If investing in a mutual fund is not the best way to invest my money, where else can i invest?

Risk is an approach, not a form of investing. Certainly priority one.

Diversification is not "The Answer" to "absorbment of risk." You can buy the Diamond ETF, the Spyder ETF, and the Qube ETF,. and be diversified across the entire US market, but you have done nothing at all about market risk. And you can invest in Japan or Germany, but you have done nothing about the world economy risk. All markets are tied together.

Used properly, negatively correlated diversification can reduce risk. Gold is negatively correlated to the stock market. Oil prices are negatively correlated to the US Dollar. Some companies and industries will actually flourish in a down economy.

You cannot escape risk, but you can manage it to be in your favor. Using protective stops, getting good executions (meaning good liquidity, low slippage, low commissions), and using little or no leverage are all ways to reduce risk. Timing and entry into an investment can also reduce risk, like at known price turning points (support and resistance) or riding the trend can reduce risk, or verifying the change in trend. For example, the least risk entry point is near the trend line, with a protective stop just on the other side.

Where else can you invest? The whole world is open to you. If you are thinking of funds, you may want to consider the futures and commodity funds. Some of them trade without leverage, and manage risk rather well, and these are negatively correlated to the stock market.

Just don't put all your eggs in one basket.

There is no best form of investment rather, your absorbment of risk is what makes one investment better than another.
Come to think of it, mutual fund is investing in several equities,money market instrument, real estate and several investment option by the fund manager who by himself monitors the investment on your behalf, he makes his profit, minuses expenses from the total proceed then share net among the pool investors in the name of dividend.And because it is rated in bid and offer price you might not be able to make gains immediately but at the long run.
In summary, mutual fund may not give profit geometrically that is doubling and trippling but it is safer for you, in case you are a risk averter. You are likely surer that you will not loose your capital. Mutual fund is ok in case you are planning for long term. It has a lot of benefits. But if you are a short term investor don't venture into it 'cos it might not pay you., rather go through money market or capital market through seconday market. I am just trying to bring it down in ordinary man language.God bless you.