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Correlation
of values
+99%
In sync
of periods
71%
History
monthsmonths · through 2026-07
415
These move in the same direction about 71% of the time
When one swings, the other almost always swings by a closely matched amount (~98% of the pattern is shared).
Strong enough to use as a signal — check the stability and regime notes below before relying on it.
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
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)
71%
Headline metric
Movement correlation(i)
+99%
Based on values
95% CI
+99% → +99%
Likely range of correlation
Pipeline
Pipeline Summary
415 paired data points survived the monthly window.
Raw input
811
415
Normalized
811
415
Prepared
811
415
Aligned
415
415
Invalid removed
R²(i)
98%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
415
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
No shift
Correlation at this shift
+99%
No shift — both series at their actual dates.
415 overlapping points at this shift
Baseline
+99%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
+99%
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
+21%
65 periods · Return correlation when both series rose
Both Falling
+42%
9 periods · Return correlation when both series fell
Diverging
-55%
40 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
396
A: 396 / B: 0
Series A
PCE Price Index
PCEPI
FRED · 811 raw → 811 prepared
Series B
Retail Sales
RSAFS
FRED · 415 raw → 415 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
3
Estimated crossover points between normalized spreads.
Slope
8781.5652
Linear regression slope.
Intercept
-401392.3734
Linear regression intercept.
Saved 4 months ago · ID: fred-pcepi_fred-rsafs_monthly_5y