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 | 131.341 | 32.454 | 16.168 | 1.823 | 2.662 | 2.86 | -11.347 | -2.8 | 145 days | 28 days |
| Silver | 138.531 | 33.819 | 28.14 | 1.178 | 1.755 | 1.726 | -19.591 | -7.087 | 228 days | 63 days |
| S&P 500 | 75.754 | 20.801 | 15.665 | 1.286 | 1.751 | 1.109 | -18.755 | -2.201 | 87 days | 21 days |
| 20Y+ Treasuries | 1.061 | 0.354 | 15.653 | 0.101 | 0.165 | 0.016 | -22.427 | -9.561 | 654 days | 292 days |
| US Dollar Index | 9.76 | 3.17 | 7.093 | 0.476 | 0.7 | 0.315 | -10.05 | -3.024 | 211 days | 67 days |
| Real Estate | 18.107 | 5.735 | 18.188 | 0.398 | 0.585 | 0.263 | -21.831 | -6.817 | 361 days | 133 days |
| Emerging Markets | 52.621 | 15.221 | 16.497 | 0.942 | 1.431 | 0.88 | -17.288 | -4.578 | 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.