[medvezhenok]

The reason that risk is important to quantify is because leverage could be used (in theory), to achieve risk parity between different strategies. So ideally you would pick the one that has the best risk adjusted returns (with enough diversification) and then leverage it to the amount of risk you would be comfortable with.

As a highly simplified, unrealistic example - let's say strategy A has an average return of 5%/year with max drawdown of 20%, and strategy B has an average return of 10%/year with a max drawdown of 50% (here max drawdown being a highly simplified proxy for risk). Theoretically, you could use leverage to go 2.5X long strategy A to achieve a return of 12.5%/year with a max drawdown of 50% (minus cost of the leverage - depending on how you do this, cost could be fairly small). This might do better, risk-adjusted, than just doing strategy B by itself.