MWIG40

From CEOpedia
MWIG40
See also


MWIG40 (officially written mWIG40) - is the mid-cap stock index of the Warsaw Stock Exchange (Giełda Papierów Wartościowych, GPW), which tracks the price performance of a hypothetical portfolio of 40 medium-sized companies listed on the GPW Main Market. It is a price index, so dividends are not reinvested, and it is published by GPW Benchmark, the exchange's index administrator[1].

Put simply, MWIG40 measures the "middle floor" of the Polish stock market: companies too small for the blue-chip WIG20 but larger and more liquid than the 80 names of sWIG80. Banks, retailers, construction groups, software houses and utilities all sit side by side in it. Investors watch it as a gauge of the domestic economy, since mid-sized Polish firms tend to earn most of their revenue at home, and it serves as the underlying instrument for futures, an exchange-traded fund and a range of structured products.

History of MWIG40

The index started life under another name. GPW began publishing the MIDWIG index on 21 September 1998, with values back-calculated to a base date of 31 December 1997 and a starting level of 1,000 points[2]. The base market capitalization of the original portfolio was PLN 23,375,360,000. One oddity: the 2022 methodology sheet gives 21 October 1998 as the "index launch", while the factsheet and the historical outline both give 21 September 1998[3]. The September date is the one GPW repeats most often.

Early years were rough. On 8 October 1998, barely two weeks after publication began, MIDWIG fell to its all-time low of 617.60 points, a drop of almost 40% from the base value in the aftermath of the Russian debt crisis of August 1998. The exchange tightened the rules soon after. From 13 August 2001 companies were selected for the MIDWIG ranking on the basis of capitalization in free float rather than total capitalization (GPW Benchmark 2026, p.4). Futures on the index started trading on 18 February 2002.

Then came the 2007 overhaul. On 31 January 2007 GPW introduced a single ranking for all of its price indices, and on 19 March 2007 MIDWIG was renamed mWIG40. On the same day the small-cap WIRR index received a new methodology and became sWIG80. The "m" stands for mid, the "s" for small, and the number simply tells you how many companies are inside.

Later milestones read like a timeline of Polish market history[4]:

  • 15 September 2008 - a 3.54% fall on the day Lehman Brothers collapsed,
  • 18 September 2017 - publication of the total-return version, mWIG40TR,
  • 5 September 2019 - listing of the first ETF tracking mWIG40TR,
  • 12 March 2020 - the largest one-session fall in the index's history, -11.92%, during the COVID-19 panic,
  • 24 February 2022 - a fall of 11.75% on the day Russia invaded Ukraine, followed on 25 February by the largest one-day gain ever, +7.42%,
  • 21 March 2022 - introduction of a "fast track" that lets large newly listed companies enter the index without waiting for the usual ranking history,
  • 29 October 2025 - a new all-time high of 8,250.21 points.

From 617.60 to 8,250.21. That's roughly a thirteen-fold increase from the 1998 trough, even without dividends.

Composition and selection rules

Who gets in? Not simply the 40 next-largest companies. GPW Benchmark runs a joint ranking for WIG20, mWIG40, sWIG80 and WIG30, and only companies that pass a set of basic filters take part in it (GPW Benchmark 2022, p.1):

  • more than 10% of shares in free float,
  • free-float value above EUR 1 million,
  • at least one transaction in the last three months,
  • no special marking (for example bankruptcy),
  • not assigned to the ALERT LIST segment or the Lower Liquidity Space.

Companies in the last quartile of free-float capitalization are excluded before ranking starts. Each remaining company then receives ranking points calculated as[5]:

\[R_i = 0.4 \cdot sT_i + 0.6 \cdot sC_i\]

where:

  • \(R_i\) - ranking points of company i,
  • \(sT_i\) - share of company i in the total trading volume of ranked shares over the last 12 months,
  • \(sC_i\) - share of company i in the free-float value of all ranked companies on the ranking date.

The current 60/40 split between size and turnover was introduced in March 2021, together with the MTR criterion described below. Free-float value is computed using a closing price picked at random from the last five sessions before the ranking day, a small trick that makes it harder for anyone to "dress up" a price on one particular day.

Size isn't enough, either. A company must also pass the Monthly Turnover Ratio (MTR) test: its median daily turnover, expressed as a percentage of free-float shares, has to exceed a threshold in at least 8 of the last 12 months, or failing that in 4 of the last 6 months. Firms that miss both tests can't enter the index, however large they are.

The index then takes the 40 highest-ranked companies after the WIG20 members, using a buffer to avoid needless turnover (GPW Benchmark 2026, p.20):

  • at the annual revision a company ranked 50th or higher is included unconditionally, while one ranked 71st or lower is excluded unconditionally; companies in positions 51-70 are added or removed only if needed,
  • at quarterly adjustments the bands widen to 45th or higher (in) and 81st or lower (out), with positions 46-80 in the grey zone.

Two other exclusions matter. Dual-listed foreign companies with a market value above EUR 1 billion are left out, as are dual-listed firms worth more than the median WIG20 company. And no stock may sit in both mWIG40 and WIG20 or sWIG80 at the same time.

Review calendar

Rankings are prepared from data after the session on the third Friday of February, May, August and November. Changes take effect after the session on the third Friday of March (annual revision) and of June, September and December (quarterly adjustments). Four weeks between ranking and implementation give fund managers time to plan their trades.

Calculation of MWIG40

MWIG40 is a free-float, capitalization-weighted price index. Each company's weight (its "package" of shares, in GPW wording) equals the number of its shares in free float, rounded to full thousands. If the free-float figure is higher than the number of shares admitted to trading, the admitted number is used instead.

GPW Benchmark computes all its main indices with the same formula[6]:

\[I_t = \frac{\sum_{i=1}^{n} P_i(t) \cdot S_i(t)}{\sum_{i=1}^{n} P_i(0) \cdot S_i(0) \cdot K(t)} \cdot I(0)\]

where:

  • \(I_t\) - index value at time t,
  • \(P_i(t)\) - current price of participant i,
  • \(S_i(t)\) - current package (free-float shares) of participant i,
  • \(P_i(0), S_i(0)\) - price and package on the base date,
  • \(K(t)\) - adjustment (correction) factor,
  • \(I(0)\) - base value, 1,000 points for MWIG40.

The numerator is just today's free-float market value of the portfolio. The denominator is the base capitalization, scaled by the correction factor. When a company joins or leaves, or its package changes, GPW recalculates \(K(t)\) so that the change in composition does not move the index by itself. In general form, if capitalization jumps from \(M_{before}\) to \(M_{after}\) for purely technical reasons, the new factor is:

\[K_{new} = K_{old} \cdot \frac{M_{after}}{M_{before}}\]

As of 31 October 2025 the factor stood at 0.60323419 (GPW Benchmark 2025, p.2).

Weight cap

Mid-cap indices can be lopsided. One successful company can quickly grow to dominate the basket. To prevent that, the share of a single company in MWIG40 may not exceed 10%; if it does on the ranking date, its package is reduced proportionally (GPW Benchmark 2026, p.20). In effect, MWIG40 is a capped index. The cap for WIG20 is looser, at 15%.

If company i has an uncapped free-float value \(C_i\) and the remaining members together are worth \(C_{rest}\), the capped value \(C_i^{*}\) must satisfy:

\[\frac{C_i^{*}}{C_i^{*} + C_{rest}} = 0.10 \quad \Rightarrow \quad C_i^{*} = \frac{0.10 \cdot C_{rest}}{0.90}\]

The package is then multiplied by \(C_i^{*}/C_i\). Because capping one company slightly raises the weights of all the others, the procedure is repeated if another name crosses the limit.

Example of MWIG40 calculation

The figures below are a hypothetical illustration, not actual index data.

Step 1 - daily change. Suppose MWIG40 closed yesterday at 6,000.00 points, with the free-float capitalization of its 40 members equal to PLN 120.00 billion. Today, prices move so that capitalization rises to PLN 121.80 billion. Nothing else changed, so the correction factor stays put and:

\[I_t = 6000.00 \cdot \frac{121.80}{120.00} = 6090.00\]

A 1.5% rise in value, a 1.5% rise in the index.

Step 2 - a composition change. At the quarterly adjustment company Y (free-float value PLN 2.40 billion) replaces company Z (PLN 1.80 billion). At unchanged prices, portfolio capitalization goes from PLN 121.80 billion to PLN 122.40 billion. Without correction the index would jump to about 6,120 points for no economic reason. So GPW rescales the factor:

\[K_{new} = K_{old} \cdot \frac{122.40}{121.80} = K_{old} \cdot 1.004926\]

The index stays at 6,090.00 and continues from there.

Step 3 - the 10% cap. Imagine company X has a free-float value of PLN 4.20 billion in a portfolio worth PLN 35.00 billion, a 12.0% weight. The rest of the index is worth PLN 30.80 billion. The capped value is:

\[C_X^{*} = \frac{0.10 \cdot 30.80}{0.90} = 3.4222\]

So X enters the portfolio with PLN 3.42 billion, i.e. its package is cut to 81.5% of free-float shares (3.4222 / 4.20). Its weight drops to exactly 10%.

Composition in practice

Financials dominate. At the end of October 2025 financial companies formed the largest sector group in the index, and the five largest members were Żabka (9.22%), ING Bank Śląski (8.91%), CCC (8.47%), Benefit Systems (6.77%) and Bank Millennium (6.11%) (GPW Benchmark 2025, p.1). Three years earlier the list looked different: at the end of 2022 the top ten were led by ING Bank Śląski (9.666%), Inter Cars (7.741%) and Budimex (6.623%), and together the ten largest members made up 52.9% of the index[7]. Membership churns. Companies rise into WIG20, slide down into sWIG80, or arrive straight from an initial public offering.

Volatility and returns swing with the economic cycle. GPW reports annual volatility of 24.27% and a return of -21.49% for 2022, against 15.11% and +33.07% in 2021. In 2024 volatility was 15.09% and the dividend yield of the constituents reached 4.80%. MWIG40 stocks generated 12.11% of the turnover on the GPW equity market in 2024 (GPW Benchmark 2025, p.1).

Uses of MWIG40

Derivatives

Index futures on MWIG40 (originally on MIDWIG) have traded since 18 February 2002. The multiplier is PLN 10 per index point, the tick size is 1 point and three expiry months are listed at any time (GPW Benchmark 2025, p.2). At 6,090 points one contract would therefore correspond to an exposure of PLN 60,900. Futures let investors hedge a mid-cap portfolio against systematic risk or take a view on the segment without buying 40 stocks. Turbo, factor, tracker and discount certificates are also issued on the index, making it a popular base for equity derivatives aimed at retail traders.

Exchange-traded fund

On 5 September 2019 the mWIG40TR Beta ETF debuted on the GPW Main Market. It was issued by AgioFunds TFI, with Dom Maklerski BOŚ acting as offering agent and market maker, and Beta Securities Poland as project coordinator[8]. The fund tracks the total-return version, mWIG40TR, so dividends are reinvested. GPW described it as the first passive fund on the exchange to invest in mid-cap stocks. Since 18 March 2024 GPW Benchmark has also published short and leveraged strategy versions (mWIG40TRsh and mWIG40TRlv), designed as underlying indices for inverse and geared products (GPW Benchmark 2026, p.6).

Benchmark for funds

Many Polish equity mutual funds that specialise in small and mid-sized companies often use MWIG40, or a blend of mWIG40 and sWIG80, as their performance yardstick. Benchmarking against a mid-cap index is fairer than comparing such a fund with WIG20, which is dominated by large banks, energy companies and state-controlled firms.

Research

Academics use MWIG40 to study size effects and market anomalies. Wańczyk examined companies that entered or left WIG20, mWIG40 and sWIG80 during periodic revisions in 2010-2015 and found positive abnormal returns about a month before the change, averaging +0.52 percentage points above the index; companies newly added to an index beat the benchmark by an average of 0.97 percentage points within six months[9]. Jamróz and Koronkiewicz tested day-of-the-week effects on WIG, WIG20, mWIG40 and sWIG80 and found that such anomalies faded over time but lasted longer among smaller companies, with a positive Friday effect the most common pattern in Warsaw[10].

Comparison with WIG20 and sWIG80

The three indices form a size ladder built from one joint ranking (GPW Benchmark 2026, pp.8-20):

Feature WIG20 MWIG40 sWIG80
Number of companies 20 40 80
Segment largest, most liquid mid-sized small
Predecessor - MIDWIG WIRR
Base date / base value 16 April 1994 / 1,000 31 December 1997 / 1,000 31 December 1994 / 1,000
Single-company weight cap 15% 10% 10%
Other limits max. 5 companies from one sector excludes foreign firms above EUR 1 bn excludes foreign firms above EUR 100 m
Total-return version WIG20TR (since 2012) mWIG40TR (since 2017) sWIG80TR (since 2017)

What does the difference mean for investors? WIG20 is heavy in banks, energy, mining and fuel companies, many of them partly owned by the State Treasury. Its moves often reflect politics and global commodity prices. MWIG40 is more domestic and more varied: retailers, developers, IT firms, private banks. sWIG80 goes a step further down the size scale, with lower market depth and higher liquidity risk, but also more room for rapid growth. The broad WIG index covers all three groups and more.

Advantages of MWIG40

  • Investable. Free-float weighting and the turnover requirement mean index members can actually be bought in size. A fund can replicate the portfolio without chasing illiquid shares.
  • Concentration control. The 10% cap limits concentration risk, so one company's collapse can't sink the whole index.
  • Transparent rules. The ranking formula, buffers and calendar are public. Anyone can roughly predict upcoming changes.
  • Stable composition. Wide buffer zones (positions 51-70 or 46-80) reduce churn and trading costs for tracking funds.
  • Continuity. The correction factor keeps the series comparable from 1997 to the present, despite hundreds of composition changes.
  • Tradable exposure. Futures, an ETF and structured products give investors cheap access to a segment that would otherwise require buying dozens of stocks.

Limitations of MWIG40

  • Price index only. Dividends are ignored, which understates the long-run return. With yields of 3-5% in some years, the gap between mWIG40 and mWIG40TR grows quickly. Use the TR version for performance comparisons.
  • Sector tilt. Financial companies are the largest sector group in the index, so it partly behaves like a bank index and is sensitive to interest rates and banking regulation.
  • Index effects. Predictable additions and deletions can be front-run, as the Wańczyk study suggests, which may cost tracking funds money.
  • Liquidity at the lower end. The smallest members trade far less than the largest, and spreads widen in stress. On 12 March 2020 the index lost almost 12% in one session.
  • Moving membership. Successful companies graduate to WIG20 and leave the index just as they become most valuable. Long-term index returns therefore don't fully capture the success of the best mid-caps.
  • Narrow market. With 40 companies from one country, the index offers limited protection against diversifiable risk compared with regional or global benchmarks, and it remains exposed to the risks of an emerging market that only recently gained developed-market status in some classifications.

References

Footnotes

  1. ↑ GPW Benchmark, mWIG40 - karta indeksu, GPW Benchmark S.A., 2025, p.1
  2. ↑ GPW Benchmark, GPW Benchmark Indices, GPW Benchmark S.A., 2026, pp.4, 8
  3. ↑ GPW Benchmark, mWIG40 - Index Methodology, GPW Benchmark S.A., 2022, p.1
  4. ↑ GPW Benchmark, mWIG40 - karta indeksu, GPW Benchmark S.A., 2025, p.2
  5. ↑ GPW Benchmark, GPW Benchmark Indices, GPW Benchmark S.A., 2026, pp.18-19
  6. ↑ GPW Benchmark, GPW Benchmark Indices, GPW Benchmark S.A., 2026, p.15
  7. ↑ GPW Benchmark, mWIG40 - Index Methodology, GPW Benchmark S.A., 2022, p.1 (top 10 constituents and 5-year performance data)
  8. ↑ Mondo Visione, GPW: New Listing Of Polish ETF On Mid-Cap Index mWIG40TR, 2019
  9. ↑ Wańczyk K., Impact of Changes in Composition of Exchange Price Index Shares of Listed Polish Companies, Financial Sciences, 2018, pp.111-121
  10. ↑ Jamróz P., Koronkiewicz G., The Occurrence of the Day-of-the-Week Effects on Polish and Major World Stock Markets, Studies in Logic, Grammar and Rhetoric, 2014, pp.71-88
MWIG40 — recommended articles
Market capitalization — Free float — Capped Index — Futures — Equity derivative — Investment fund — Regulated market — Systematic risk — Liquidity risk — Benchmarking
Retrieved from CEOpedia