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 | 139.845 | 34.065 | 16.378 | 1.875 | 2.657 | 3.002 | -11.347 | -2.93 | 145 days | 28 days |
| Silver | 284.189 | 56.995 | 30.614 | 1.629 | 2.486 | 2.909 | -19.591 | -7.057 | 228 days | 64 days |
| S&P 500 | 80.563 | 21.898 | 15.27 | 1.375 | 1.841 | 1.168 | -18.755 | -2.077 | 87 days | 20 days |
| 20Y+ Treasuries | -6.297 | -2.156 | 14.88 | -0.072 | -0.115 | -0.096 | -22.427 | -9.882 | 695 days | 325 days |
| US Dollar Index | 14.062 | 4.508 | 6.8 | 0.683 | 1.006 | 0.449 | -10.05 | -2.985 | 252 days | 61 days |
| Real Estate | 15.878 | 5.062 | 17.543 | 0.37 | 0.535 | 0.232 | -21.831 | -6.975 | 361 days | 146 days |
| Emerging Markets | 51.478 | 14.931 | 16.201 | 0.941 | 1.413 | 0.864 | -17.288 | -4.619 | 299 days | 90 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).