Asset Correlation Dashboard
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 | 84.908 | 22.907 | 15.531 | 1.408 | 2.28 | 2.019 | -11.347 | -3.114 | 145 days | 30 days |
| Silver | 80.204 | 21.849 | 28.698 | 0.833 | 1.345 | 1.115 | -19.591 | -7.424 | 228 days | 63 days |
| S&P 500 | 56.654 | 16.255 | 17.267 | 0.96 | 1.347 | 0.867 | -18.755 | -3.566 | 199 days | 47 days |
| 20Y+ Treasuries | -17.743 | -6.344 | 16.743 | -0.308 | -0.517 | -0.226 | -28.068 | -15.84 | 750 days | 375 days |
| US Dollar Index | 9.407 | 3.063 | 7.788 | 0.427 | 0.593 | 0.295 | -10.37 | -4.076 | 384 days | 123 days |
| Real Estate | 3.971 | 1.315 | 19.883 | 0.165 | 0.246 | 0.05 | -26.467 | -11.207 | 508 days | 197 days |
| Emerging Markets | 29.84 | 9.158 | 17.459 | 0.59 | 0.922 | 0.528 | -17.345 | -5.546 | 299 days | 93 days |