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 | 129.645 | 32.176 | 19.944 | 1.502 | 1.861 | 1.675 | -19.21 | -3.209 | 101 days | 25 days |
| Silver | 227.709 | 48.927 | 41.146 | 1.185 | 1.335 | 1.153 | -42.453 | -8.816 | 153 days | 41 days |
| S&P 500 | 86.879 | 23.345 | 15.147 | 1.463 | 1.939 | 1.245 | -18.755 | -2.039 | 87 days | 20 days |
| 20Y+ Treasuries | -4.543 | -1.548 | 13.989 | -0.042 | -0.064 | -0.081 | -19.168 | -8.193 | 422 days | 181 days |
| US Dollar Index | 11.643 | 3.765 | 6.745 | 0.582 | 0.823 | 0.375 | -10.05 | -3.414 | 341 days | 96 days |
| Real Estate | 39.325 | 11.771 | 16.814 | 0.747 | 1.081 | 0.675 | -17.449 | -4.974 | 301 days | 87 days |
| Emerging Markets | 85.204 | 22.973 | 18.001 | 1.241 | 1.804 | 1.329 | -17.288 | -3.908 | 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).