Sharpe . Sortino . Calmar

Friend pulled up three MF factsheets at Friday chai. CAGRs hovering between 13 and 20 pct on the same five-year window. The question was simple. "Which one is best risk-adjusted."

I asked which ratio.

He looked at me like the follow-up made no sense. Three legitimate ratios. Three different leaderboards. None of them wrong.

The three funds. Fund A 13 pct CAGR 12 pct total vol 16 pct max drawdown. Smooth compounder. Fund B 17 pct CAGR 22 pct vol 28 pct max drawdown. Volatile sprinter. Fund C 20 pct CAGR 24 pct vol 38 pct max drawdown. Deepest hole. RFR 7 pct on every row.

Sharpe takes return minus RFR over total vol. Treats every wobble as risk. Up or down. Leaderboard goes Fund C 0.54, Fund A 0.50, Fund B 0.45.

Sortino does the same arithmetic over downside vol only. Treats upside vol as a feature, not a risk. Flips the leaderboard to Fund B 0.83, Fund C 0.81, Fund A 0.80.

Calmar drops vol entirely. CAGR over max drawdown. Asks how deep the hole was that the holder had to climb out of. Inverts the leaderboard to Fund A 0.81, Fund B 0.61, Fund C 0.53.

Same three returns. Three different "best."

Each ratio answers a different question. Sharpe asks whether the return is paid for the variance ride. Works for symmetric distributions and broad benchmarks. Sortino asks whether the return is paid for the painful side of variance. Works for skewed strategies where upside spikes look like risk to Sharpe and don't bother an actual holder. Calmar asks how big the hole was. Works for withdrawal-phase portfolios and behavioural-hold testing where a 38 pct drawdown is what an investor actually has to swallow, not a notional sigma in a footnote.

Three rules I read every factsheet by. Name the question first because the ratio is the answer. Read the distribution before picking the ratio because symmetric Sharpe, skewed Sortino, lived-through Calmar. In withdrawal phase or behavioural-hold testing Calmar is the bar because variance averages over a decade and drawdown does not.

Sharpe ranks the market. Sortino ranks the manager. Calmar ranks the survivor. Same three returns. Three different leaderboards. The one that matters is the one that matches the question