Quant analysis, on sliders.
The metrics every hedge-fund letter throws at you — Sharpe, Sortino, α, β, drawdown, VaR, correlation, information ratio, Kelly — each with the simulated returns behind them. Move a slider and watch the ratio, distribution and equity curve react in lockstep.
Sortino Ratio
Same idea as Sharpe, but only penalises the volatility that hurts — the downside. Push the skew slider negative and watch Sortino diverge.
Alpha & Beta
Beta = sensitivity to the market. Alpha = the return you can't explain by that sensitivity — pure skill (or noise). Regress the asset on the market and read the slope and intercept.
Max Drawdown & Calmar
Two portfolios can have the same average return and radically different pain. Drawdown measures peak-to-trough loss. Calmar = CAGR / |MaxDD|.
Value at Risk (VaR) & CVaR
VaR: on the worst 5% of days, you'll lose at least this much. CVaR (a.k.a. Expected Shortfall) is the average loss on those bad days — VaR's more honest cousin.
Correlation & Portfolio Vol
Combining assets with ρ < 1 cuts risk more than return. This is the only free lunch in finance — see it appear as you drag ρ from +1 down to −1.
Information Ratio
Excess return over a benchmark, divided by the volatility of that excess (tracking error). Rewards steady outperformance, punishes lucky bets.
Grinold's law: IR = IC × √breadth. More independent bets = higher IR at the same skill level.
Kelly Criterion
How much of your bankroll should you bet? Kelly maximises long-run log growth. Bet more and you go bust; bet less and you grow slower.