Defactor vs Spiko Amundi Overnight Swap Fund

Spiko Amundi Overnight Swap Fund (SAFO) is 249.0× the size of Defactor (REAL) by market capitalisation. Over the past 30 days, SAFO is ahead by 19.3 percentage points (REAL -18.7% against SAFO +0.6%). Their daily returns move loosely in opposite directions (correlation -0.45 across 29 shared trading days). REAL has been the more volatile of the two, at 82% annualised against SAFO's 1%.

Correlation: -0.45
Size ratio: 1 : 249.0
Ahead over 30 days: SAFO

DefactorREAL

$0.003631

24h: -0.16%
Market cap: $965,541
Volume 24h: $92
Volatility (ann.): 82%

Spiko Amundi Overnight Swap FundSAFO

$1.0270

24h: +0.01%
Market cap: $240.43M
Volume 24h: —
Volatility (ann.): 1%

REAL 0.4%Share of the two combined market caps99.6% SAFO

Performance

REALSAFO

7 days-2.57%+0.10%SAFO
30 days-18.70%+0.59%SAFO

Correlation

-0.45over 29 shared trading days

−1 opposite0 unrelated+1 in step

7d: insufficient data30d: -0.4590d: insufficient data1y: insufficient data

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.

Risk & extremes

Metric	REAL	SAFO
Max drawdown (400d)	-33.6%	0.0%
Risk-adjusted return (90d)	-0.41	1.13

Relative strength over 90 days: SAFO outperformed REAL by 33.5% — measured on the REAL/SAFO ratio, so it holds regardless of market direction.

Defactor →Spiko Amundi Overnight Swap Fund →