Abstract

 The purpose of the present study is to examine the feasibility of constructing an investment portfolio using the Sharpe and Jensen indices for a sample of investment companies listed on the Iraq Stock Exchange during the period (2018–2023). The study focused on five companies: Al-Bain Al-Nahrain for Financial Investment, Al Khair for Financial Investment, Al-Ameen for Financial Investment, Al-Weam for Financial Investment, and Al Zawraa for Financial Investment. A descriptive-analytical approach was employed to establish the study variables. To achieve the research objectives, which centered on addressing the formulated problem expressed in the question: What is the role of company stock performance evaluation models in constructing investment portfolios for Investment Companies and companies listed on the Iraq Stock Exchange during the period (2018–2023)?, the study relied on two essential performance evaluation measures, namely the Sharpe Index and the Jensen Index, to guide portfolio construction. Accordingly, two analytical software packages were utilized (SPSS v.29 and Excel v.2019) to derive the required results. The findings revealed a significant correlation and impact among the study variables. Based on these results, it was concluded that risk levels vary substantially across sectors, with the highest risk observed in the banking, financial investment, and industrial sectors. This indicates that the increase in return rates was accompanied by a rise in overall risk levels within these sectors, and such a positive relationship may reduce their attractiveness despite the potential for above-average returns. The study provided several recommendations, foremost of which was the need to benefit from its results in constructing investment portfolios based on growth stocks, which investors may choose to purchase by employing one of the stock evaluation indices. The empirical evidence confirmed that portfolios built on growth features outperformed the overall market portfolio.