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 | 102.209 | 26.692 | 20.659 | 1.251 | 1.551 | 1.018 | -26.211 | -4.081 | 112 days | 25 days |
| Silver | 128.872 | 32.076 | 42.104 | 0.882 | 0.995 | 0.629 | -50.966 | -10.61 | 153 days | 45 days |
| S&P 500 | 72.488 | 20.102 | 15.322 | 1.274 | 1.688 | 1.072 | -18.755 | -2.093 | 87 days | 20 days |
| 20Y+ Treasuries | -6.12 | -2.1 | 13.817 | -0.085 | -0.13 | -0.111 | -18.87 | -8.403 | 455 days | 186 days |
| US Dollar Index | 18.773 | 5.951 | 6.603 | 0.91 | 1.286 | 0.592 | -10.05 | -3.441 | 374 days | 113 days |
| Real Estate | 28.749 | 8.862 | 16.883 | 0.588 | 0.845 | 0.508 | -17.449 | -4.999 | 301 days | 87 days |
| Emerging Markets | 68.748 | 19.221 | 19.399 | 1.005 | 1.362 | 1.112 | -17.288 | -4.014 | 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).