The aim of the study was to empirically investigate the applicability of Sortino ratio optimization approach in examining the performance of the listed State-Owned Enterprises (SOEs). The Sortino performance ratio, risk-adjusted return and downside risk were determined based on a sample of SOEs selected from Malaysia, Singapore and Indonesia. The constrained Sortino ratio optimization approach is the resemblance to the enhanced index tracking method and it is performed under efficient market assumption. This study considered weekly data from January 2004 to December 2009 and further divides it into pre- and global financial crisis sub-periods. The results showed that the performance of SOEs in Malaysia and Indonesia outperformed the non-SOEs owning to their higher returns. In contrast, Singaporean SOEs are inferior to the non-SOEs despite their lower risks. The findings also revealed that the SOEs in all the three countries are superior to the non-SOEs before the global financial crisis, but performed differently during the crisis. In the comparative study of the SOEs performance, the results revealed that the relative performance ratio of Indonesian SOEs is the highest followed by Singaporean and Malaysian SOEs. The overall findings disclosed that the SOEs in Indonesia relatively yielded the highest returns and risks. This paper also demonstrated that the Sortino ratio optimization method can be an alternative approach in assessing the performance of selected listed companies.