This study compares the risk-return performance of Borsa Istanbul sector indices, gold per gram, USD/TRY exchange rate, and crypto assets. The findings reveal that while the transportation index stands out with high annual returns, it carries high risk; banking and food indices offer a more balanced outlook. Gold maintains its safe-haven status globally with the highest Sharpe ratio, while USD/TRY provides stable returns with low risk levels and acts as a hedge in portfolios due to its limited correlation with indices. Cryptocurrencies, despite their high return potential, have shown limited performance due to their volatile nature. The importance of the study stems from its evaluation of the risk profiles of different asset groups and its provision of guiding results for investors in terms of portfolio diversification. The findings are relevant for both individual investors and portfolio managers in their risk management and strategy development processes.