Paper Title
Building Investment Portfolios using Stocks Performance evaluation Modules a Comparative Applied Analytical Study on the Stocks of Companies Listed on Palestinian Exchange

Abstract
This study aims at identifying the capacity of the evaluation measures of Sharpe ratio, Treynor ratio, and Jensen’s alpha in building stock investment portfolios in Palestine Stock Exchange between 2014 and 2017. It also evaluates the performance of these portfolios’ return, risk premium, and risk adjusted return then compares the performance of such portfolios to the performance of the market’s portfolio. The target sample of the study consists of 28 local companies. To achieve the objectives of the study, the researcher depended on the previous literature, theoretical framework and the financial statements of the target companies to make the necessary statistical analysis required. The most important findings of the study show that the investment portfolios based on Sharpe ration are financially better than the market’s portfolio and then those based on both Treynor ratio, and Jensen’s alphain the average of the monthly return and risk adjust returns achieved over six months period. The finding also show that there are no statistically significant differences at the level (α = 0.05) attributed to either Sharpe, Treynor, and Jensen’s portfolios on one hand, or the market’s portfolioon the other hand in respect of return, risk premium and risk adjusted return. The study recommends the concerned authorities in Palestine Stock Exchange to make a database that contains the shares’ returns monthly, biannually and annually for its great importance in conducting studies and helping investors in making wise investment decisions. Investors are also recommended to evaluate their investment by using returns and risks together when building their investment portfolios. They should also depend on actual and expected accounting information for its great importance in explaining changes in the prices of shares. Keywords - Investment Portfolios, Stocks Performance Evaluation Modules, Palestine Stock Exchange