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 | 130.389 | 32.369 | 19.962 | 1.508 | 1.871 | 1.685 | -19.21 | -3.27 | 83 days | 21 days |
| Silver | 215.03 | 47.044 | 41.193 | 1.153 | 1.299 | 1.108 | -42.453 | -9.009 | 153 days | 42 days |
| S&P 500 | 83.716 | 22.674 | 15.114 | 1.43 | 1.889 | 1.209 | -18.755 | -2.041 | 87 days | 20 days |
| 20Y+ Treasuries | -5.198 | -1.777 | 13.96 | -0.059 | -0.09 | -0.093 | -19.168 | -8.244 | 426 days | 183 days |
| US Dollar Index | 11.318 | 3.668 | 6.687 | 0.573 | 0.812 | 0.365 | -10.05 | -3.438 | 345 days | 98 days |
| Real Estate | 31.799 | 9.721 | 16.766 | 0.638 | 0.923 | 0.557 | -17.449 | -4.984 | 301 days | 87 days |
| Emerging Markets | 86.9 | 23.385 | 18.041 | 1.257 | 1.827 | 1.353 | -17.288 | -3.909 | 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).