Investment is a two – dimensioned process.(Return & Risk) We Can not choose an investment project only for its high return without taking its level of risk into consideration. Good performance of investment means acceptance of high return with acceptable risk.Before the 60's, researchers were familiar with terms of "risk" and "return" but they couldn 't match them together for performance evaluation of an investmwent project.Then Trynor , Sharpe and Jensen achieved models for evaluation of performance of portfolio with attention to its level of risk and return. This research is a survey on the relationship between performance of investment companies in Tehran Stock Exchange(TSE) and their size and liquidity. Using TSE manual and monthly reports, reseachers calculated some data such as return, risk, size and beta of investment companies and have ranked these companies according to Trynor, Sharpe and Jensen Indexes.The writer of this article has utilized Spiremane correlation for acceptance or rejection of the relationship among variables of research. In the end, she has presented conclusion and some suggestions for Capital Market and future researches.