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 | 162.499 | 38.123 | 18.978 | 1.801 | 2.246 | 2.749 | -13.868 | -2.963 | 145 days | 29 days |
| Silver | 282.4 | 56.656 | 38.927 | 1.36 | 1.517 | 1.525 | -37.15 | -7.667 | 228 days | 64 days |
| S&P 500 | 79.817 | 21.698 | 15.082 | 1.379 | 1.836 | 1.157 | -18.755 | -1.929 | 87 days | 19 days |
| 20Y+ Treasuries | -7.34 | -2.519 | 14.443 | -0.105 | -0.163 | -0.112 | -22.427 | -10.102 | 734 days | 362 days |
| US Dollar Index | 13.302 | 4.268 | 6.767 | 0.652 | 0.941 | 0.425 | -10.05 | -3.227 | 291 days | 75 days |
| Real Estate | 26.733 | 8.251 | 17.16 | 0.548 | 0.798 | 0.473 | -17.449 | -4.934 | 301 days | 86 days |
| Emerging Markets | 61.874 | 17.491 | 16.663 | 1.052 | 1.52 | 1.012 | -17.288 | -3.702 | 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).