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Correlation
of values
+83%
In sync
of periods
50%
History
daysdays · through 2026-07-02
2,052
These move in the same direction about 50% of the time
When one swings, the other almost always swings by a closely matched amount (~68% 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
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)
50%
Headline metric
Movement correlation(i)
+83%
Based on values
95% CI
N/A
Likely range
Pipeline
Pipeline Summary
2,052 paired data points survived the daily window.
Raw input
2,061
13,911
Normalized
2,061
13,911
Prepared
2,061
13,911
Aligned
2,052
2,052
Invalid removed
68%
Variance explained
Significance
N/A
Statistical confidence
Data points(i)
2,052
Deep
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: -6 to 6 days.
Selected shift
No shift
Correlation at this shift
+83%
No shift — both series at their actual dates.
2,052 overlapping points at this shift
Baseline
+83%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+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
-1%
10 periods · Return correlation when both series rose
Both Falling
-31%
16 periods · Return correlation when both series fell
Diverging
-34%
33 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
11,868
A: 9 / B: 11859
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,061 raw → 2,061 prepared
Series B
USD/JPY Exchange Rate
DEXJPUS
FRED · 13,911 raw → 13,911 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
13
Estimated crossover points between normalized spreads.
Slope
8.3790
Linear regression slope.
Intercept
106.3593
Linear regression intercept.
Saved 3 months ago · ID: fred-dexjpus_fred-sofr_daily_5y