The purpose of this study is to determine the macroeconomic effect on optimal portfolio returns formed from banking stocks with the Elton-Gruber single index model. The use of banking stocks in the formation of portfolios is due to the many risks inherent in the charged industry caused by the movement of macroeconomic indicators. The test conducted in this study uses the Autoregressive Distributed Lag (ARDL) method to see the long-term and short-term relationship of the independent variables to the dependent variable. The macroeconomic variables used in this study are the BI rate, inflation, money supply and the exchange rate of US Dollar-Rupiah. The results of the study show that there is a long-term and short-term relationship between the BI rate, inflation, money supply, and the US Dollar-Rupiah exchange rate jointly towards optimal portfolio return. This result shows partially only the previous 1-month portfolio return that affects portfolio return growth in long-term relationships. Whereas in the short term, only a change in the BI rate of the previous 3 months and a change in inflation in the previous 1 month which affected the optimal portfolio return growth.