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 | 114.47 | 29.179 | 21.523 | 1.3 | 1.623 | 1.105 | -26.405 | -5.607 | 177 days | 36 days |
| Silver | 158.656 | 37.559 | 42.876 | 0.969 | 1.095 | 0.718 | -52.282 | -13.673 | 178 days | 54 days |
| S&P 500 | 85.007 | 22.929 | 15.266 | 1.43 | 1.904 | 1.223 | -18.755 | -1.802 | 87 days | 16 days |
| 20Y+ Treasuries | 3.296 | 1.094 | 12.97 | 0.149 | 0.234 | 0.066 | -16.58 | -7.998 | 520 days | 202 days |
| US Dollar Index | 11.971 | 3.867 | 6.575 | 0.611 | 0.851 | 0.385 | -10.05 | -3.573 | 430 days | 140 days |
| Real Estate | 34.248 | 10.387 | 16.615 | 0.679 | 0.992 | 0.595 | -17.449 | -4.412 | 301 days | 83 days |
| Emerging Markets | 85.159 | 22.963 | 20.001 | 1.135 | 1.544 | 1.328 | -17.288 | -3.532 | 164 days | 33 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).