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Correlation
of values
-37%
In sync
of periods
61%
History
monthsmonths · through 2026-06
98
These move in the same direction about 61% of the time
Their swing sizes only faintly mirror each other (~14% 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
Slipping tighter
The recent pattern is tighter than its long-run baseline — keep an eye on whether this sticks.
Real-time Sahm Rule Recession Indicator moves ~14 months before Secured Overnight Financing Rate
Watch Real-time Sahm Rule Recession Indicator 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)
61%
Headline metric
Movement correlation(i)
-37%
Based on values
95% CI
N/A
Likely range
Pipeline
Pipeline Summary
98 paired data points survived the monthly window.
Raw input
2,061
798
Normalized
2,061
798
Prepared
100
798
Aligned
98
98
Invalid removed
14%
Variance explained
Significance
N/A
Statistical confidence
Data points(i)
98
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
-14 months
Correlation at this shift
-45%
+8% stronger than no-shift baseline
Real-time Sahm Rule Recession Indicator shifted 14 months later. Reads: "Does Secured Overnight Financing Rate today line up with Real-time Sahm Rule Recession Indicator 14 months ago?"
76 overlapping points at this shift
Baseline
-37%
No-shift correlation, matching the main time-series chart above.
Peak shift
-14 months
-45%
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%
28 periods · Return correlation when both series rose
Both Falling
-33%
22 periods · Return correlation when both series fell
Diverging
-38%
46 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
702
A: 2 / B: 700
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,061 raw → 100 prepared
Series B
Real-time Sahm Rule Recession Indicator
SAHMREALTIME
FRED · 798 raw → 798 prepared
Sign agreement
70.1%
How often both values share the same sign.
Zero crossings
3
Estimated crossover points between normalized spreads.
Slope
-0.3414
Linear regression slope.
Intercept
1.5937
Linear regression intercept.
Saved 3 months ago · ID: fred-sahmrealtime_fred-sofr_monthly_5y