Indeksowanie fundamentalne na polskim rynku akcji
Fundamental Indexation on the Polish Stock Market

Summary/Abstract: Purpose – The aim of this paper is to present the concept of fundamental indexation and to test its applicability in the Polish market. Design/methodology/approach – We form portfolios weighted according to net profits, sales, book value, and dividends, and evaluate their performance with CAPM-based measures. The calculations are based on the performance of stocks in the Polish market within the years 2002–2015. Findings – Fundamentally indexed portfolios delivered higher risk-adjusted returns than a standard capitalization- weighted portfolio, but the differences were predominantly statistically insignificant. The abnormal performance remained positive after considering trading costs. Originality/value – It is the first study of the fundamental indexation in the Polish market.

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