Quantitative Tools
Asset Correlation Dashboard
Heatmaps, rolling stats, and tables to understand cross-asset behavior over 3y.
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 | 172.336 | 40.022 | 19.006 | 1.87 | 2.333 | 2.886 | -13.868 | -2.95 | 145 days | 29 days |
| Silver | 302.651 | 59.682 | 39.042 | 1.406 | 1.569 | 1.607 | -37.15 | -7.559 | 228 days | 64 days |
| S&P 500 | 81.265 | 22.122 | 15.076 | 1.403 | 1.866 | 1.179 | -18.755 | -1.92 | 87 days | 18 days |
| 20Y+ Treasuries | -5.538 | -1.896 | 14.431 | -0.061 | -0.094 | -0.085 | -22.427 | -10.094 | 730 days | 360 days |
| US Dollar Index | 11.411 | 3.697 | 6.794 | 0.569 | 0.821 | 0.368 | -10.05 | -3.218 | 287 days | 73 days |
| Real Estate | 30.545 | 9.369 | 17.193 | 0.608 | 0.883 | 0.537 | -17.449 | -4.938 | 301 days | 87 days |
| Emerging Markets | 63.184 | 17.885 | 16.55 | 1.078 | 1.571 | 1.035 | -17.288 | -3.674 | 164 days | 45 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).