The purpose of this research was to determine the performance of stocks of companies listed in LQ 45 during the period 2012-2015 based on returns and risks to classify the company's shares in an efficient and inefficient group based on the (Capital Asset Pricing Model (CAPM). Based on 22 sample of company's shares, this research showed that stocks were efficient had actual return (Ri)>Expected return [E(Ri)]. In 2012 there were 14 stocks of companies that are efficient, in 2013 there were three stocks of companies that are efficient, year in 2014 there were 10 stocks of companies that are efficient, and in 2015 there were two stocks companies efficiently. Stock prices were included in a group of stocks efficient, would increase and causing high actual return. Therefore investors should invest in a group of stocks efficiently.