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The volatility phenomenon of stock returns shows the return and risk faced by investors in investment activities. One method that can be used by investors to get maximum profit while compressing the risk into the minimum level is by diversifying its investments through portfolios. This study aims to determine the simulation results ofoptimal stock portfolio establishment with active and passive strategy using price to book value and price earning to growth ratio approach and the results of the Sharpe, Treynor, and Jensen performance evaluations on the established portfolio. This research appertains in quantitative research. The object of the research was the IDX30 Index and 17 of 30 companies which consistently classified into the IDX30 Index for the 2013-2018 period were selected as the research sample. The results showed that the High PBV gave the highest level of rate of return with a relatively low rate of risk on the implementation of passive strategy and annual-s active strategy, whereas, in the semester active strategy, Low PEG gave the highest rate of return with the lowest risk. Overall the semesters active strategy has the highest accumulated rate of return with the lowest risk.This result match with the purpose of optimal portfolio establishment. Moreover, the results of the performance evaluation show that in the semesters active strategy, Low PEG gives the best score based on the results of the performance evaluation of Sharpe, Treynor and Jensen index.