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 | 114.739 | 29.277 | 21.537 | 1.303 | 1.627 | 1.109 | -26.405 | -5.583 | 176 days | 36 days |
| Silver | 162.814 | 38.357 | 42.892 | 0.982 | 1.109 | 0.734 | -52.282 | -13.626 | 177 days | 53 days |
| S&P 500 | 85.028 | 22.968 | 15.276 | 1.432 | 1.907 | 1.225 | -18.755 | -1.804 | 87 days | 17 days |
| 20Y+ Treasuries | 2.874 | 0.957 | 12.976 | 0.138 | 0.217 | 0.058 | -16.58 | -7.988 | 519 days | 202 days |
| US Dollar Index | 12.395 | 4.004 | 6.575 | 0.631 | 0.878 | 0.398 | -10.05 | -3.577 | 430 days | 140 days |
| Real Estate | 34.572 | 10.491 | 16.626 | 0.684 | 1.0 | 0.601 | -17.449 | -4.406 | 301 days | 83 days |
| Emerging Markets | 86.314 | 23.254 | 20.01 | 1.147 | 1.558 | 1.345 | -17.288 | -3.526 | 164 days | 33 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).