In this paper we have inspected the relationship between portfolio returns and market multiples for instance price to book ratio (P/B), price to earnings ratio (P/E), price to cash flow ratio (P/CF) and price to sales ratio (P/S) in Pakistan. The study includes the non-financial sector of Pakistan. Simple random sample is used to collect the data of 100 non-financial firms listed at Karachi Stock Exchange (KSE) from 2004 to 2011. The data for the firms are gathered from the websites of Business Recorder, Karachi Stock Exchange, State Bank of Pakistan and the companies’ financial reports. The sorting technique along with regression analyses is used to test the hypotheses for the study. The results of the study showed that among four market multiples P/B and P/S showed a significant positive relationship with portfolio returns. On the contrary, P/CF and P/E showed a significant negative relationship with portfolio returns. The results also proved that market multiples have a higher explanatory power for returns in combination than that of using alone except P/B which showed a greater explanatory power alone. Finally, P/B has higher explanatory power than all the other market multiples i.e., P/S, P/E and P/CF.