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 | 31.196 | 20.952 | 1.404 | 1.75 | 1.181 | -26.405 | -4.525 | 131 days | 26 days |
| Silver | 176.442 | 40.728 | 42.343 | 1.029 | 1.16 | 0.779 | -52.282 | -11.515 | 153 days | 45 days |
| S&P 500 | 80.108 | 21.859 | 15.411 | 1.362 | 1.808 | 1.166 | -18.755 | -1.96 | 87 days | 17 days |
| 20Y+ Treasuries | -1.562 | -0.528 | 13.585 | 0.029 | 0.044 | -0.036 | -14.788 | -7.815 | 474 days | 172 days |
| US Dollar Index | 12.968 | 4.182 | 6.605 | 0.654 | 0.922 | 0.416 | -10.05 | -3.484 | 393 days | 121 days |
| Real Estate | 33.021 | 10.062 | 16.887 | 0.653 | 0.941 | 0.577 | -17.449 | -4.555 | 301 days | 84 days |
| Emerging Markets | 78.242 | 21.434 | 19.691 | 1.086 | 1.488 | 1.24 | -17.288 | -3.454 | 164 days | 31 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).