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Performance of Polish and Foreign ESG Funds Operating in Poland – a Comparative Analysis
Abstract
Theoretical background: Investment funds, due to their scale of operations, importance in financial markets, and influence on capital allocation processes, play a key role in financing the transition towards a sustainable and low-carbon economy. Their broad investment scope – covering multiple asset classes, market segments, and geographical areas – makes them particularly relevant for analyzing the effectiveness of ESG (environmental, social, and governance) integration in investment strategies. A central issue in both academic research and investment practice is whether the inclusion of ESG criteria affects fund performance in terms of returns and risk.
Purpose of the article: The main objective of this study is to compare the performance of Polish ESG funds with that of foreign ESG funds available in the Polish market. The analysis is conducted both for the entire sample and across selected asset classes. Additionally, the study aims to assess the statistical significance of differences in returns and risk between these groups. The study tests the hypothesis that there are statistically significant differences in both the mean returns and the variance of performance between Polish and foreign ESG funds.
Research methods: The empirical analysis is based on a sample of 48 Polish ESG funds and 277 foreign ESG funds offered in Poland over the period 2019–2023. The data used in this study were obtained from reports and databases of the Polish Chamber of Fund and Asset Management (IZFiA). Additional information was sourced from commercial industry databases, including Analizy.pl and Bloomberg. Fund performance is evaluated using return measures, standard deviation, downside risk, Sharpe ratio, and the Additional Return Risk (ARR) ratio. To test for statistically significant differences in means and variances between groups, Welch’s t-test and the Brown–Forsythe test were applied at a significance level of α = 0.05.
Main findings: Both Polish and foreign ESG funds recorded their highest returns over longer investment horizons (36- and 60-month periods), supporting the concept of sustainable investing as a long-term strategy. In terms of risk, Polish ESG funds were found to be less volatile on average than their foreign counterparts, as evidenced by their lower standard deviation of return. Among the various asset classes analyzed, the highest returns were achieved by foreign ESG funds investing in globally developed market equities and U.S. equities. We also found that in most cases, the differences in fund performance (means and variances) between groups were statistically significant. This may be attributed to differences in fund-specific criteria and the inherent difficulty of isolating relatively homogeneous ESG strategies across different fund groups. The originality of this research lies in its comparative approach within a single emerging market context, allowing for a more controlled analysis of ESG fund performance under similar regulatory and market conditions.
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DOI: http://dx.doi.org/10.17951/h.2026.60.2.75-99
Date of publication: 2026-08-12 23:46:10
Date of submission: 2025-07-21 12:52:56
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