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Correlation
of values
+33%
In sync
of periods
54%
History
monthsmonths · through 2026-07
709
These move in the same direction about 54% of the time
Their swing sizes only faintly line up (~11% of the pattern is shared).
Roughly random — these don't track each other in a meaningful way.
Both lines start at the same point — easy to compare when growth rates are similar.
What to Watch
Smoothed U.S. Recession Probabilities moves ~6 months before Real-time Sahm Rule Recession Indicator
Watch Smoothed U.S. Recession Probabilities for an early read on Real-time Sahm Rule Recession Indicator.
Holds in both up and down markets
The relationship is similar whether prices are rising or falling — reliable in both directions.
Advanced
Statistics
In sync(i)
54%
Headline metric
Movement correlation(i)
+33%
Based on values
95% CI
+27% → +40%
Likely range of correlation
Pipeline
Pipeline Summary
709 paired data points survived the monthly window.
Raw input
799
710
Normalized
799
710
Prepared
799
710
Aligned
709
709
Invalid removed
R²(i)
11%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
709
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
-6 months
Correlation at this shift
+66%
+33% stronger than no-shift baseline
Smoothed U.S. Recession Probabilities shifted 6 months later. Reads: "Does Real-time Sahm Rule Recession Indicator today line up with Smoothed U.S. Recession Probabilities 6 months ago?"
697 overlapping points at this shift
Baseline
+33%
No-shift correlation, matching the main time-series chart above.
Peak shift
-6 months
+66%
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%
11 periods · Return correlation when both series rose
Both Falling
-8%
9 periods · Return correlation when both series fell
Diverging
-22%
17 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
91
A: 90 / B: 1
Series A
Real-time Sahm Rule Recession Indicator
SAHMREALTIME
FRED · 799 raw → 799 prepared
Series B
Smoothed U.S. Recession Probabilities
RECPROUSM156N
FRED · 710 raw → 710 prepared
Sign agreement
62.7%
How often both values share the same sign.
Zero crossings
22
Estimated crossover points between normalized spreads.
Slope
7.4619
Linear regression slope.
Intercept
5.2675
Linear regression intercept.
Saved 4 months ago · ID: fred-recprousm156n_fred-sahmrealtime_monthly_5y