Quantitative Tools
Asset Correlation Dashboard
Heatmaps, rolling stats, and tables to understand cross-asset behavior over 3y.
Correlation Matrix
Cumulative Returns (%)
Performance Ranking
Rolling Sharpe Ratio
Performance Summary Table
| Asset | Buy & Hold Return [%] | Return (Ann.) [%] | Volatility (Ann.) [%] | Sharpe Ratio | Sortino Ratio | Calmar Ratio | Max Drawdown [%] | Avg. Drawdown [%] | Max. Drawdown Duration | Avg. Drawdown Duration |
|---|---|---|---|---|---|---|---|---|---|---|
| Gold | 104.974 | 27.23 | 20.658 | 1.272 | 1.577 | 1.039 | -26.211 | -4.109 | 113 days | 25 days |
| Silver | 133.304 | 32.879 | 42.089 | 0.896 | 1.011 | 0.645 | -50.966 | -10.662 | 153 days | 45 days |
| S&P 500 | 73.101 | 20.216 | 15.312 | 1.281 | 1.697 | 1.078 | -18.755 | -2.091 | 87 days | 20 days |
| 20Y+ Treasuries | -5.997 | -2.054 | 13.808 | -0.081 | -0.125 | -0.109 | -18.87 | -8.405 | 456 days | 187 days |
| US Dollar Index | 18.314 | 5.805 | 6.602 | 0.889 | 1.258 | 0.578 | -10.05 | -3.438 | 375 days | 113 days |
| Real Estate | 28.407 | 8.752 | 16.873 | 0.582 | 0.836 | 0.502 | -17.449 | -4.994 | 301 days | 87 days |
| Emerging Markets | 71.809 | 19.914 | 19.412 | 1.034 | 1.402 | 1.152 | -17.288 | -4.019 | 164 days | 45 days |
Understanding Asset Correlation
What is asset correlation?
Correlation measures how pairs of assets move relative to one another (from -1 to +1). It’s the backbone of diversification work.
How to read the visuals
- Correlation matrix: Quickly see where diversification benefits exist (darker reds) or fail (greens).
- Cumulative returns & Sharpe: Rank assets on risk-adjusted carry over the chosen period.
- Performance table: Puts ratios, drawdowns, and duration stats side by side.
Practical applications
- Construct balanced portfolios by pairing low/negative correlations.
- Identify hedges when certain assets move inversely.
- Track when relationships regime-shift (correlations rising toward +1).