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All Journal EKONOMI, KEUANGAN, INVESTASI DAN SYARIAH (EKUITAS) JOURNAL OF BUSINESS AND ECONOMICS RESEARCH (JBE)
Hadi Ahmad Sukardi
Universitas Sangga Buana, Bandung
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Cryptocurrencies vs Stocks: Analyzing Returns, Risks, and Performance to Determine the Best Investment Reksha Laksana; R. Rita Avianty; Erik Nugraha; Hadi Ahmad Sukardi
Journal of Business and Economics Research (JBE) Vol 7 No 1 (2026): February 2026
Publisher : Forum Kerjasama Pendidikan Tinggi

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47065/jbe.v7i1.9075

Abstract

This study compares the investment performance of selected cryptocurrencies and stocks over the period 2020–2024 by analyzing returns, risk and relative performance. A quantitative descriptive approach was employed with a saturated sample of 40 assets (cryptocurrencies and stocks) and 2,400 monthly closing-price observations. The analyzed metrics include monthly returns, volatility (as a proxy for risk) and the Sharpe ratio for risk‑adjusted performance. Results indicate that cryptocurrencies produced higher average returns but exhibited substantially greater volatility; DOGE shows the highest risk with a value of 14.02955. In a risk-adjusted comparison based on the Sharpe ratio, TRX achieves the highest Sharpe ratio with a value of 1.29783, followed by NVDA at 1.21917 and AVGO at 1.15028, suggesting that several assets delivered superior returns with relatively controlled risk. Yearly comparisons revealed shifting performance leaders, reflecting temporal market dynamics across the five‑year window. These findings imply that portfolio allocations should explicitly consider the trade‑off between higher returns from cryptocurrencies and their increased volatility, and should incorporate risk‑adjusted metrics such as the Sharpe ratio when selecting assets. This study can be used as a reference to improve investors' understanding of asset performance and the risks of cryptocurrencies and stocks, and can encourage further research on investment analysis and risk management across various asset classes.
Rethinking Cryptocurrency Performance: Downside Risk Evaluation Using Sortino and Calmar Ratios Reksha Laksana; Erik Nugraha; Hadi Ahmad Sukardi; Agrie Wahyudi Kharisman
Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS) Vol 8 No 1 (2026): August 2026
Publisher : Forum Kerjasama Pendidikan Tinggi (FKPT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47065/ekuitas.v8i1.10747

Abstract

This study evaluates the investment performance of the 20 largest cryptocurrencies by market capitalization during 2021–2025 using downside risk metrics. A quantitative descriptive approach was applied to 36,500 daily return observations derived from 36,520 daily closing prices obtained from CoinGecko. Performance was assessed using the Compound Annual Growth Rate (CAGR), annualized downside deviation, maximum drawdown, the Sortino Ratio, and the Calmar Ratio, with the risk-free rate set to zero. Descriptive statistics indicate excess kurtosis across all assets and positive skewness in 18 cryptocurrencies, supporting the use of downside-oriented metrics. Only six assets achieved a Sortino Ratio above 1.0, led by SHIB (10.0724), SOL (1.8578), and BNB (1.7341), while only three exceeded a Calmar Ratio of 1.0. Quadrant analysis identified three Alpha Leaders, three High-Yield Fragility assets, and 14 Value Destruction assets. SHIB exhibited a speculative paradox, combining exceptional risk-adjusted performance with a 91.98% maximum drawdown due to its near-zero initial price, whereas LTC was the only asset with negative CAGR. These findings demonstrate that downside risk metrics provide a complementary perspective on cryptocurrency performance by emphasizing downside deviation and drawdown, thereby supporting more informed investment decisions Practically, the resulting downside-based quadrant classification offers investors, market supervisors, and financial educators a concrete tool for distinguishing assets that genuinely reward risk-taking from those that erode capital, thereby strengthening risk-aware decision-making and consumer protection in the crypto-asset market.
Co-Authors Agrie Wahyudi Kharisman Erik Nugraha R. Rita Avianty Reksha Laksana