Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) is 120.9× the size of DIA (DIA) by market capitalisation. Their daily returns move loosely in opposite directions (correlation -0.45 across 58 shared trading days). DIA has been the more volatile of the two, at 100% annualised against EURSAFO's 10%.
$1.1400
DIAEURSAFO
-0.45over 58 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 | DIA | EURSAFO |
|---|---|---|
| Max drawdown (400d) | -86.3% | -4.2% |
| Risk-adjusted return (90d) | 0.46 | -0.27 |
| Best 30 days (past year) | +42.3% | — |
| Worst 30 days (past year) | -47.9% | — |
Relative strength over 90 days: DIA outperformed EURSAFO by 22.9% — measured on the DIA/EURSAFO ratio, so it holds regardless of market direction.