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 | 119.95 | 30.231 | 20.072 | 1.419 | 1.755 | 1.504 | -20.097 | -3.378 | 88 days | 22 days |
| Silver | 186.239 | 42.25 | 41.454 | 1.068 | 1.2 | 0.995 | -42.453 | -9.232 | 153 days | 42 days |
| S&P 500 | 79.694 | 21.701 | 15.178 | 1.372 | 1.801 | 1.157 | -18.755 | -2.04 | 87 days | 20 days |
| 20Y+ Treasuries | -4.563 | -1.553 | 13.917 | -0.043 | -0.066 | -0.081 | -19.168 | -8.279 | 431 days | 185 days |
| US Dollar Index | 12.57 | 4.048 | 6.691 | 0.627 | 0.889 | 0.403 | -10.05 | -3.452 | 350 days | 99 days |
| Real Estate | 30.561 | 9.348 | 16.764 | 0.618 | 0.892 | 0.536 | -17.449 | -4.984 | 301 days | 87 days |
| Emerging Markets | 75.221 | 20.678 | 18.49 | 1.111 | 1.542 | 1.196 | -17.288 | -3.914 | 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).