Ethereum (ETH) is 1750.5× the size of Spiko Amundi Overnight Swap Fund (SAFO) by market capitalisation. Their daily returns move barely together (correlation 0.03 across 31 shared trading days). ETH has been the more volatile of the two, at 65% annualised against SAFO's 1%.
| Period | SAFO | ETH | Ahead |
|---|---|---|---|
| 7 days | +0.10% | +4.23% | ETH |
| 30 days | +0.29% | +13.15% | ETH |
| 90 days | — | +54.23% | — |
| 1 year | — | -41.08% | — |
| Metric | SAFO | ETH |
|---|---|---|
| Max drawdown (400d) | 0.0% | -67.5% |
| Risk-adjusted return (90d) | 0.52 | 0.97 |
| Best 30 days (past year) | — | +34.1% |
| Worst 30 days (past year) | — | -44.6% |
Relative strength over 90 days: ETH outperformed SAFO by 20.6% — measured on the SAFO/ETH ratio, so it holds regardless of market direction.
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.