<![CDATA[This study aims to analyze the formation of an optimal portfolio of LQ45 stocks on the Indonesia Stock Exchange (IDX) for the 2022-2024 period using the Single Index Model (SIM). This quantitative descriptive study utilizes a sample of 27 stocks from the LQ45 index population, selected through purposive sampling based on specific criteria. The analysis reveals that out of 12 stocks with a positive expected return, 5 stocks qualify for inclusion in the optimal portfolio because their Excess Return to Beta (ERB) values exceed the cut-off point (0.0036412). These five stocks and their respective fund weightings are AMRT (41.66%), INDF (22.71%), ICBP (21.21%), MEDC (11.70%), and PGAS (2.72%). This optimal portfolio generates an expected return of 2.11% per month with a risk level of 4.98% per month. The portfolio's performance is proven to be more efficient, yielding a Coefficient of Variation of 2.36, which outperforms the average performance of the overall LQ45 Index. In conclusion, the SIM method can be effectively used to construct a stock portfolio with superior return and risk efficiency compared to the market index.]]>
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