Brett (BRETT) is 1001.7× the size of Groggo By Matt Furie (GROGGO) by market capitalisation. Their daily returns move closely together (correlation 0.78 across 34 shared trading days). Both have run at a similar volatility, around 106% annualised.
GROGGOBRETT
0.78over 34 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 | GROGGO | BRETT |
|---|---|---|
| Max drawdown (400d) | -61.7% | -36.6% |
| Risk-adjusted return (90d) | -0.56 | -0.14 |
Relative strength over 90 days: GROGGO outperformed BRETT by 11.0% — measured on the GROGGO/BRETT ratio, so it holds regardless of market direction.