In terms of web of web protection I'd rank them:
In terms of detection of malware there's some things to consider:
Bitdefender Free has good signatures and has Active Threat Control (behavioural monitoring/blocking) which I'd argue puts it at the top of the three you mentioned in terms of protection against malware.
Avira has top-notch signatures but it lacks any substantial zero-day protection besides cloud analysis which makes it good for pairing but I wouldn't advise anyone to use it on its own.
From what I've seen Sophos lacks in both departments. I've never seen Sophos do particularly well with its signatures and while it claims that it
goes far beyond simply preventing known malware
and
analyzes suspicious behaviors and activities from files and programs, using real-time threat intelligence from SophosLabs
I've never actually seen any behavioural blocking from it.
I'm not a tester though so others can no doubt provide a more complete picture than I can in terms of Sophos Home.
Edit: If your main focus is on web filtering,
Fortinet provides some pretty outstanding web protection that I'd say tops all three you've listed. Unfortunately its lacking in the detection department and its installation takes an absolute aeon. (I'm talking like a 15 minute installation process. It's baffling.)