Abstract
Decision-making on the composition of an investment portfolio is one of the crucial issues. In the case of stock portfolios, decisions are made based on financial indicators. This is because a company's financial performance is one of the main determinants of returns from investment. However, there are different opinions which financial ratios should be taken into account. This study aims to present an original approach for identifying a set of financial indicators determining an effective investment portfolio. The analysis considers 52 factors, i.e., various financial ratios and their dynamics, for non-financial companies listed on the Warsaw Stock Exchange in 2001-2019.