Some drugs cause sub-q water retention (evil for example), some don't (Winstrol),some cause intracellular water retention (Anadrol for ex.). Some drugs decrease SHBG (Sex Hormone Binding Gobulin; Trenbolone, Winstrol, Proviron, etc..), some don't (testosterone). Some drugs affect liver production of igf1 (devs, Trenbolone, etc...), some don't (test). Some drugs aromatics (test, 0ea, sol, etc...), some don't (dht- derivatives, such as Winstrol, Anavar, etc... Some that arnt dht-derrived such as Tren. Even though its a 19-nortestosterone derivative).
There's only so many androgen receptors but not all drugs bind strongly to the AR, and some may have anabolic activity outside an androgen receptor (Anadrol). Some bind strongly yet have very little anabolic activity (for, halotestin, Proviron, etc...).
Better to cover all your bases and know whats gonna help you achieve a particular goal.