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Correlation
of values
+55%
In sync
of periods
56%
History
monthsmonths · through 2026-07
714
These move in the same direction about 56% of the time
Their swing sizes loosely line up (~31% of the pattern is shared).
A faint pattern — interesting as colour, not strong enough to act on alone.
Both lines start at the same point — easy to compare when growth rates are similar.
What to Watch
Initial Jobless Claims moves ~2 months before Real-time Sahm Rule Recession Indicator
Watch Initial Jobless Claims for an early read on Real-time Sahm Rule Recession Indicator.
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)
56%
Headline metric
Movement correlation(i)
+55%
Based on values
95% CI
+50% → +60%
Likely range of correlation
Pipeline
Pipeline Summary
714 paired data points survived the monthly window.
Raw input
3,112
799
Normalized
3,112
799
Prepared
716
799
Aligned
714
714
Invalid removed
R²(i)
31%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
714
Robust
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
+2 months
Correlation at this shift
+73%
+17% stronger than no-shift baseline
Real-time Sahm Rule Recession Indicator shifted 2 months earlier. Reads: "Does Initial Jobless Claims today line up with Real-time Sahm Rule Recession Indicator 2 months from now?"
710 overlapping points at this shift
Baseline
+55%
No-shift correlation, matching the main time-series chart above.
Peak shift
+2 months
+73%
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
-15%
9 periods · Return correlation when both series rose
Both Falling
+83%
6 periods · Return correlation when both series fell
Diverging
-46%
24 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
87
A: 2 / B: 85
Series A
Initial Jobless Claims
ICSA
FRED · 3,112 raw → 716 prepared
Series B
Real-time Sahm Rule Recession Indicator
SAHMREALTIME
FRED · 799 raw → 799 prepared
Sign agreement
62.8%
How often both values share the same sign.
Zero crossings
36
Estimated crossover points between normalized spreads.
Slope
0.0000
Linear regression slope.
Intercept
-0.4571
Linear regression intercept.
Saved 4 months ago · ID: fred-icsa_fred-sahmrealtime_monthly_5y