By now, realizing risk and return relationship become an unenviablepart for both business and investors.To this regards, risk-return relationship and performance of Sectoral Investments aimed for this study in Bursa Malaysia. Nine Investment sectors planned to study over a 10-years period, starting from 31 December 2001 using weekly and monthly data. Findings of this study revealed that investment in the Mining Index, Plantation Index, Consumer Index, Finance Index and Industrial products positively associated with return; while realized return exceeded the required return. However, the Technology Index, Trading and services Index, Property Index and Construction Index negatively associated with return during investigation period. The results also indicated the Mining, Plantation and Consumer indices with better performance, while Technology Index had the worst. The Trading and services Indiceswere revealed as the strongestcorrelations with Bursa Malaysia, whereas Mining index had the worst.