Penelitian ini bertujuan untuk menganalisis penerapan Capital Asset Pricing Model (CAPM) sebagai dasar pengambilan keputusan investasi saham pada perusahaan yang terdaftar di Jakarta Islamic Index (JII) periode 2017-2023. Fokus utama penelitian adalah mengidentifikasi tingkat risiko sistematis (beta), menganalisis return saham, pengelompokkan saham ke dalam kategori undervalued atau overvalued, serta penentuan portofolio optimal. Metode yang digunakan adalah deskriptif kuantitatif dengan data sekunder dari 13 saham yang konsisten terdaftar dalam JII selama periode penelitian. Hasil penelitian menunjukkan bahwa mayoritas saham JII memberikan return positif dengan rata-rata sebesar 0,512%. Nilai beta rata-rata sebesar 1,206 mengindikasikan bahwa saham-saham JII cenderung agresif. Analisis CAPM mengklasifikasikan 6 saham, dalam kategori undervalued dan 7 saham dalam kategori overvalued. Tiga saham (ADRO, ANTM, UNTR) teridentifikasi sebagai kandidat portofolio optimal dengan Tingkat return 1,575 dan risiko 0,809%.

This study aimed to analyze the application of the Capital Asset Pricing Model (CAPM) as a basis for stock investment decision making in companies listed on the Jakarta Islamic Index (JII) during 2017-2023 period. The research focused on identifying the level of systematic risk (beta), analyzing stock returns, classifying stocks as undervalued or overvalued, and determining the optimal portofolio. The study employed a descriptive quantitative method using secondary data from 13 companies that were consistently listed in the JII throughout the research period. The results showed that most JII stocks generated positive returns with an average of 0,512%. The average beta value of 1,206 indicated that JII stocks tended to be aggressive. The CAPM analysis classified 6 stocks as undervalued and 7 stocks as overvalued. Three stocks (ADRO, ANTM, UNTR) were identified as candidates for the optimal portofolio, with a return of 1,575% and risk level of 0,809%.