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Correlation
of values
+91%
In sync
of periods
49%
History
daysdays · through 2026-09-04
2,105
These move in the same direction about 49% of the time
When one swings, the other almost always swings by a closely matched amount (~82% 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
Decouples in drawdowns
The relationship weakens when both prices are falling — don't count on this pair as a hedge under stress.
Advanced
Statistics
In sync(i)
49%
Headline metric
Movement correlation(i)
+91%
Based on values
95% CI
+90% → +91%
Likely range of correlation
Pipeline
Pipeline Summary
2,105 paired data points survived the daily window.
Raw input
2,105
16,155
Normalized
2,105
16,155
Prepared
2,105
16,155
Aligned
2,105
2,105
Invalid removed
R²(i)
82%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
2,105
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
+91%
No shift — both series at their actual dates.
2,105 overlapping points at this shift
Baseline
+91%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+91%
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
+65%
17 periods · Return correlation when both series rose
Both Falling
+2%
21 periods · Return correlation when both series fell
Diverging
-11%
24 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
14,050
A: 0 / B: 14050
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,105 raw → 2,105 prepared
Series B
5Y Treasury Yield
DGS5
FRED · 16,155 raw → 16,155 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
48
Estimated crossover points between normalized spreads.
Slope
0.6625
Linear regression slope.
Intercept
0.9903
Linear regression intercept.
Saved 4 months ago · ID: fred-dgs5_fred-sofr_daily_5y