Assessment of the effectiveness of Polish social responsible company portfolios based on moving averages



Słowa kluczowe:

social responsibility company, securities portfolios, socially responsible investments, moving average, technical analysis


Purpose – Assessment of the effectiveness of portfolios composed of shares of Polish socially responsible companies based on moving averages and determination of their optimal lengths.
Research method – The moving average method was used as a part of the technical analysis of companies included in the RESPECT index. Data from the Thompson Reuters database was used using the Metastock XVI program. The research was conducted on daily data from 30/12/2009 to 30/09/2019 (2418 sessions). The strategies used to build the portfolios were optimized to maximize the rate of return.
Results – Definitely higher rates of return were obtained by using two moving averages rather than one. Multi-component portfolios based on two averages generated better results than the buy and hold strategy and compared stock indexes: RESPECT, WIG20, WIG30, WIG. There is a different optimal average length for each portfolio tested that should be used to maximize returns.
Originality / value / implications / recommendations – According to the authors’ knowledge this paper is one of the first studies in Poland that uses moving averages to optimize the investment portfolio using shares of socially responsible companies. Owing to the results obtained, the work indicates that there are simple investment strategies that enable achieving above-average returns in the long run, which undermines the hypothesis of information-efficient markets in a weak form.


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