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 | 122.906 | 30.768 | 21.572 | 1.354 | 1.695 | 1.165 | -26.405 | -5.532 | 175 days | 36 days |
| Silver | 174.174 | 40.149 | 42.874 | 1.012 | 1.144 | 0.768 | -52.282 | -13.509 | 176 days | 53 days |
| S&P 500 | 85.779 | 23.033 | 15.266 | 1.436 | 1.916 | 1.228 | -18.755 | -1.8 | 87 days | 17 days |
| 20Y+ Treasuries | 2.236 | 0.743 | 13.175 | 0.122 | 0.19 | 0.045 | -16.58 | -7.988 | 518 days | 200 days |
| US Dollar Index | 12.499 | 4.02 | 6.582 | 0.633 | 0.883 | 0.4 | -10.05 | -3.564 | 430 days | 140 days |
| Real Estate | 35.118 | 10.597 | 16.653 | 0.689 | 1.009 | 0.607 | -17.449 | -4.39 | 301 days | 83 days |
| Emerging Markets | 87.899 | 23.501 | 19.981 | 1.158 | 1.573 | 1.359 | -17.288 | -3.52 | 164 days | 33 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).