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 | 134.947 | 33.142 | 21.138 | 1.463 | 1.838 | 1.255 | -26.405 | -4.82 | 145 days | 29 days |
| Silver | 176.398 | 40.592 | 42.448 | 1.025 | 1.161 | 0.776 | -52.282 | -12.279 | 153 days | 48 days |
| S&P 500 | 78.202 | 21.362 | 15.321 | 1.342 | 1.777 | 1.139 | -18.755 | -1.947 | 87 days | 17 days |
| 20Y+ Treasuries | -2.087 | -0.704 | 13.52 | 0.015 | 0.023 | -0.048 | -14.788 | -7.992 | 488 days | 180 days |
| US Dollar Index | 11.866 | 3.829 | 6.59 | 0.604 | 0.844 | 0.381 | -10.05 | -3.524 | 407 days | 128 days |
| Real Estate | 32.989 | 10.025 | 16.854 | 0.652 | 0.937 | 0.575 | -17.449 | -4.519 | 301 days | 83 days |
| Emerging Markets | 82.53 | 22.342 | 19.773 | 1.12 | 1.525 | 1.292 | -17.288 | -3.54 | 164 days | 32 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).