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Correlation
of values
+94%
In sync
of periods
49%
History
daysdays · through 2026-06-05
2,042
These move in the same direction about 49% of the time
When one swings, the other almost always swings by a closely matched amount (~88% of the pattern is shared).
Roughly random — these don't track each other in a meaningful way.
Both lines start at the same point — easy to compare when growth rates are similar.
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)
49.0%
Headline metric
Movement correlation(i)
+94%
Based on values
95% CI
+93% → +94%
Likely range of correlation
Pipeline
Pipeline Summary
2,042 paired data points survived the daily window.
Raw input
5,861
2,042
Normalized
5,861
2,042
Prepared
5,861
2,042
Aligned
2,042
2,042
Invalid removed
R²(i)
88.1%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points
2,042
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
+94%
No shift — both series at their actual dates.
2,042 overlapping points at this shift
Baseline
+94%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+94%
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
+37%
19 periods · Return correlation when both series rose
Both Falling
-57%
13 periods · Return correlation when both series fell
Diverging
-22%
31 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
3,819
A: 3819 / B: 0
Series A
10Y Real Yield
DFII10
FRED · 5,861 raw → 5,861 prepared
Series B
Secured Overnight Financing Rate
SOFR
FRED · 2,042 raw → 2,042 prepared
Sign agreement
72.3%
How often both values share the same sign.
Zero crossings
36
Estimated crossover points between normalized spreads.
Slope
1.6309
Linear regression slope.
Intercept
1.3788
Linear regression intercept.
Saved last month · ID: fred-dfii10_fred-sofr_daily_5y