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 | 246.273 | 13.264 | 15.921 | 0.863 | 1.136 | 0.603 | -22.002 | -6.94 | 897 days | 295 days |
| Silver | 314.13 | 15.315 | 31.496 | 0.614 | 0.751 | 0.358 | -42.806 | -17.104 | 997 days | 396 days |
| S&P 500 | 314.058 | 15.313 | 17.939 | 0.885 | 1.062 | 0.454 | -33.7 | -4.294 | 488 days | 77 days |
| 20Y+ Treasuries | -13.233 | -1.413 | 14.909 | -0.021 | -0.032 | -0.029 | -48.35 | -21.526 | 1442 days | 539 days |
| US Dollar Index | 35.751 | 3.113 | 6.983 | 0.474 | 0.711 | 0.219 | -14.24 | -5.363 | 598 days | 197 days |
| Real Estate | 69.007 | 5.403 | 20.713 | 0.359 | 0.437 | 0.127 | -42.416 | -10.98 | 1086 days | 346 days |
| Emerging Markets | 144.323 | 9.372 | 20.375 | 0.542 | 0.717 | 0.235 | -39.799 | -14.37 | 1146 days | 389 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).