Analisis Kinerja Instrumen Investasi Defensif Berdasarkan Return, Risiko, dan Sharpe Ratio Periode 2023–2025

Abstract

The high level of financial market volatility has made the selection of defensive investment instruments capable of balancing return and risk increasingly important. Nevertheless, studies that simultaneously compare the performance of gold, government bonds, and fixed-income mutual funds based on return, risk, and the Sharpe ratio remain limited. Therefore, this study aims to analyze and compare the performance of these three investment instruments during the 2023–2025 period. This research employs a comparative quantitative approach using secondary data, including ANTAM gold prices, government bond prices, and the Net Asset Value (NAV) of fixed-income mutual funds. The data were analyzed using the Kruskal–Wallis test, followed by the Mann–Whitney post hoc test. The findings indicate significant differences among the three investment instruments in terms of return, risk, and Sharpe ratio. Gold recorded the highest average return as well as the highest level of risk, fixed-income mutual funds exhibited the lowest level of risk, while government bonds achieved the highest Sharpe ratio. These findings suggest that government bonds are the most efficient defensive investment instrument, as they provide the most optimal balance between return and risk.