Suatu keputusan investasi selalu berhubungan dengan keuntungan dan risiko. Investor yang rasional menginvestasikan dananya ke dalam saham efisien, yaitu saham yang mempunyai return tinggi dengan risiko minimal. Sampel dalam penelitian ini menggunakan saham yang aktif berdasarkan frekuensi perdagangan dan membagi dividen selama dua tahun berturut-turut. Tujuan penelitian adalah untuk membentuk portofolio optimal dan mengetahui perbedaan return dan risiko antara saham kandidat dan non kandidat portofolio. Hasil penelitian menunjukkan terdapat saham yang menjadi kandidat portofolio dari 27 saham yang diteliti dengan nilai cut-off-point sebesar 0.76692. Portofolio optimal dibentuk oleh saham yang mempunyai excess returns to beta (ERB) lebih besar dari Ci, dan diperoleh 13 saham yang masuk perhitungan portofolio optimal. Komposisi atau proporsi dana masing-masing saham adalah PT. Adaro Energy Tbk sebesar 12.597%, PT. Gudang Garam Tbk sebesar 13.417%, PT. HM Sampoerna Tbk sebesar 12.418%, PT. Astra Otopart Tbk sebesar 2.679%, PT. Multi Bintang Indonesia Tbk sebesar 8.225%, PT. Astra Agro Lestari Tbk sebesar 6.846%, PT. Goodyear Indonesia Tbk sebesar 2.973%, PT. Indika Energy Tbk sebesar 5.377%, PT. United Tractors Tbk sebesar 13.88%, PT. Pabrik Kertas Tjiwi Kimia Tbk sebesar 1.494%, PT. Indofood Sukses Makmur Tbk sebesar 4.211%, PT. Astra International Tbk sebesar 12.549%, PT. Bank Negara Indonesia Tbk sebesar 3.335% dengan return portofolio sebesar 0.140997, risiko portofolio sebesar 0.099101 dan excess return to beta portofolio sebesar 0.881142. Berdasarkan hasil diatas dapat disimpulkan bahwa dengan menggunakan metode indeks tunggal, portofolio yang benar-benar optimal dapat diperoleh dengan adanya perhitungan aktiva bebas risiko. Kata Kunci: Model Indeks Tunggal, portofolio optimal, expected return, excess return to beta, cut-off-point.

An investment decision is always associated with return and risk. Rational investor will invest their funds in efficient stock which provides high expected return with minimum risk. This research covers securities which have liquid in terms of trading frequency and give dividend yield for two years. The main purposes of this research are to ascertain the optimal portfolio and the differences of return and risk portfolio candidates with non-candidates. This research results showed that there is a candidate shares portfolio of 26 stocks studied with the cut-off-point of 0.76692. Optimal portfolio is formed by having excess to beta (ERB) is grater than Ci, and obtained 13 stocks included in the calculation of the optimal portfolio. The composition or the proportion of each stock fund is PT. Adaro Energy Tbk amounting 12.597%, PT. Gudang Garam Tbk amounting 13.417%, PT. HM Sampoerna Tbk amounting 12.418%, PT. Astra Otopart Tbk amounting 2.679%, PT. Multi Bintang Indonesia Tbk amounting 8.225%, PT. Astra Agro Lestari Tbk amounting 6.846%, PT. Goodyear Indonesia Tbk amounting 2.973%, PT. Indika Energy Tbk amounting 5.377%, PT. United Tractors Tbk amounting 13.88%, PT. Pabrik Kertas Tjiwi Kimia Tbk amounting 1.494%, PT. Indofood Sukses Makmur Tbk amounting 4.211%, PT. Astra International Tbk amounting 12.549%, PT. Bank Negara Indonesia Tbk amounting 3.335% with a portfolio return of 0.140997 , the portfolio risk of 0.099101 and beta portfolio of 0.881142. In conclusion, by using a Single Index Model, portfolio truly optimal can be obtained by the calculation of risk-free assets. Keywords: Single Index Model, optimal portfolio, expected return, excess return to beta, cut-off-point.

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