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 | 127.997 | 31.906 | 21.363 | 1.406 | 1.767 | 1.208 | -26.405 | -4.95 | 151 days | 30 days |
| Silver | 182.703 | 41.79 | 42.626 | 1.043 | 1.178 | 0.799 | -52.282 | -12.263 | 153 days | 48 days |
| S&P 500 | 78.273 | 21.441 | 15.348 | 1.344 | 1.783 | 1.143 | -18.755 | -1.944 | 87 days | 17 days |
| 20Y+ Treasuries | -0.383 | -0.129 | 13.477 | 0.058 | 0.088 | -0.009 | -14.788 | -7.922 | 494 days | 184 days |
| US Dollar Index | 10.608 | 3.446 | 6.591 | 0.548 | 0.765 | 0.343 | -10.05 | -3.552 | 413 days | 131 days |
| Real Estate | 32.532 | 9.926 | 16.874 | 0.646 | 0.931 | 0.569 | -17.449 | -4.478 | 301 days | 83 days |
| Emerging Markets | 88.312 | 23.697 | 19.774 | 1.176 | 1.596 | 1.371 | -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).