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 | 137.406 | 33.607 | 19.67 | 1.575 | 1.942 | 1.75 | -19.21 | -3.317 | 145 days | 30 days |
| Silver | 212.076 | 46.43 | 39.991 | 1.165 | 1.307 | 1.094 | -42.453 | -8.749 | 228 days | 65 days |
| S&P 500 | 75.726 | 20.794 | 15.222 | 1.319 | 1.762 | 1.109 | -18.755 | -2.056 | 87 days | 20 days |
| 20Y+ Treasuries | -5.568 | -1.902 | 14.252 | -0.064 | -0.098 | -0.089 | -21.288 | -9.056 | 745 days | 372 days |
| US Dollar Index | 12.79 | 4.116 | 6.756 | 0.632 | 0.902 | 0.41 | -10.05 | -3.252 | 314 days | 84 days |
| Real Estate | 28.416 | 8.742 | 16.93 | 0.58 | 0.84 | 0.501 | -17.449 | -5.031 | 301 days | 87 days |
| Emerging Markets | 67.977 | 18.982 | 17.503 | 1.082 | 1.581 | 1.098 | -17.288 | -3.951 | 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).