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 | 129.956 | 32.187 | 19.885 | 1.506 | 1.87 | 1.676 | -19.21 | -3.354 | 135 days | 29 days |
| Silver | 259.05 | 53.474 | 40.622 | 1.269 | 1.441 | 1.26 | -42.453 | -8.532 | 153 days | 40 days |
| S&P 500 | 86.783 | 23.29 | 15.156 | 1.459 | 1.939 | 1.242 | -18.755 | -2.035 | 87 days | 20 days |
| 20Y+ Treasuries | -7.104 | -2.439 | 13.95 | -0.108 | -0.166 | -0.127 | -19.168 | -8.104 | 415 days | 176 days |
| US Dollar Index | 12.888 | 4.146 | 6.751 | 0.636 | 0.899 | 0.413 | -10.05 | -3.374 | 334 days | 93 days |
| Real Estate | 32.174 | 9.799 | 16.893 | 0.639 | 0.92 | 0.562 | -17.449 | -4.993 | 301 days | 87 days |
| Emerging Markets | 84.419 | 22.765 | 17.871 | 1.239 | 1.82 | 1.317 | -17.288 | -3.886 | 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).