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Correlation
of values
-53%
In sync
of periods
53%
History
monthsmonths · through 2026-07
100
These move in the same direction about 53% of the time
Their swing sizes loosely mirror each other (~28% 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
Unusual right now
Recently tighter than usual — the pair is behaving differently than its long-run pattern.
Personal Savings Rate moves ~11 months before Secured Overnight Financing Rate
Watch Personal Savings Rate for an early read on Secured Overnight Financing Rate.
Holds in both up and down markets
The relationship is similar whether prices are rising or falling — reliable in both directions.
Flips between sync and inverse
Sometimes the two move together, sometimes opposite. Don't treat this as a stable signal.
Advanced
Statistics
In sync(i)
53%
Headline metric
Movement correlation(i)
-53%
Based on values
95% CI
-65% → -37%
Likely range of correlation
Pipeline
Pipeline Summary
100 paired data points survived the monthly window.
Raw input
2,105
811
Normalized
2,105
811
Prepared
102
811
Aligned
100
100
Invalid removed
R²(i)
28%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
100
Usable
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
-11 months
Correlation at this shift
-65%
+13% stronger than no-shift baseline
Personal Savings Rate shifted 11 months later. Reads: "Does Secured Overnight Financing Rate today line up with Personal Savings Rate 11 months ago?"
89 overlapping points at this shift
Baseline
-53%
No-shift correlation, matching the main time-series chart above.
Peak shift
-11 months
-65%
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
+20%
22 periods · Return correlation when both series rose
Both Falling
-25%
26 periods · Return correlation when both series fell
Diverging
-39%
51 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
713
A: 2 / B: 711
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,105 raw → 102 prepared
Series B
Personal Savings Rate
PSAVERT
FRED · 811 raw → 811 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
6
Estimated crossover points between normalized spreads.
Slope
-1.3108
Linear regression slope.
Intercept
10.6474
Linear regression intercept.
Saved 4 months ago · ID: fred-psavert_fred-sofr_monthly_5y