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 | 218.716 | 12.326 | 16.337 | 0.794 | 1.036 | 0.467 | -26.405 | -7.206 | 897 days | 233 days |
| Silver | 217.848 | 12.295 | 32.361 | 0.524 | 0.637 | 0.235 | -52.282 | -17.573 | 973 days | 388 days |
| S&P 500 | 314.694 | 15.331 | 17.972 | 0.884 | 1.068 | 0.455 | -33.7 | -4.312 | 488 days | 76 days |
| 20Y+ Treasuries | -21.86 | -2.443 | 14.827 | -0.093 | -0.139 | -0.051 | -48.35 | -22.273 | 1528 days | 569 days |
| US Dollar Index | 36.854 | 3.196 | 6.869 | 0.493 | 0.735 | 0.224 | -14.24 | -5.402 | 598 days | 209 days |
| Real Estate | 59.126 | 4.768 | 20.76 | 0.329 | 0.403 | 0.112 | -42.416 | -10.577 | 1114 days | 322 days |
| Emerging Markets | 119.972 | 8.226 | 20.829 | 0.484 | 0.64 | 0.207 | -39.799 | -14.511 | 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).