainable finance is gaining prominence on the global markets, green products integrating ESG factors are increasingly in demand. The key ESG-related regulatory documents on the financial market include the Non-Financial Reporting Directive (NFRD) which imposes non-financial reporting obligations on market players. Such reports should be made available to institutional investors who already integrate ESG factors in valuation models. More than 150 companies listed on the Warsaw Stock Exchange meet the NFRD criteria. An upcoming revision of the regulations will extend the non-financial reporting requirements to all companies listed on regulated markets. This brings a positive turn as the new regulations will drive investor demand for green indices. As a result, the number of ESG-related indices is likely to increase in the coming years.

By Tomasz Wiśniewski, Deputy Director, Information Products Department, Warsaw Stock Exchange