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 | 212.057 | 12.099 | 16.385 | 0.78 | 1.018 | 0.458 | -26.405 | -7.124 | 897 days | 222 days |
| Silver | 221.038 | 12.418 | 32.448 | 0.527 | 0.64 | 0.238 | -52.282 | -16.441 | 946 days | 316 days |
| S&P 500 | 321.015 | 15.519 | 17.956 | 0.894 | 1.081 | 0.461 | -33.7 | -4.307 | 488 days | 76 days |
| 20Y+ Treasuries | -23.994 | -2.716 | 14.83 | -0.112 | -0.167 | -0.056 | -48.35 | -22.376 | 1543 days | 575 days |
| US Dollar Index | 38.759 | 3.342 | 6.871 | 0.513 | 0.765 | 0.235 | -14.24 | -5.415 | 598 days | 212 days |
| Real Estate | 54.977 | 4.495 | 20.703 | 0.317 | 0.389 | 0.106 | -42.416 | -10.313 | 1114 days | 288 days |
| Emerging Markets | 127.103 | 8.58 | 20.821 | 0.5 | 0.661 | 0.216 | -39.799 | -14.523 | 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).