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 | 124.364 | 31.148 | 20.938 | 1.403 | 1.747 | 1.18 | -26.405 | -4.519 | 131 days | 26 days |
| Silver | 176.044 | 40.596 | 42.315 | 1.027 | 1.158 | 0.776 | -52.282 | -11.501 | 153 days | 45 days |
| S&P 500 | 80.003 | 21.804 | 15.401 | 1.359 | 1.804 | 1.163 | -18.755 | -1.958 | 87 days | 17 days |
| 20Y+ Treasuries | -1.789 | -0.604 | 13.577 | 0.023 | 0.036 | -0.041 | -14.788 | -7.807 | 474 days | 171 days |
| US Dollar Index | 13.206 | 4.25 | 6.601 | 0.664 | 0.936 | 0.423 | -10.05 | -3.48 | 393 days | 121 days |
| Real Estate | 33.229 | 10.106 | 16.876 | 0.656 | 0.944 | 0.579 | -17.449 | -4.549 | 301 days | 84 days |
| Emerging Markets | 75.622 | 20.801 | 19.699 | 1.059 | 1.453 | 1.203 | -17.288 | -3.556 | 164 days | 34 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).