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 | 209.949 | 12.017 | 16.197 | 0.782 | 1.021 | 0.455 | -26.405 | -7.157 | 897 days | 287 days |
| Silver | 200.104 | 11.655 | 32.256 | 0.507 | 0.616 | 0.223 | -52.282 | -17.469 | 991 days | 394 days |
| S&P 500 | 317.391 | 15.412 | 17.967 | 0.888 | 1.072 | 0.457 | -33.7 | -4.309 | 488 days | 77 days |
| 20Y+ Treasuries | -21.654 | -2.418 | 14.828 | -0.091 | -0.136 | -0.05 | -48.35 | -22.024 | 1509 days | 560 days |
| US Dollar Index | 35.927 | 3.127 | 6.886 | 0.482 | 0.719 | 0.22 | -14.24 | -5.391 | 598 days | 206 days |
| Real Estate | 60.845 | 4.883 | 20.756 | 0.335 | 0.409 | 0.115 | -42.416 | -10.596 | 1114 days | 331 days |
| Emerging Markets | 120.171 | 8.239 | 20.821 | 0.485 | 0.642 | 0.207 | -39.799 | -14.479 | 1146 days | 387 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).