Defactor vs Spiko Amundi Overnight Swap Fund (EUR)

Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) is 1943.0× the size of Defactor (REAL) by market capitalisation. Over the past 30 days, EURSAFO is ahead by 16.1 percentage points (REAL -18.7% against EURSAFO -2.6%). Their daily returns move barely together (correlation 0.23 across 28 shared trading days). REAL has been the more volatile of the two, at 82% annualised against EURSAFO's 10%.

Correlation: 0.23
Size ratio: 1 : 1943.0
Ahead over 30 days: EURSAFO

DefactorREAL

$0.003631

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

Spiko Amundi Overnight Swap Fund (EUR)EURSAFO

$1.1400

24h: +0.65%
Market cap: $1.88B
Volume 24h: —
Volatility (ann.): 10%

REAL 0.1%Share of the two combined market caps99.9% EURSAFO

Performance

REALEURSAFO

7 days-2.57%+0.88%EURSAFO
30 days-18.70%-2.56%EURSAFO

Correlation

0.23over 28 shared trading days

−1 opposite0 unrelated+1 in step

7d: insufficient data30d: 0.2390d: 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	EURSAFO
Max drawdown (400d)	-33.6%	-4.2%
Risk-adjusted return (90d)	-0.41	-0.27

Relative strength over 90 days: EURSAFO outperformed REAL by 30.7% — measured on the REAL/EURSAFO ratio, so it holds regardless of market direction.

Defactor →Spiko Amundi Overnight Swap Fund (EUR) →