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 | 102.891 | 26.755 | 20.741 | 1.25 | 1.551 | 1.013 | -26.405 | -4.351 | 121 days | 26 days |
| Silver | 129.55 | 32.109 | 42.22 | 0.881 | 0.996 | 0.614 | -52.282 | -11.085 | 153 days | 46 days |
| S&P 500 | 68.386 | 19.079 | 15.333 | 1.217 | 1.62 | 1.017 | -18.755 | -2.103 | 87 days | 20 days |
| 20Y+ Treasuries | -6.861 | -2.354 | 13.772 | -0.104 | -0.159 | -0.134 | -17.525 | -8.186 | 464 days | 167 days |
| US Dollar Index | 17.572 | 5.575 | 6.595 | 0.857 | 1.211 | 0.555 | -10.05 | -3.449 | 383 days | 117 days |
| Real Estate | 31.003 | 9.472 | 16.931 | 0.62 | 0.893 | 0.543 | -17.449 | -4.959 | 301 days | 86 days |
| Emerging Markets | 64.128 | 18.062 | 19.534 | 0.949 | 1.292 | 1.045 | -17.288 | -4.108 | 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).