The one advantage you have to buying a fund that appears on paper to have really bad numbers is that; one, you know to expect large draw downs, and therefore there is no surprise factor. Two, the fund manager is also aware of the risk and hits his fund has taken, and if he is still around and his fund is still active, then he clearly has the temperament to withstand the losses. When traders are making money, all is well and they are executing their plan whatever the plan and strategy is. What you don't know, is how a trader will handle himself when he is under heat. When he is sitting on large losses, when things are starting to happen that he never dreamed of happening. Now, how does he handle that, what decisions does he make. Does he double up in anger, does he keep averaging down, and does he throw all his risk parameters out the window in panic to quickly try to make his money back? This is the kind of stuff that doesn't show up on the sheets or the performance reports. This is the kind of stuff investors only find out about AFTER the fact. Sharpe Ratios will reveal nothing about this. Neither will max drawdown figures. So the advantage of going with a fund that has a large drawdown is again, the fact that the manager was able to recover from the heat he had to take. A fund manager that has not had a large drawdown (yet), has not revealed how he will act under those same circumstances. In another words, it will be a surprise! Sharpe Ratio can only be effective if used as a relative measure of risk. It tells you nothing about the truly hidden risks of the fund.