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 | 137.249 | 33.578 | 19.655 | 1.575 | 1.942 | 1.748 | -19.21 | -3.207 | 145 days | 29 days |
| Silver | 208.885 | 45.926 | 39.887 | 1.158 | 1.298 | 1.082 | -42.453 | -8.367 | 228 days | 64 days |
| S&P 500 | 65.7 | 18.44 | 15.149 | 1.194 | 1.595 | 0.983 | -18.755 | -2.03 | 87 days | 19 days |
| 20Y+ Treasuries | -8.626 | -2.978 | 14.319 | -0.14 | -0.217 | -0.133 | -22.427 | -10.286 | 748 days | 374 days |
| US Dollar Index | 14.897 | 4.764 | 6.772 | 0.722 | 1.034 | 0.474 | -10.05 | -3.207 | 305 days | 80 days |
| Real Estate | 21.975 | 6.883 | 16.948 | 0.478 | 0.695 | 0.394 | -17.449 | -5.005 | 301 days | 87 days |
| Emerging Markets | 55.923 | 16.05 | 17.197 | 0.953 | 1.371 | 0.928 | -17.288 | -3.892 | 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).