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 | 92.532 | 24.622 | 21.731 | 1.124 | 1.409 | 0.871 | -28.256 | -6.024 | 190 days | 40 days |
| Silver | 110.179 | 28.348 | 43.374 | 0.802 | 0.909 | 0.491 | -57.765 | -14.579 | 191 days | 57 days |
| S&P 500 | 80.265 | 21.895 | 15.205 | 1.38 | 1.826 | 1.167 | -18.755 | -1.775 | 87 days | 17 days |
| 20Y+ Treasuries | 5.754 | 1.897 | 12.726 | 0.211 | 0.332 | 0.114 | -16.58 | -8.192 | 533 days | 212 days |
| US Dollar Index | 12.612 | 4.072 | 6.534 | 0.644 | 0.898 | 0.405 | -10.05 | -3.526 | 430 days | 139 days |
| Real Estate | 36.232 | 10.948 | 16.332 | 0.719 | 1.051 | 0.627 | -17.449 | -4.477 | 301 days | 84 days |
| Emerging Markets | 70.491 | 19.633 | 20.13 | 0.993 | 1.339 | 1.136 | -17.288 | -3.691 | 164 days | 35 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).