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Correlation
of values
+93%
In sync
of periods
44%
History
weeksweeks · through 2026-35
439
These move in the same direction about 44% of the time
When one swings, the other almost always swings by a closely matched amount (~86% 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)
44%
Headline metric
Movement correlation(i)
+93%
Based on values
95% CI
+91% → +94%
Likely range of correlation
Pipeline
Pipeline Summary
439 paired data points survived the weekly window.
Raw input
2,892
2,101
Normalized
2,892
2,101
Prepared
2,892
440
Aligned
439
439
Invalid removed
R²(i)
86%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
439
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: -12 to 12 weeks.
Selected shift
No shift
Correlation at this shift
+93%
No shift — both series at their actual dates.
439 overlapping points at this shift
Baseline
+93%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+93%
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
+35%
25 periods · Return correlation when both series rose
Both Falling
-5%
23 periods · Return correlation when both series fell
Diverging
-35%
60 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
2,454
A: 2453 / B: 1
Series A
30Y Mortgage Rate
MORTGAGE30US
FRED · 2,892 raw → 2,892 prepared
Series B
Secured Overnight Financing Rate
SOFR
FRED · 2,101 raw → 440 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
18
Estimated crossover points between normalized spreads.
Slope
1.1391
Linear regression slope.
Intercept
-3.1616
Linear regression intercept.
Saved 4 months ago · ID: fred-mortgage30us_fred-sofr_weekly_5y