Abstract. The current conditions of the trade war by America and developed countries such as China, the European Union and other countries indirectly give an impact to the investment climate in developing countries like Indonesia where more than 50% of investors in Indonesia come from abroad. Therefore this research offers for investors who invest in the capital market to optimize the portfolios by selecting several stocks that will be included in the portfolio with return on aset (ROA) approach , Return on Equity (ROE) approach , dan Economic Value Added (EVA) approach by using the previous studies which discussed about the portfolio such as Harry Markowitz (1952), Sharpe (1964), Roll (1977), Cornell (1979), Sunder (1980), Jorion (1986), Bollerslev, Engle, and Wooldidge (1988), entering the latest research by Hidayat and Hendrawan (2017), and Hendrawan and Salim (2017). The research that explains the advantages of EVA Fisher and McGowan (1983), Olsen (1996), Chen and Dodd (1997), (1997), Dodd and Johns (1999), Ismail (2006), Rompho (2009) . The ROA and ROE researches were conducted by Araujo and Machado (2017). After the selection of several stocks that obtained from several measuring instruments which have been described, it will be tested again by Sharpe, Jansen, and Treynor measuring instruments. The Sampel that will be chosen is the Jakarta Islamic Index (JII) and selected as many as 17 companies that are consistently listed on the JII index for the 2014-2018 period. The result of his research there is a consistency of the portfolio formed by EVA, ROA, and ROE on average can defeat the excess return obtained by the IHSG Index where the portfolio of LOW ROA, HIGH EVA, and LOW ROE are the 3 best portfolios that get the highest excess return, but the risks obtained are not the highest in all portfolios. (2018-09-26)