This study was aimed at finding the optimal exchange that can be put into portfolio, the rank of portfolio return, and rank of portfolio risk that was formed by using single index model on Jakarta Islamic Index (JII) years 2011-2015. The population of this study was all stocks that is listed in Jakarta Islamic Index from January 2011 to November 2015 about 30. Sample of this study was 12 stocks that was not stock split. The findings of this study showed that there are negative value of expected return. Those are AALI (-0.0025), ITMG (-0.0275), LSIP (-0.0032), and UNTR (-0.0031). There are positif value of expected return. Those are UNVR (0.0158), KBLF (0.0148), SMGR (0.0055), TLKM (0.0122), ASII (0.004), ASRI (0.0114), CPIN (0.0177), dan INTP (0.0062). The positif value can be put into optimal portfolio. From eight stocks, there are only four stocks that can be categorized into portfolio candidate. Those are KBLF (40,8%), TLKM (38.8%), CPIN (15.2%) and ASRI (5.2%). From formed portfolio, it can be seen that portfolio return are 0.01403 or 1,4 % and portofolio risk are 0.002307 or 0,023%. The result showed that portfolio risk was less than stock risk. It indicated that forming optimal portfolio can reduce the risk.