There are a few measures that have been developed to help investors make such a decision.
Sharpe Ratio
The Sharpe Ratio is a measure to calculate risk-adjusted return, with it, now it's possible to compare two portfolios' performances fairly.
The Sharpe ratio is calculated by subtracting the risk-free return from the average return, then divide the result by risk. With risk-free return removed, the performance associated with the risk-taking activities could be isolated. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.
Return Over Max Drawdown
Are you willing to accept an occasional drawdown of x% in order to generate a return of Y%? With Return over maximum drawdown, which is calculated by using the average return in a given period for a portfolio divided by the maximum drawdown level, now you could compare two portfolios and answer the question.
Sortino Ratio
The Sharpe ratio uses standard deviation to measure risk, it has a problem - because investors welcome upside risk which brings higher returns. The Sortino ratio addresses this issue by only measures the standard deviation of negative asset returns. In other words, the Sortino ratio takes the asset's return and subtracts the risk-free rate, then divides that amount by the asset's downside deviation.