A Study on the Impact of Different Indicators on Portfolio Returns and Risk

Abstract

As financial markets continue to evolve and become increasingly complex, return and risk constitute the primary criteria for evaluating portfolio performance. To explore determinants of portfolio returns and achieve sound risk evaluation, this study employs a set of quantitative financial indicators and adopts statistical and correlation analysis as core empirical approaches to investigate the heterogeneous impacts of diverse indicators on portfolio returns and risks. Following data screening and preprocessing, descriptive statistics and correlation significance tests are implemented on sample data. Empirical results reveal that indicators correlate with portfolio returns to varying extents, and several key indicators exert significant facilitating or constraining effects on investment returns. The analysis is conducted on a portfolio constructed by four types of mainstream traded ETF assets, these indicators also effectively capture the risk volatility features of investment portfolios. This research clarifies the linkages between multi-dimensional indicators, portfolio returns and risks, offering practical references for individual investors to optimize asset allocation, mitigate risks and formulate rational investment strategies.