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Correlation
of values
+89%
In sync
of periods
44%
History
monthsmonths · through 2026-06
99
These move in the same direction about 44% of the time
When one swings, the other almost always swings by a closely matched amount (~79% of the pattern is shared).
Roughly random — these don't track each other in a meaningful way.
On a log scale so equal % moves take equal vertical space — best when one series has grown much faster than the other.
What to Watch
Unusual right now
Recently looser than usual — the pair is behaving differently than its long-run pattern.
Tighter in drawdowns
The relationship is stronger when both prices are falling than when both are rising — typical risk-off behaviour.
Flips between sync and inverse
Sometimes the two move together, sometimes opposite. Don't treat this as a stable signal.
Advanced
Statistics
In sync(i)
44%
Headline metric
Movement correlation(i)
+89%
Based on values
95% CI
+84% → +92%
Likely range of correlation
Pipeline
Pipeline Summary
99 paired data points survived the monthly window.
Raw input
2,079
1,290
Normalized
2,079
1,290
Prepared
100
1,290
Aligned
99
99
Invalid removed
R²(i)
79%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
99
Usable
Time-Shifted Correlation
See how correlation changes when one series is offset in time. A taller bar at a non-zero shift means the two move together better when one leads the other — that's a potential lead/lag signal.
Correlation by shift
Click a bar to inspect. Range: -18 to 18 months.
Selected shift
No shift
Correlation at this shift
+89%
No shift — both series at their actual dates.
99 overlapping points at this shift
Baseline
+89%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+89%
A non-zero peak suggests one series lines up better when shifted against the other.
Stability
How the correlation evolves over time. A stable line means the relationship is reliable; large swings signal regime-dependent behavior.
Do They Crash Together?
How these series behave when markets are rising, falling, or diverging. A correlation that holds in drawdowns is very different from one that only works in rallies.
Both Rising
+19%
24 periods · Return correlation when both series rose
Both Falling
+67%
18 periods · Return correlation when both series fell
Diverging
-51%
56 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
1,192
A: 1 / B: 1191
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,079 raw → 100 prepared
Series B
Aaa Corporate Bond Yield
AAA
FRED · 1,290 raw → 1,290 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
6
Estimated crossover points between normalized spreads.
Slope
0.4987
Linear regression slope.
Intercept
2.7417
Linear regression intercept.
Saved 3 months ago · ID: fred-aaa_fred-sofr_monthly_5y