Making a statistical comparison of meta-heuristic multi-objective optimization algorithms is crucial for identifying the strengths and weaknesses of a newly proposed algorithm. Currently, state-of-the-art comparison approaches involve user-preference-based selection of a single quality indicator or an ensemble of quality indicators as a comparison metric. Using these quality indicators, high-dimensional data is transformed into one-dimensional data. By doing this, information contained in the high-dimensional space can be lost, which will affect the results of the comparison. To avoid losing this information, we propose a novel ranking scheme that compares the distributions of high-dimensional data. Experimental results show that the proposed approach reduces potential information loss when statistical significance is not observed in high-dimensional data. Consequently, the selection of a quality indicator is required only in cases when statistical significance is observed in high-dimensional data. With this the cases that are affected by the user preference selection are reduced.