Three funds on three ratios. The same five-year window.
Risk free rate 7 pct on every row. Each ratio defines "risk" differently, and the leaderboard moves the moment the definition does.
| Fund |
CAGR |
Total vol |
Downside vol |
Max DD |
| Fund ASmooth compounder . quality blend |
13.0 pct |
12.0 pct |
7.5 pct |
16.0 pct |
| Fund BVolatile sprinter . positive skew |
17.0 pct |
22.0 pct |
12.0 pct |
28.0 pct |
| Fund CDeepest hole . high CAGR |
20.0 pct |
24.0 pct |
16.0 pct |
38.0 pct |
Ratio 01
Sharpe
( CAGR minus RFR ) / total vol
Fund A0.50
Fund B0.45
Fund C0.54
Penalises every wobble. Up or down. Treats the distribution as symmetric.
Ratio 02
Sortino
( CAGR minus RFR ) / downside vol
Fund A0.80
Fund B0.83
Fund C0.81
Penalises only the painful side. Upside vol is a feature, not a risk.
Ratio 03
Calmar
CAGR / max drawdown
Fund A0.81
Fund B0.61
Fund C0.53
Drops vol entirely. Reads the deepest hole the holder had to climb out of.
Same three returns. Three different winners. The ratio is the answer. Knowing the question is what decides which answer to read.