Figure 1.
Figure 2.
Figure 3.
Figure 4.
Descriptive statistics of average absolute premium/discount within investment categories (based on daily observations in September 2010–April 2025 period)
| Investment category of ETFs | Mean (%) | Median (%) | Std. dev. (%) | Minimum (%) | Maximum (%) | Range (p.p.) | Skewness |
|---|---|---|---|---|---|---|---|
| Polish equity—non-leveraged | 0.23 | 0.14 | 0.39 | 0.00 | 7.84 | 7.84 | 9.08 |
| Foreign equity—non-leveraged | 0.57 | 0.40 | 0.64 | 0.00 | 9.93 | 9.93 | 4.79 |
| Equity—leveraged | 1.22 | 0.76 | 2.00 | 0.01 | 20.65 | 20.64 | 6.43 |
| Fixed income—Polish government bonds | 0.10 | 0.08 | 0.10 | 0.00 | 1.32 | 1.32 | 2.96 |
Basic information about exchange-traded funds in research sample and number of observations
| Fund* | Investment management company (IMC)* | Investment category** | Replicated index*** | Assets under management*** (PLN millions) | Number of observations | ||
|---|---|---|---|---|---|---|---|
| daily | weekly | monthly | |||||
| Lyxor WIG20 UCITS ETF | Lyxor International AM | PE-NL | WIG20 | N/A**** | 2645 | 553 | 127 |
| Amundi S&P 500 II UCITS ETF EUR Dist | Amundi AM | FE-NL | S&P 500 Net Total Return | N/A***** | 3476 | 726 | 168 |
| Amundi DAX III UCITS ETF Acc | Amundi AM | FE-NL | DAX | N/A***** | 3476 | 726 | 168 |
| Beta ETF WIG20TR PFIZ | AgioFunds TFI | PE-NL | WIG20TR | 133.22 | 1586 | 329 | 76 |
| Beta ETF mWIG40TR PFIZ | AgioFunds TFI | PE-NL | mWIG40TR | 346.80 | 1419 | 295 | 68 |
| Beta ETF WIG20short PFIZ | AgioFunds TFI | PE-NL | WIG20short | 49.28 | 1362 | 283 | 66 |
| Beta ETF WIG20lev PFIZ | AgioFunds TFI | E-L | WIG20lev | 52.77 | 1303 | 270 | 63 |
| Beta ETF Nasdaq-100 PLN-Hedged PFIZ | AgioFunds TFI | FE-NL | Nasdaq-100 Notional Net Total Return | 38.92 | 1063 | 220 | 51 |
| Beta ETF S&P 500 PLN-Hedged PFIZ | AgioFunds TFI | FE-NL | S&P 500 Net Total Return | 45.04 | 1038 | 215 | 50 |
| Beta ETF WIGtech PFIZ | AgioFunds TFI | PE-NL | WIGtech | N/A****** | 649 | 134 | 31 |
| Beta ETF sWIG80TR PFIZ | AgioFunds TFI | PE-NL | sWIG80TR | 109.32 | 848 | 176 | 41 |
| Beta ETF TBSP PFIZ | AgioFunds TFI | FI | TBSP | 78.10 | 826 | 171 | 40 |
| Beta ETF Obligacji 6M PFIZ | AgioFunds TFI | FI | GPWB-BWZ | 46.33 | 333 | 69 | 16 |
| Beta ETF Nasdaq-100 3xlev PFIZ | AgioFunds TFI | E-L | Nasdaq-100 3x Leveraged Notional Net Total Return | 26.33 | 158 | 33 | 8 |
| Beta ETF Nasdaq-100 2xshort PFIZ | AgioFunds TFI | E-L | Nasdaq-100 2x Short Total Return | 4.11 | 158 | 33 | 8 |
Descriptive statistics of premium/discount (in nominal and absolute terms) for ETFs listed on WSE (based on daily observations in September 2010–April 2025 period)
| Fund | Mean (%) | Median (%) | Std. dev. (%) | Minimum (%) | Maximum (%) | Range (p.p.) | Skewness | Days with premium (%) | Days with no deviations (%)* | Days with discount (%) |
|---|---|---|---|---|---|---|---|---|---|---|
| Panel A: Premiums/discounts in nominal terms | ||||||||||
| Lyxor WIG20 UCITS ETF | 0.06 | 0.03 | 0.81 | −3.58 | 18.91 | 22.49 | 12.58 | 52.32 | 1.25 | 46.43 |
| Amundi S&P 500 II UCITS ETF EUR Dist | 0.31 | 0.25 | 0.9 | −8.87 | 10.10 | 18.97 | 0.59 | 64.44 | 0.55 | 35.01 |
| Amundi DAX III UCITS ETF Acc | 0.09 | 0.06 | 0.62 | −4.88 | 10.38 | 15.26 | 3.8 | 56.50 | 1.07 | 42.43 |
| Beta ETF WIG20TR PFIZ | 0.06 | 0.00 | 0.47 | −2.53 | 11.87 | 14.40 | 13.89 | 38.27 | 35.75 | 25.98 |
| Beta ETF mWIG40TR PFIZ | 0.04 | 0.00 | 0.28 | −1.46 | 4.45 | 5.90 | 3.87 | 49.33 | 22.97 | 27.70 |
| Beta ETF WIG20short PFIZ | 0.03 | 0.00 | 0.32 | −2.65 | 5.66 | 8.31 | 3.78 | 48.97 | 4.04 | 46.99 |
| Beta ETF WIG20lev PFIZ | 0.08 | 0.00 | 0.63 | −3.82 | 5.54 | 9.36 | 3.48 | 49.35 | 8.60 | 42.06 |
| Beta ETF Nasdaq-100 PLN-Hedged PFIZ | 0.02 | −0.03 | 1.02 | −10.37 | 5.48 | 15.85 | −0.66 | 47.32 | 0.56 | 52.12 |
| Beta ETF S&P 500 PLN-Hedged PFIZ | 0.04 | −0.01 | 0.82 | −8.87 | 5.18 | 14.05 | −0.75 | 48.36 | 1.25 | 50.39 |
| Beta ETF WIGtech PFIZ | 0.05 | 0.04 | 0.43 | −3.10 | 1.40 | 4.50 | −1.00 | 58.24 | 2.00 | 39.75 |
| Beta ETF sWIG80TR PFIZ | 0.09 | 0.02 | 0.38 | −2.29 | 3.03 | 5.32 | 2.09 | 64.27 | 6.13 | 29.60 |
| Beta ETF TBSP PFIZ | 0.08 | 0.08 | 0.20 | −2.28 | 1.19 | 3.48 | −1.86 | 66.83 | 3.87 | 29.30 |
| Beta ETF Obligacji 6M PFIZ | 0.03 | 0.03 | 0.07 | −0.17 | 0.35 | 0.52 | 0.16 | 66.67 | 4.80 | 28.53 |
| Beta ETF Nasdaq-100 3xlev PFIZ | −0.10 | −0.34 | 3.43 | −26.28 | 16.19 | 42.47 | −1.84 | 41.77 | 0.63 | 57.59 |
| Beta ETF Nasdaq-100 2xshort PFIZ | 0.28 | 0.33 | 2.97 | −9.73 | 30.13 | 39.86 | 6.19 | 60.13 | 0.00 | 39.87 |
| Panel B: Premiums/discounts in absolute terms | ||||||||||
| Lyxor WIG20 UCITS ETF | 0.39 | 0.29 | 0.72 | 0.00 | 18.91 | 18.91 | 17.35 | N/A | N/A | N/A |
| Amundi S&P 500 II UCITS ETF EUR Dist | 0.66 | 0.48 | 0.68 | 0.00 | 10.10 | 10.10 | 3.79 | N/A | N/A | N/A |
| Amundi DAX III UCITS ETF Acc | 0.36 | 0.24 | 0.52 | 0.00 | 10.38 | 10.38 | 7.50 | N/A | N/A | N/A |
| Beta ETF WIG20TR PFIZ | 0.14 | 0.04 | 0.45 | 0.00 | 11.87 | 11.87 | 15.58 | N/A | N/A | N/A |
| Beta ETF mWIG40TR PFIZ | 0.14 | 0.06 | 0.24 | 0.00 | 4.45 | 4.45 | 6.56 | N/A | N/A | N/A |
| Beta ETF WIG20short PFIZ | 0.17 | 0.10 | 0.27 | 0.00 | 5.66 | 5.66 | 8.72 | N/A | N/A | N/A |
| Beta ETF WIG20lev PFIZ | 0.32 | 0.16 | 0.54 | 0.00 | 5.54 | 5.54 | 5.30 | N/A | N/A | N/A |
| Beta ETF Nasdaq-100 PLN-Hedged PFIZ | 0.70 | 0.51 | 0.74 | 0.00 | 10.37 | 10.37 | 3.66 | N/A | N/A | N/A |
| Beta ETF S&P 500 PLN-Hedged PFIZ | 0.54 | 0.36 | 0.61 | 0.00 | 8.87 | 8.87 | 4.21 | N/A | N/A | N/A |
| Beta ETF WIGtech PFIZ | 0.30 | 0.23 | 0.30 | 0.00 | 3.10 | 3.10 | 2.36 | N/A | N/A | N/A |
| Beta ETF sWIG80TR PFIZ | 0.22 | 0.12 | 0.33 | 0.00 | 3.03 | 3.03 | 3.91 | N/A | N/A | N/A |
| Beta ETF TBSP PFIZ | 0.15 | 0.12 | 0.15 | 0.00 | 2.28 | 2.28 | 4.39 | N/A | N/A | N/A |
| Beta ETF Obligacji 6M PFIZ | 0.06 | 0.04 | 0.05 | 0.00 | 0.35 | 0.35 | 1.52 | N/A | N/A | N/A |
| Beta ETF Nasdaq-100 3xlev PFIZ | 1.97 | 1.32 | 2.82 | 0.00 | 26.28 | 26.28 | 5.46 | N/A | N/A | N/A |
| Beta ETF Nasdaq-100 2xshort PFIZ | 1.37 | 0.80 | 2.65 | 0.01 | 30.13 | 30.12 | 8.54 | N/A | N/A | N/A |
Descriptive statistics of absolute premiums/discounts for ETF listed on the WSE across three subperiods (daily data, September 2010–April 2025)
| IMC | Lyxor/Amundi AM | AgioFunds TFI (Beta ETFs) | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Fund | WIG20 | DAX | S&P 500 | WIG20TR | mWIG40TR | WIG20 short | WIG20lev | Nasdaq 100 | S&P 500 | WIG tech | sWIG80TR | TBSP | Obligacji 6M | Nasdaq 100 3xlev | Nasdaq 100 2xshort |
| Panel A: 2010–2014 | |||||||||||||||
| Mean (%) | 0.34 | 0.38 | 0.62 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Median (%) | 0.28 | 0.21 | 0.47 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Std. dev. (%) | 0.34 | 0.54 | 0.72 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Minimum (%) | 0.00 | 0.00 | 0.00 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Maximum (%) | 3.73 | 7.34 | 10.10 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Range (p.p.) | 3.73 | 7.34 | 10.10 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Skewness | 4.20 | 5.42 | 5.83 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Panel B: 2015–2019 | |||||||||||||||
| Mean (%) | 0.36 | 0.33 | 0.50 | 0.03 | 0.15 | 0.22 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Median (%) | 0.28 | 0.26 | 0.37 | 0.00 | 0.09 | 0.12 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Std. dev. (%) | 0.40 | 0.33 | 0.46 | 0.10 | 0.19 | 0.24 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Minimum (%) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Maximum (%) | 6.26 | 3.96 | 4.45 | 0.93 | 0.96 | 0.83 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Range (p.p.) | 6.26 | 3.96 | 4.45 | 0.93 | 0.96 | 0.83 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Skewness | 6.21 | 3.48 | 2.44 | 5.66 | 2.25 | 1.26 | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Panel C: 2020–2025 | |||||||||||||||
| Mean (%) | 0.62 | 0.31 | 0.68 | 0.16 | 0.14 | 0.17 | 0.32 | 0.70 | 0.54 | 0.30 | 0.22 | 0.15 | 0.06 | 1.97 | 1.37 |
| Median (%) | 0.37 | 0.21 | 0.40 | 0.06 | 0.06 | 0.10 | 0.16 | 0.51 | 0.36 | 0.23 | 0.12 | 0.12 | 0.04 | 1.32 | 0.80 |
| Std. dev. (%) | 1.75 | 0.35 | 0.84 | 0.49 | 0.25 | 0.28 | 0.54 | 0.74 | 0.61 | 0.30 | 0.33 | 0.15 | 0.05 | 2.82 | 2.65 |
| Minimum (%) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 |
| Maximum (%) | 18.91 | 2.60 | 8.87 | 11.87 | 4.45 | 5.66 | 5.54 | 10.37 | 8.87 | 3.10 | 3.03 | 2.28 | 0.35 | 26.28 | 30.13 |
| Range (p.p.) | 18.91 | 2.60 | 8.87 | 11.87 | 4.45 | 5.66 | 5.54 | 10.37 | 8.87 | 3.10 | 3.03 | 2.28 | 0.35 | 26.28 | 30.12 |
| Skewness | 8.83 | 2.99 | 4.16 | 14.60 | 6.66 | 8.80 | 5.30 | 3.66 | 4.21 | 2.36 | 3.91 | 4.39 | 1.52 | 5.46 | 8.54 |