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 | 274.095 | 14.145 | 15.892 | 0.913 | 1.204 | 0.643 | -22.002 | -6.885 | 897 days | 295 days |
| Silver | 365.888 | 16.685 | 31.409 | 0.652 | 0.797 | 0.39 | -42.806 | -16.969 | 997 days | 397 days |
| S&P 500 | 294.029 | 14.741 | 17.935 | 0.857 | 1.03 | 0.437 | -33.7 | -4.304 | 488 days | 76 days |
| 20Y+ Treasuries | -12.924 | -1.378 | 14.921 | -0.018 | -0.028 | -0.029 | -48.35 | -21.343 | 1430 days | 531 days |
| US Dollar Index | 33.391 | 2.931 | 6.992 | 0.448 | 0.674 | 0.206 | -14.24 | -5.348 | 598 days | 196 days |
| Real Estate | 67.161 | 5.287 | 20.715 | 0.354 | 0.43 | 0.125 | -42.416 | -10.975 | 1074 days | 341 days |
| Emerging Markets | 123.733 | 8.41 | 20.364 | 0.499 | 0.66 | 0.211 | -39.799 | -14.439 | 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).