The problems faced by banks at this time of course have an impact on the rate of return that will be received by investors because risk and return are two inseparable things. The objective of this research is to analyze the risk and return of the banking sector financial industry on the IDX, to find out efficient and inefficient stocks and to analyze stocks that can provide the greatest return on investment to investors. This type of research is quantitative research originating from secondary data, namely closing price data on stocks on the Indonesian Stock Exchange (IDX). The number of samples used was 43 banks which were taken using a non-probability sampling technique, especially purposive sampling which were listed on the Indonesia Stock Exchange for the period February 2019 to August 2022. The analytical tool used was the Capital Asset Pricing Model (CAPM). The results showed that of the 43 bank financial sector industries that were used as research samples, there were 18 stocks with a βi value < 1 and 25 stocks with a βi value > 1. Shares of the bank Woori Saudara Indonesia 1906 Tbk (SDRA) are stocks that have the smallest βi value with The lowest E(Ri) and shares of Bank Rakyat Indonesia Tbk (AGRO) are the shares that have the highest βi value with the largest E(Ri). Analysis of efficient and inefficient stocks shows that the number of efficient shares is 28 shares and the number of shares that are inefficient is as much as 15 shares. Of the 28 efficient stocks, Bank Jago Tbk (ARTO) shares are the ones that provide the most profit, namely 0.20280 or 20.28% when compared to other stocks.