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 | 180.451 | 41.41 | 18.845 | 1.937 | 2.45 | 2.986 | -13.868 | -2.929 | 145 days | 29 days |
| Silver | 334.731 | 63.848 | 38.732 | 1.481 | 1.662 | 1.719 | -37.15 | -7.404 | 228 days | 64 days |
| S&P 500 | 76.57 | 21.05 | 15.131 | 1.34 | 1.777 | 1.122 | -18.755 | -1.952 | 87 days | 18 days |
| 20Y+ Treasuries | 0.168 | 0.056 | 14.565 | 0.077 | 0.12 | 0.003 | -22.427 | -10.045 | 725 days | 356 days |
| US Dollar Index | 9.985 | 3.249 | 6.816 | 0.504 | 0.73 | 0.323 | -10.05 | -3.242 | 282 days | 72 days |
| Real Estate | 24.13 | 7.533 | 17.398 | 0.505 | 0.724 | 0.432 | -17.449 | -5.305 | 301 days | 90 days |
| Emerging Markets | 70.499 | 19.635 | 16.266 | 1.185 | 1.795 | 1.136 | -17.288 | -3.695 | 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).