This paper aimed to evaluation and prediction the portfolios sectors (banking and financial services, industry, insurance, investment, services, market portfolio) in Palestine Stock Exchange (PSE) from January 2013 - December 2016, we had been used, Sharpe index, Treynor, and Jensen index, to evaluate the performance of the portfolios sectors, and Model was used, (Box - Jenkins), to Prediction the performance of the portfolios sectors. The main results of this study to outweigh the performance of the banking portfolio, the performance of other portfolios. The study also found, according to different methods and tests, the autoregressive model of degree one is the best model fitting the data. The seasonal pattern of the series has little effects on the model.