Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) is 54038.3× the size of BlackDuckrwa (BD/SOL) by market capitalisation. Their daily returns move barely together (correlation 0.10 across 31 shared trading days). BD/SOL has been the more volatile of the two, at 113% annualised against EURSAFO's 9%.
$1.1400
BD/SOLEURSAFO
0.10over 31 shared trading days
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.
| Metric | BD/SOL | EURSAFO |
|---|---|---|
| Max drawdown (400d) | -79.9% | -4.2% |
| Risk-adjusted return (90d) | -0.26 | -0.27 |
Relative strength over 90 days: BD/SOL outperformed EURSAFO by 36.7% — measured on the BD/SOL/EURSAFO ratio, so it holds regardless of market direction.