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 | 124.046 | 31.086 | 21.375 | 1.376 | 1.732 | 1.177 | -26.405 | -4.969 | 152 days | 30 days |
| Silver | 180.577 | 41.366 | 42.601 | 1.036 | 1.171 | 0.791 | -52.282 | -12.305 | 153 days | 48 days |
| S&P 500 | 77.294 | 21.185 | 15.342 | 1.331 | 1.767 | 1.13 | -18.755 | -1.943 | 87 days | 17 days |
| 20Y+ Treasuries | -0.395 | -0.133 | 13.468 | 0.057 | 0.088 | -0.009 | -14.788 | -7.927 | 495 days | 184 days |
| US Dollar Index | 10.253 | 3.33 | 6.59 | 0.531 | 0.743 | 0.331 | -10.05 | -3.552 | 414 days | 131 days |
| Real Estate | 32.407 | 9.877 | 16.863 | 0.644 | 0.927 | 0.566 | -17.449 | -4.479 | 301 days | 83 days |
| Emerging Markets | 88.668 | 23.74 | 19.761 | 1.179 | 1.599 | 1.373 | -17.288 | -3.499 | 164 days | 32 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).