Penelitian ini bertujuan untuk mengetahui komposisi saham hasil pembentukan portofolio optimal Markowitz Model dan Single Index Model dan besarnya proporsi dana yang dialokasikan untuk investasi saham hasil pembentukan portofolio optimal Markowitz Model dan Single Index Model. Penelitian ini juga bertujuan untuk membandingkan hasil pembentukan portofolio optimal dan kinerja Markowitz Model dan Single Index Model. Penelitian ini adalah penelitian deskriptif kuantitatif. Populasi dalam penelitian ini adalah seluruh saham yang termasuk dalam indeks LQ45 yang terdaftar di Bursa Efek Indonesia periode 2018- 2022. Sampel penelitian adalah saham yang terdaftar secara konsisten dalam indeks LQ-45 selama periode 2018-2022. Jumlah sampel penelitian berdasarkan syarat tersebut sebanyak 27 saham. Hasil dari penelitian ini adalah : (1) Dalam Markowitz Model, diperoleh 5 saham pembentuk portofolio optimal yaitu ADRO (49%), ANTM (22%), BBCA (7%), ICBP (5%), dan KLBF sebesar (16%). Dengan tingkat return portofolio sebesar 0.025382 (2.54%) dan risiko portofolio sebesar 0.081342 (8.13%). (2) Dalam Single Index Model, diperoleh 9 saham pembentuk portofolio optimal yaitu UNTR (15.18%), PTBA (3.38%), MNCN (4.15%), ICBP (35.59%), EXCL (6.62%), BBTN (0.92%), BBCA (32.55%), ANTM (0.04%) dan ADRO (1.56%). Dengan tingkat return portofolio sebesar 0.02066 (2.1%) dan risiko portofolio sebesar 0.04005 (4%). (3) Kinerja portofolio optimal Markowitz Model memiliki nilai Sharpe Ratio sebesar 0.2678, Treynor Ratio sebesar 0.0148, dan Jensen Alpha Ratio sebesar 0.0307. (4) Kinerja portofolio optimal Single Index Model memiliki nilai Sharpe Ratio sebesar 0.42540, Treynor Ratio sebesar 0.00734, dan Jensen Alpha Ratio sebesar 0.01353. (5) Hasil pengolahan uji beda independent sample t-test dari return menunjukkan bahwa tidak adanya perbedaan antara return Markowitz Model dan return Single Index Model. (6) Hasil pengolahan uji beda independent sample t-test dari risk menunjukkan bahwa tidak adanya perbedaan antara risk Markowitz Model dan risk Single Index Model.

This study aims to determine the composition of the optimal portfolio formation results of the Markowitz Model and Single Index Model and the proportion of funds allocated to stock investments in the optimal portfolio formation results of the Markowitz Model and Single Index Model. This study also aims to compare the results of optimal portfolio formation and performance of the Markowitz Model and Single Index Model. This research is quantitative descriptive research. The population in this study are all stocks included in the LQ45 index listed on the Indonesia Stock Exchange for the period 2018-2022. The research sample is stocks that are consistently listed in the LQ-45 index during the 2018- 2022 period. The number of research samples based on these conditions was 27 stocks. The results of this study are: (1) In the Markowitz Model, 5 optimal portfolio forming stocks are obtained, namely ADRO (49%), ANTM (22%), BBCA (7%), ICBP (5%), and KLBF by (16%). With a portfolio return rate of 0.025382 (2.54%) and a portfolio risk of 0.081342 (8.13%). (2) In the Single Index Model, 9 optimal portfolio forming stocks are obtained, namely UNTR (15.18%), PTBA (3.38%), MNCN (4.15%), ICBP (35.59%), EXCL (6.62%), BBTN (0.92%), BBCA (32.55%), ANTM (0.04%) and ADRO (1.56%). With a portfolio return rate of 0.02066 (2.1%) and a portfolio risk of 0.04005 (4%). (3) The Markowitz Model optimal portfolio performance has a Sharpe Ratio value of 0.2678, Treynor Ratio of 0.0148, and Jensen Alpha Ratio of 0.0307. (4) The Single Index Model optimal portfolio performance has a Sharpe Ratio value of 0.42540, a Treynor Ratio of 0.00734, and a Jensen Alpha Ratio of 0.01353. (5) The results of the independent sample t-test processing of the return show that there is no difference between the Markowitz Model return and the Single Index Model return. (6) The results of the independent sample t-test processing of risk show that there is no difference between the Markowitz Model risk and the Single Index Model risk.