# selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a reasonable statistical procedure to determine which metrics actually drive the company's performance?

borrowing from arbitrage pricing model, say we have $$R_{t,t+1} = X_tf_{t,t+1} + \epsilon_{t,t+1}$$, where $$R$$ is stock return, $$X$$ is your estimation universe consisting of numerous factors you mentioned in question, and $$\epsilon$$ is estimated from residual. Then for each day/any time frequency you have given company stat updated, estimate factor return by OLS (you can also use WLS etc), so under this model we can have a vector of factor return, $$(X_t^TX)^{-1}X_t^TR_{t,t+1}$$ and explains it as how much each factor contributes to the stock return.