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This research aims to analyze portfolio selection using Data Envelopment Analysis (DEA) method and then compare its returns with single index method. The data used in this research is data of monthly stock closing price in the list of LQ 45 published by BEI in the period of February 2014 until July 2018, Jakarta Composite Index (JCI) and interest rate level Indonesian Bank Certificate (SBI). This research used two models of DEA, which are DEA CCR and DEA BCC. The establishment of optimal portfolio DEA model is by measuring efficiency value and transforming it into portfolio based on certain decision-making criteria. The results of this research show that portfolio formed by using DEA CCR model generates higher return than single index portfolio. Then, portfolio formed by using DEA BCC model generates lower return than single index portfolio. But, there is no significance difference in returns between DEA portfolio and single index portfolio. The conclusion in this research is that DEA CCR method can used as an alternative tool to arrange optimal portfolio.