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 | 160.612 | 37.79 | 18.991 | 1.787 | 2.23 | 2.725 | -13.868 | -2.971 | 145 days | 29 days |
| Silver | 265.46 | 54.298 | 39.039 | 1.318 | 1.47 | 1.462 | -37.15 | -7.708 | 228 days | 64 days |
| S&P 500 | 75.892 | 20.802 | 15.059 | 1.332 | 1.773 | 1.109 | -18.755 | -1.935 | 87 days | 19 days |
| 20Y+ Treasuries | -6.257 | -2.139 | 14.415 | -0.078 | -0.122 | -0.095 | -22.427 | -10.113 | 735 days | 363 days |
| US Dollar Index | 14.162 | 4.532 | 6.78 | 0.689 | 0.995 | 0.451 | -10.05 | -3.231 | 292 days | 75 days |
| Real Estate | 25.727 | 7.963 | 17.152 | 0.533 | 0.775 | 0.456 | -17.449 | -4.94 | 301 days | 86 days |
| Emerging Markets | 61.363 | 17.366 | 16.664 | 1.046 | 1.512 | 1.005 | -17.288 | -3.716 | 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).