The Role of Gold and Cryptocurrency Hedge Funds in Enhancing the Performance of LQ45, JII, High Dividend, and SRI-KEHATI Stock Index Portfolios

Abstract

This research aims to determine the role of gold and crypto as hedge assets in improving the performance of stock index portfolios consisting of the LQ45, JII, High Dividend, and SRI-KEHATI indices during the 2019–2021 period. The study examines whether portfolios combined with gold and crypto provide better performance compared to portfolios consisting solely of stock indices. The research employs the Naive Diversification method and evaluates portfolio performance using the Sharpe Index, Treynor Index, Jensen Index, Sortino Ratio, and Omega Ratio. The results indicate that the inclusion of gold and crypto as hedge assets improves the performance of stock index portfolios based on the Naive Diversification model calculations from January 1, 2019, to December 30, 2021. Overall, portfolios that incorporate gold and crypto demonstrate better hedging capabilities and superior performance compared to portfolios without hedge assets.