Penelitian ini bertujuan untuk menganalisis pembentukan dan kinerja portofolio saham optimal dengan menggunakan Model Markowitz dan Capital Asset Pricing Model (CAPM) pada saham yang tergabung dalam Indeks JII70. Metode penelitian yang digunakan adalah kuantitatif deskriptif. Populasi dalam penelitian ini adalah seluruh saham yang termasuk dalam Indeks JII70 yang terdaftar di Bursa Efek Indonesia. Sampel penelitian ini adalah saham yang terdaftar secara konsisten dalam Indeks JII70 selama periode 2021-2024. Jumlah sampel penelitian ini sebanyak 43 saham. Hasil penelitian ini adalah: (1) Dalam Model Markowitz diperoleh 22 saham pembentuk portofolio optimal. (2) Dalam CAPM diperoleh 18 saham pembentuk portofolio optimal. (3) Kinerja portofolio optimal Model Markowitz memiliki nilai Sharpe Ratio sebesar -0.32871, Treynor Ratio sebesar 0.02031, dan Jensen Ratio sebesar 0.00321. (4) Kinerja portofolio optimal CAPM memiliki nilai Sharpe Ratio sebesar -0.16203, Treynor Ratio sebesar 0.01239, dan Jensen Ratio sebesar 0.02. (5) Perbandingan kinerja menunjukkan kinerja portofolio CAPM lebih unggul dari Model Markowitz.

This study aims to analyze the formation and performance of optimal stock portfolios using the Markowitz Model and the Capital Asset Pricing Model (CAPM) on stocks included in the Jakarta Islamic Index 70 (JII70). The research method employed is descriptive quantitative. The population consists of all stocks listed in the JII70 Index on the Indonesia Stock Exchange. The sample comprises stocks that were consistently listed in the JII70 during the 2021–2024 period, totaling 43 stocks. The results of the study are as follows: (1) In the Markowitz Model, 22 stocks were obtained as components of the optimal portfolio. (2) In the CAPM, 18 stocks were obtained as components of the optimal portfolio. (3) The performance of the optimal portfolio under the Markowitz Model recorded a Sharpe Ratio of -0.32871, a Treynor Ratio of -0.02031, and a Jensen Ratio of 0.00321. (4) The performance of the optimal portfolio under CAPM recorded a Sharpe Ratio of -0.16203, a Treynor Ratio of 0.01239, and a Jensen Ratio of 0.02. (5) A comparative analysis shows that the CAPM-based portfolio demonstrates better performance than the Markowitz Model.