Tether Gold (XAUT) is 1.7× the size of Spiko Amundi Overnight Swap Fund (EUR) (EURSAFO) by market capitalisation. Their daily returns move barely together (correlation 0.17 across 58 shared trading days). XAUT has been the more volatile of the two, at 24% annualised against EURSAFO's 10%.
$1.1400
EURSAFOXAUT
0.17over 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 | EURSAFO | XAUT |
|---|---|---|
| Max drawdown (400d) | -4.2% | -19.4% |
| Risk-adjusted return (90d) | -0.27 | -0.36 |
Relative strength over 90 days: EURSAFO outperformed XAUT by 7.8% — measured on the EURSAFO/XAUT ratio, so it holds regardless of market direction.