Quantitative Tools
Asset Correlation Dashboard
Heatmaps, rolling stats, and tables to understand cross-asset behavior over 10y.
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 | 284.786 | 14.462 | 15.631 | 0.943 | 1.256 | 0.657 | -22.002 | -6.786 | 897 days | 294 days |
| Silver | 398.456 | 17.471 | 30.989 | 0.679 | 0.83 | 0.408 | -42.806 | -16.603 | 997 days | 397 days |
| S&P 500 | 301.024 | 14.937 | 17.864 | 0.869 | 1.041 | 0.443 | -33.7 | -4.259 | 488 days | 76 days |
| 20Y+ Treasuries | -9.228 | -0.966 | 14.914 | 0.009 | 0.014 | -0.02 | -48.35 | -20.908 | 1402 days | 516 days |
| US Dollar Index | 30.535 | 2.707 | 6.994 | 0.417 | 0.625 | 0.19 | -14.24 | -5.366 | 598 days | 195 days |
| Real Estate | 75.515 | 5.801 | 20.694 | 0.377 | 0.459 | 0.137 | -42.416 | -10.894 | 1046 days | 330 days |
| Emerging Markets | 119.693 | 8.209 | 20.191 | 0.492 | 0.65 | 0.206 | -39.799 | -14.352 | 1146 days | 388 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).