This study aims to determine the shares of sectoral index Property, Real Estate and Building Construction which could be used as forming an optimal portfolio and how large proportion of the funds and determine the magnitude of expected return and risk of the portfolio is formed. This research is descriptive with quantitative approach. The population used was stock sectoral index Property, Real Estate and Building Construction period 2013-2015 the number of the selected sample as many as 15 stocks. The data used is secondary data and data analysis used is the implementation of Single Index Model. The results of the calculation of optimal portfolio can generate a Single Index Model 4 candidate as a constituent stock optimal portfolio. Candidates shares included in the optimal portfolio is the stock Gowa Makassar Tourism Development Tbk (GMTD) amounted to 3.60%, Metropolitan Kentjana Tbk (MKPI) amounted to 44.55%, PP (Persero) Tbk (PTPP) amounted to 36.09% and Waskita Karya (Persero) Tbk (WSKT) amounted to 15.76%. Return expectations will be obtained by investors of the portfolio that is formed is equal to 0.05633 or 5.633%. Portfolio risk will be borne by the investor over its investments amounted to 0.003002 or 0.3002%.