In this study, DEA (Data envelopment analysis) is used to measure efficiency of listed companies in Bursa Malaysia in term of the financial performance. It is believed that only good financial performer will give a good return to the investors in the long run. The study combines all the critical criteria for evaluating the performance of the companies in term of financial performance. There are 2 portions: First, absolute amount that represent the financial status of the companies were used to be the variables in the study. It includes total assets, current assets, current liabilities, total expenses, net income after taxes and revenue. The second portion where the financial ratios were treated as the inputs and outputs. The financial ratios include current ratio, debt ratio, debt-to-equity ratio, return on investment, return on equity and earning per share. From the result, the companies that were recommended to the investors were Genting Berhad, Maxis and YLI. These were the companies that showed 100% efficiency. Whereas, ACP Industries Berhad, Autoindustries Corporation (AIC) Berhad, AKN Technology Berhad, ASTRO All Asia Networks plc, Berjaya Group Berhad, Globetronic Technology Berhad, HeiTech Padu Berhad, Malaysia Mining Corporation Berhad, MSNIAGA Berhad, Patimas Computers Berhad, PLB Engineering Berhad, Tenaga Nasional Berhad (TNB) Berhad, Unisem (M) Bhd and WCT Engineering Berhad were showed inefficient. For each and every inefficient company, there is a set of optimum company to be their reference company. To improve the efficiency, those companies need to either increase their output (maximize-output model) or reduce their inputs (minimize-input model).