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 | 117.082 | 29.705 | 20.073 | 1.399 | 1.73 | 1.478 | -20.097 | -3.382 | 88 days | 22 days |
| Silver | 176.099 | 40.605 | 41.432 | 1.04 | 1.168 | 0.956 | -42.453 | -9.244 | 153 days | 42 days |
| S&P 500 | 78.614 | 21.487 | 15.185 | 1.359 | 1.786 | 1.146 | -18.755 | -2.043 | 87 days | 20 days |
| 20Y+ Treasuries | -5.667 | -1.938 | 13.909 | -0.071 | -0.11 | -0.101 | -19.168 | -8.29 | 431 days | 185 days |
| US Dollar Index | 13.482 | 4.335 | 6.678 | 0.67 | 0.949 | 0.431 | -10.05 | -3.436 | 350 days | 99 days |
| Real Estate | 31.377 | 9.59 | 16.771 | 0.631 | 0.91 | 0.55 | -17.449 | -4.987 | 301 days | 87 days |
| Emerging Markets | 73.985 | 20.422 | 18.499 | 1.099 | 1.526 | 1.181 | -17.288 | -3.919 | 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).