In the last few decades, the problem of voluntary disclosure of financial or non-financial information has been in the attention of many researchers. Shareholders, investors and other stakeholders make their investment and financial decisions on the basis of the information they get from annual reports. These annual reports may contain both mandatory and voluntary information. These voluntary disclosures are done by managers in the spirit of openness and transparency and may contain vital information that may assist all interested parties to make wise decisions. This paper sought out to examine empirically the relationship between voluntary disclosures and financial performance measure, Return on Investment (ROI), of companies quoted at the Nairobi Securities Exchange. Annual reports of 10 listed companies from the NSE 20-share index were investigated from the year 2011-2013. A disclosure checklist consisting of 49 voluntary disclosure items of information was used. A regression analysis was conducted on the data set using Excel 2007. Findings revealed that the individual predictor variables produced mixed results when regressed against ROI. However, the multivariate regression analysis depicted a strong positive relationship between voluntary disclosure and financial performance measure, as evidenced by a Pearson Product Moment Correlation Coefficient (R) of 0.6235. As such, only 38.9% of the data points will appear on the linear plot. Since voluntary disclosure comes with a cost, this study recommends that managers in organizations disclose more information voluntarily not only for the purposes of obtaining cheaper capital but also it increases transparency and accountability in annual reporting and this boosts the confidence of investors as they make investment and financial decisions