Asset Correlation Dashboard
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 | 111.152 | 28.462 | 15.525 | 1.694 | 2.717 | 2.508 | -11.347 | -2.774 | 145 days | 27 days |
| Silver | 111.946 | 28.623 | 28.322 | 1.031 | 1.638 | 1.461 | -19.591 | -7.14 | 228 days | 63 days |
| S&P 500 | 74.584 | 20.531 | 16.783 | 1.198 | 1.724 | 1.095 | -18.755 | -2.427 | 87 days | 22 days |
| 20Y+ Treasuries | -6.078 | -2.079 | 16.473 | -0.046 | -0.077 | -0.093 | -22.427 | -9.566 | 609 days | 255 days |
| US Dollar Index | 4.184 | 1.383 | 7.68 | 0.217 | 0.301 | 0.133 | -10.37 | -4.354 | 384 days | 128 days |
| Real Estate | 13.733 | 4.407 | 19.628 | 0.318 | 0.479 | 0.202 | -21.831 | -7.471 | 361 days | 124 days |
| Emerging Markets | 46.953 | 13.769 | 17.29 | 0.833 | 1.302 | 0.796 | -17.288 | -4.953 | 299 days | 89 days |
Understanding Asset Correlation
What is Asset Correlation?
Asset correlation measures the degree to which different assets move in relation to one another. A correlation of +1 means they move perfectly together, -1 means they move perfectly opposite, and 0 means there is no linear relationship. Understanding these relationships is fundamental to portfolio construction and diversification.
How to Interpret the Charts
- Correlation Matrix: This heatmap visualizes the correlation coefficient between each pair of assets. Green cells indicate a positive correlation, while red cells indicate a negative one. It provides a quick overview of how diversified your assets are.
- Cumulative & Rolling Sharpe: These charts help you assess the risk-adjusted return of each asset over time. A consistently high Sharpe ratio is desirable.
- Performance Ranking: This bar chart provides a simple, at-a-glance view of which assets have performed best over the selected period.
Practical Applications
- Build a diversified portfolio by combining assets with low or negative correlations.
- Identify which assets are providing the best risk-adjusted returns.
- Hedge a portfolio by taking a position in a negatively correlated asset.