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 | 87.325 | 23.479 | 15.489 | 1.441 | 2.334 | 2.069 | -11.347 | -3.095 | 145 days | 30 days |
| Silver | 85.348 | 23.039 | 28.674 | 0.867 | 1.405 | 1.176 | -19.591 | -7.408 | 228 days | 63 days |
| S&P 500 | 61.379 | 17.446 | 17.275 | 1.018 | 1.431 | 0.93 | -18.755 | -3.568 | 199 days | 47 days |
| 20Y+ Treasuries | -17.912 | -6.417 | 16.826 | -0.311 | -0.52 | -0.225 | -28.506 | -16.249 | 748 days | 374 days |
| US Dollar Index | 7.784 | 2.551 | 7.735 | 0.365 | 0.508 | 0.246 | -10.37 | -4.034 | 384 days | 123 days |
| Real Estate | 5.197 | 1.717 | 19.839 | 0.185 | 0.275 | 0.065 | -26.467 | -11.195 | 508 days | 195 days |
| Emerging Markets | 33.569 | 10.214 | 17.47 | 0.645 | 1.005 | 0.589 | -17.345 | -5.542 | 299 days | 94 days |