Three rules. One for each question the ratio is actually answering.
A ratio is an answer. The mistake is reading the answer without naming the question.
Rule 01
Name the question first. The ratio is the answer.
If the question is "am I paid for the variance ride" the answer is Sharpe. If the question is "am I paid only for the painful side" the answer is Sortino. If the question is "how deep is the hole I had to swallow" the answer is Calmar. Reading the wrong answer ranks the same three funds backwards.
Rule 02
Read the distribution before picking the ratio.
Symmetric return distribution. Sharpe is fine. Skewed right, like a momentum or growth strategy with upside spikes. Sharpe over-penalises and Sortino sees clearly. Fat tail and you actually lived through the drawdown. Calmar is the number that survives the hindsight bias.
Rule 03
In withdrawal phase or behavioural-hold testing, Calmar is the bar.
Variance averages over a decade. Drawdown does not. The 38 pct hole is what an SIP-er or a retiree actually has to swallow in real rupees, not a notional standard deviation in a footnote. Sharpe says one fund. The behaviour says another. The drawdown decides which one ships.
Closer
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.
Read the risk-adjusted return module on the Learn hub.
rupeecase.com/learn