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Correlation
of values
-74%
In sync
of periods
53%
History
monthsmonths · through 2026-07
601
These move in the same direction about 53% of the time
When one swings, the other often swings by a similar amount in the opposite direction (~55% 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
US CPI moves ~18 months before 2Y Treasury Yield
Watch US CPI for an early read on 2Y Treasury Yield.
Tighter in drawdowns
The relationship is stronger when both prices are falling than when both are rising — typical risk-off behaviour.
Advanced
Statistics
In sync(i)
53%
Headline metric
Movement correlation(i)
-74%
Based on values
95% CI
-78% → -70%
Likely range of correlation
Pipeline
Pipeline Summary
601 paired data points survived the monthly window.
Raw input
954
12,563
Normalized
954
12,563
Prepared
954
604
Aligned
601
601
Invalid removed
R²(i)
55%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
601
Robust
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
+18 months
Correlation at this shift
-80%
+6% stronger than no-shift baseline
2Y Treasury Yield shifted 18 months earlier. Reads: "Does US CPI today line up with 2Y Treasury Yield 18 months from now?"
574 overlapping points at this shift
Baseline
-74%
No-shift correlation, matching the main time-series chart above.
Peak shift
+18 months
-80%
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
+18%
22 periods · Return correlation when both series rose
Both Falling
+96%
6 periods · Return correlation when both series fell
Diverging
-2%
20 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
356
A: 353 / B: 3
Series A
US CPI
CPIAUCSL
FRED · 954 raw → 954 prepared
Series B
2Y Treasury Yield
DGS2
FRED · 12,563 raw → 604 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
1
Estimated crossover points between normalized spreads.
Slope
-0.0387
Linear regression slope.
Intercept
11.9202
Linear regression intercept.
Saved 4 months ago · ID: fred-cpiaucsl_fred-dgs2_monthly_5y