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. Dan mengukur kinerja Portofolio Optimal menggunakan Sharpe Ratio, Treynor Ratio dan Jensen Ratio. Hasil penelitian menunjukan bahwa : (1) Komposisi saham hasil pembentukan portofolio optimal dan proporsi dana yang di alokasikan untuk investasi saham dengan menggunakan Markowitz Model terdiri dari 13 saham kandidat portofolio optimal adalah CPIN 6.32%, EXCL 4.51%, INCO 5.63%, INDF 23.46%, INTP 7.70%, KLBF 6.35%, MIKA 10.30%, PGAS 1.44%, PTBA 5.61%, SCMA 1.79%, TLKM 13.86%, UNTR 6.75%, UNVR 6.28%. (2) Komposisi saham hasil pembentukan porofolio optimal dan proporsi dana yang di alokasikan untuk investasi saham dengan menggunakan Single Index Model terdiri dari 14 saham yaitu ANTM 5.25%, BRPT 3.34%, CPIN 6.76%, EXCL 5.15%, INCO 5.39%, INKP 6.50%, INTP 10.80%, PGAS 2.66%, PTBA 3.16%, SCMA 7.90%, SMGR 14.94%, TLKM 7.16%, UNTR 3.43%, UNVR 15.27%. (3) Berdasarkan perhitungan Sharpe Ratio, Treynor Ratio, dan Jensen Alpha Ratio maka model yang baik kinerjanya dalam pembentukan portofolio optimal yaitu Single Index Model karena memiliki nilai Sharpe Ratio, Treynor Ratio, dan Jensen Alpha Ratio yang lebih tinggi dibandingkan dengan Markowitz Model.
Kata Kunci: Portofolio Optimal, Markowitz Model, Single Index Model

This study aims to determine the composition of stocks resulting from the formation of an optimal portfolio using the Markowitz model and the Single Index Model and the proportion of funds allocated for stock investment resulting from the formation of an optimal portfolio using the Markowitz Model and the Single Index Model. And measure the performance of the Optimal Portfolio using the Sharpe Ratio, Treynor Ratio and Jensen Ratio. The results of the study showed that: (1) The composition of stocks resulting from the formation of an optimal portfolio and the proportion of funds allocated for stock investment using the Markowitz Model consisted of 13 candidate stocks for the optimal portfolio, namely CPIN 6.32%, EXCL 4.51%, INCO 5.63%, INDF 23.46%, INTP 7.70%, KLBF 6.35%, MIKA 10.30%, PGAS 1.44%, PTBA 5.61%, SCMA 1.79%, TLKM 13.86%, UNTR 6.75%, UNVR 6.28%. (2) The composition of shares resulting from the formation of an optimal portfolio and the proportion of funds allocated for stock investment using the Single Index Model consists of 14 shares, namely ANTM 5.25%, BRPT 3.34%, CPIN 6.76%, EXCL 5.15%, INCO 5.39%, INKP 6.50%, INTP 10.80%, PGAS 2.66%, PTBA 3.16%, SCMA 7.90%, SMGR 14.94%, TLKM 7.16%, UNTR 3.43%, UNVR 15.27%. (3) Based on the calculation of the Sharpe Ratio, Treynor Ratio, and Jensen Alpha Ratio, the model with good performance in forming an optimal portfolio is the Single Index Model because it has higher Sharpe Ratio, Treynor Ratio, and Jensen Alpha Ratio values compared to the Markowitz Model.
Keywords: Optimal Portfolio, Markowitz Model, Single Index Model