Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) is 14766.7× the size of Carnomaly (CARR) by market capitalisation. Their daily returns move barely together (correlation 0.32 across 35 shared trading days). CARR has been the more volatile of the two, at 239% annualised against EURSAFO's 9%.
$1.1400
CARREURSAFO
0.32over 35 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 | CARR | EURSAFO |
|---|---|---|
| Max drawdown (400d) | -94.4% | -4.2% |
| Risk-adjusted return (90d) | -0.24 | -0.27 |
Relative strength over 90 days: EURSAFO outperformed CARR by 27.4% — measured on the CARR/EURSAFO ratio, so it holds regardless of market direction.