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Correlation
of values
-71%
In sync
of periods
51%
History
daysdays · through 2026-06-05
2,034
These move in the same direction about 51% of the time
When one swings, the other often swings by a similar amount in the opposite direction (~51% 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
Holds in both up and down markets
The relationship is similar whether prices are rising or falling — reliable in both directions.
Advanced
Statistics
In sync(i)
51.4%
Headline metric
Movement correlation(i)
-71%
Based on values
95% CI
-73% → -69%
Likely range of correlation
Pipeline
Pipeline Summary
2,034 paired data points survived the daily window.
Raw input
2,042
8,167
Normalized
2,042
8,167
Prepared
2,042
8,167
Aligned
2,034
2,034
Invalid removed
R²(i)
50.8%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points
2,034
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
-71%
No shift — both series at their actual dates.
2,034 overlapping points at this shift
Baseline
-71%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
-71%
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
-31%
13 periods · Return correlation when both series rose
Both Falling
-17%
16 periods · Return correlation when both series fell
Diverging
-4%
22 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
6,141
A: 8 / B: 6133
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,042 raw → 2,042 prepared
Series B
USD/MXN Exchange Rate
DEXMXUS
FRED · 8,167 raw → 8,167 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
48
Estimated crossover points between normalized spreads.
Slope
-0.5499
Linear regression slope.
Intercept
20.8354
Linear regression intercept.
Saved last month · ID: fred-dexmxus_fred-sofr_daily_5y