Efficient Market Hypothesis stated that traded assets already reflect all publicly available information. Thus, it is impossible to beat the market or achieve above market performance on a sustainable basis. Theoretically, the overall market always performed better because it is well-diversified and the market is efficient.This study is aimed to examine and compare the performance of Indonesia’s major indices. As well as to form an optimal portfolio that consists of combination of the selected indices. This research utilize secondary data. The subjects of this research are LQ45, Kompas100, JII, Bisnis27, Pefindo25, Sri Kehati, and IHSG. This research uses data of daily closing of stock price indices from among LQ45, KOMPAS100, BISNIS27, SRI-KEHATI, JII, PEFINDO25 and IHSG over the period of 10 years from January 2010 to December 2019 period. The results from this study shows that are no difference in return, risk, stock beta, stock performance among stock indices on the IDX in 2010 - 2019. This study also found that SRI KEHATI outperformed the market in term of return and Treynor ratio during this period. Also, the optimization of the portfolio becomes a corner solution because Sri Kehati performed better from all aspect when compared to other indices. Even though Sri Kehati is dominant compared to other indices, Sri Kehati is not superior when compared with IHSG. The reason is because IHSG has higher Sharpe ratio, lower standard deviation because the market is well diversified and the return earned also not much different. The efficient market theory is supported by this evidence because all of these indices underperform the IHSG in terms of risk adjusted returns, meaning that the market is efficient and there will be no expert or portfolio that can consistently outperform the market.

Keywords: Stock Index, Efficient Market, Performance Comparison, Risk -adjusted Return, Optimal Portfolio