Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) is 1623.9× the size of RWA Inc. (RWA) by market capitalisation. Their daily returns move barely together (correlation 0.11 across 45 shared trading days). RWA has been the more volatile of the two, at 156% annualised against EURSAFO's 10%.
$1.1400
RWAEURSAFO
0.11over 45 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 | RWA | EURSAFO |
|---|---|---|
| Max drawdown (400d) | -58.4% | -4.2% |
| Risk-adjusted return (90d) | 0.02 | -0.27 |
Relative strength over 90 days: EURSAFO outperformed RWA by 22.6% — measured on the RWA/EURSAFO ratio, so it holds regardless of market direction.