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Correlation
of values
+25%
In sync
of periods
61%
History
monthsmonths · through 2026-07
35
These move in the same direction about 61% of the time
Their swing sizes only faintly line up (~6% of the pattern is shared).
A real but noisy link — useful as context, risky as a standalone signal.
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
Slipping looser
The recent pattern is looser than its long-run baseline — keep an eye on whether this sticks.
Smoothed U.S. Recession Probabilities moves ~15 months before HY Bond Spread
Watch Smoothed U.S. Recession Probabilities for an early read on HY Bond Spread.
Holds in both up and down markets
The relationship is similar whether prices are rising or falling — reliable in both directions.
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)
61%
Headline metric
Movement correlation(i)
+25%
Based on values
95% CI
-10% → +54%
Likely range of correlation
Pipeline
Pipeline Summary
35 paired data points survived the monthly window.
Raw input
785
710
Normalized
785
710
Prepared
37
710
Aligned
35
35
Invalid removed
R²(i)
6%
Variance explained
Significance
n.s.
Statistical confidence
Data points(i)
35
Thin
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
-15 months
Correlation at this shift
+79%
+54% stronger than no-shift baseline
Smoothed U.S. Recession Probabilities shifted 15 months later. Reads: "Does HY Bond Spread today line up with Smoothed U.S. Recession Probabilities 15 months ago?"
20 overlapping points at this shift
Baseline
+25%
No-shift correlation, matching the main time-series chart above.
Peak shift
-15 months
+79%
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
-23%
9 periods · Return correlation when both series rose
Both Falling
-11%
11 periods · Return correlation when both series fell
Diverging
-33%
14 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
677
A: 2 / B: 675
Series A
HY Bond Spread
BAMLH0A0HYM2
FRED · 785 raw → 37 prepared
Series B
Smoothed U.S. Recession Probabilities
RECPROUSM156N
FRED · 710 raw → 710 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
13
Estimated crossover points between normalized spreads.
Slope
0.2521
Linear regression slope.
Intercept
0.0416
Linear regression intercept.
Saved 4 months ago · ID: fred-bamlh0a0hym2_fred-recprousm156n_monthly_5y