The strategy to get the best investment results is the goal of every company. Wrong techniques may create the return is not reached and a lot of failure of the portfolio that faced. The right strategies can be done if we know what method is best for our investment portfolio. In this study, researchers tested historical data on the return and risk of each Taspen Life investment asset and assessed a new model using two model tests, in which the formation of a new portfolio using a single index model and portfolio tangency then performed performance testing using the Sharpe ratio, treynor ratio. , and the jensen ratio. The recommendation from the test results is that for a moderate strategy the company can use a single index model for a moderate strategy with a return of 7.64 and a standard deviation of 0.41, while for an aggressive strategy the company can use a portfolio tangency with a return of 8.55 and a standard deviation of 0.39.

Keywords : Jensen Ratio, Treynor Ratio, Standard Deviation, Single Index Model.