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 | 127.329 | 31.679 | 19.941 | 1.483 | 1.84 | 1.649 | -19.21 | -3.19 | 101 days | 24 days |
| Silver | 222.873 | 48.108 | 41.13 | 1.172 | 1.321 | 1.133 | -42.453 | -8.765 | 153 days | 41 days |
| S&P 500 | 86.399 | 23.205 | 15.15 | 1.455 | 1.932 | 1.237 | -18.755 | -2.037 | 87 days | 20 days |
| 20Y+ Treasuries | -5.767 | -1.971 | 13.98 | -0.073 | -0.112 | -0.103 | -19.168 | -8.171 | 421 days | 180 days |
| US Dollar Index | 12.386 | 3.991 | 6.748 | 0.614 | 0.868 | 0.397 | -10.05 | -3.405 | 340 days | 95 days |
| Real Estate | 36.176 | 10.902 | 16.851 | 0.699 | 1.01 | 0.625 | -17.449 | -4.976 | 301 days | 87 days |
| Emerging Markets | 83.851 | 22.638 | 17.995 | 1.226 | 1.784 | 1.309 | -17.288 | -3.901 | 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).