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Correlation
of values
+73%
In sync
of periods
59%
History
monthsmonths · through 2026-08
100
These move in the same direction about 59% of the time
When one swings, the other often swings by a similar amount (~53% 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.
US Core CPI moves ~16 months before Secured Overnight Financing Rate
Watch US Core CPI for an early read on Secured Overnight Financing Rate.
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)
59%
Headline metric
Movement correlation(i)
+73%
Based on values
95% CI
+62% → +81%
Pipeline
Pipeline Summary
100 paired data points survived the monthly window.
Raw input
835
2,110
Normalized
835
2,110
Prepared
835
102
Aligned
100
100
Invalid removed
Likely range of correlation
R²(i)
53%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
100
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
+16 months
Correlation at this shift
+83%
+10% stronger than no-shift baseline
Secured Overnight Financing Rate shifted 16 months earlier. Reads: "Does US Core CPI today line up with Secured Overnight Financing Rate 16 months from now?"
74 overlapping points at this shift
Baseline
+73%
No-shift correlation, matching the main time-series chart above.
Peak shift
+16 months
+83%
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
+34%
55 periods · Return correlation when both series rose
Both Falling
N/A
2 periods · Return correlation when both series fell
Diverging
-1%
41 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
737
A: 735 / B: 2
Series A
US Core CPI
CPILFESL
FRED · 835 raw → 835 prepared
Series B
Secured Overnight Financing Rate
SOFR
FRED · 2,110 raw → 102 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
1
Estimated crossover points between normalized spreads.
Slope
0.0525
Linear regression slope.
Intercept
-12.7608
Linear regression intercept.
Saved 4 months ago · ID: fred-cpilfesl_fred-sofr_monthly_5y