This research utilizes a multi-dimensional framework—incorporating theoretical, documentary, experimental, and descriptive approaches—to evaluate the risk-adjusted performance of the 35 constituent assets of the Índice de Precios y Cotizaciones (IPC) on the Mexican Stock Exchange (BMV). By applying the Treynor Ratio, this study provides a quantitative methodology to measure excess profitability relative to the prevailing risk-free rate. The primary objective is to identify issuers that successfully maximized returns per unit of systematic risk, thereby facilitating the construction of an optimal investment portfolio grounded in financial efficiency and rigorous empirical evidence.