10.34820/FK2/SQP7URSalim, Dwi FitrizalFakultas Ekonomi dan Bisnis-Finance and Accounting StudiesRizal, Nora AmeldaNora AmeldaRizalFakultas Ekonomi dan Bisnis-Finance and Accounting StudiesTelkom University Dataverse2022Business and ManagementAlpha; Beta; Portfolio; ReturnSalim, Dwi FitrizalFakultas Ekonomi dan Bisnis-Finance and Accounting Studies2022-03-282022-03-2910.17509/jrak.v9i1.27586722396application/pdf1.4CC0 WaiverAbstract. Stock price volatility is an interesting issue to study that wrong stock selection when investing in shares will result in large losses. Portfolio theory introduced by Markowitz 1952 is better able to answer how the selection of shares in a portfolio in order to get the maximum return and certain risks. Portfolio offers diversification of several shares to be included in a portfolio to minimize the risks that will arise when investing. This study examines the LQ 45 index for the period 2013-2019, the sample collected for research total 21 shares, this study conducts valuations based on beta and alpha stocks, found that high Alpha gets the highest returns than any other portfolio on passive and active strategies . Beta and Alpha are based on the daily / monthly price of each share, so investors can change according to their needs either weekly, monthly, quarterly, semester, or yearly.