The Speculative Paradox in Cryptocurrency: A Downside Risk Analysis from the Indonesian Investor’s Perspective

Amidst the rapid growth of cryptocurrency adoption, differentiating between fundamental utility and speculative hype is critical for retail investor protection. This study evaluates the risk-adjusted performance of utility-based versus speculation-based cryptocurrencies over the 2023–2025 period. Employing a quantitative empirical-analytical approach, this study utilizes the Sortino and Calmar Ratios to capture downside risk and maximum drawdown, which are metrics that better address the asymmetric return characteristics of digital assets compared to the conventional Sharpe ratio. The BI 7-Day Reverse Repo Rate is applied as the risk-free benchmark to reflect the domestic opportunity cost for Indonesian investors. Results indicate that Smart Contract Platforms predominantly delivered superior risk-adjusted returns, while AI tokens exhibited broad underperformance reflecting an immature utility phase, and DeFi tokens showed heterogeneous results consistent with a sector consolidation dynamic. Paradoxically, the meme token BONK achieved the highest Calmar Ratio despite an extreme maximum drawdown, supporting Prospect Theory’s prediction of lottery-like preferences among retail investors. This study offers Indonesian retail investors, financial educators, and market supervisors a more rigorous and practically applicable framework for cryptocurrency performance assessment, directly supporting the consumer protection objectives established by domestic financial regulation.