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 | 135.518 | 33.25 | 19.762 | 1.555 | 1.917 | 1.731 | -19.21 | -3.388 | 145 days | 30 days |
| Silver | 204.896 | 45.292 | 40.194 | 1.141 | 1.285 | 1.067 | -42.453 | -8.959 | 228 days | 65 days |
| S&P 500 | 79.122 | 21.572 | 15.248 | 1.359 | 1.82 | 1.15 | -18.755 | -2.054 | 87 days | 20 days |
| 20Y+ Treasuries | -7.08 | -2.431 | 14.245 | -0.102 | -0.158 | -0.114 | -21.288 | -9.111 | 750 days | 375 days |
| US Dollar Index | 14.232 | 4.56 | 6.758 | 0.695 | 0.989 | 0.454 | -10.05 | -3.284 | 319 days | 86 days |
| Real Estate | 30.016 | 9.194 | 16.987 | 0.603 | 0.875 | 0.527 | -17.449 | -5.028 | 301 days | 87 days |
| Emerging Markets | 75.429 | 20.726 | 17.572 | 1.161 | 1.699 | 1.199 | -17.288 | -3.893 | 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).