This article evaluates the Performance of BSE stocks after implementation of GST i.e., from July 1st 2017 to October 31^st 2017. This study suggests the optimal portfolio to the investor in order to reduce the risk and increase the returns. CAPM (Capital Asset Pricing Model) model is used to evaluate the performance of the BSE stocks based on the Estimated and Expected returns. Weekly closing prices of different stocks are used to calculate the Expected returns. The performance of the individual stocks is evaluated on the basis of Beta, Alpha, Standard Deviation and Pricing decisions. The study resulted in stating that out of 30 stocks 5 stocks are under Priced. The main objectives of this study is to know the market returns of BSE Sensex after implementation of GST from 1^st June 2017 to 31st October 2017, to analyze the investment decision and its related risk return with Capital Asset Pricing Model, to give appropriate suggestions for searching the optimal portfolio in order to reduce the risk and increasing the returns.