SeriesMagCorrSyncOverlapThrough
Correlation
-37%
of values
In sync
60%
of periods
History
95
months · through 2026-03
These move opposite each other about 60% of the time
Their swing sizes only faintly mirror each other (~14% of the pattern is shared).
A faint pattern — interesting as colour, not strong enough to act on alone.
Time Series
Both lines start at the same point — easy to compare when growth rates are similar.
What to Watch
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.
Tighter in drawdowns
The relationship is stronger when both prices are falling than when both are rising — typical risk-off behaviour.
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)
60.0%
Headline metric
Movement correlation(i)
-37%
Based on values
95% CI
-53% → -18%
Likely range of correlation
Pipeline
Pipeline Summary
95 paired data points survived the monthly window.
Raw input
2,018
795
Normalized
2,018
795
Prepared
98
795
Aligned
95
95
Invalid removed
Explore
Top 5 by absolute correlation
Ranked across both sides of this comparison using the same dense row format as the single-symbol correlations view.
R²(i)
13.5%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points
95
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?"
81 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
-36%
20 periods · Return correlation when both series fell
Diverging
-39%
46 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
703
A: 3 / B: 700
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,018 raw → 98 prepared
Series B
Real-time Sahm Rule Recession Indicator
SAHMREALTIME
FRED · 795 raw → 795 prepared
Sign agreement
69.0%
How often both values share the same sign.
Zero crossings
5
Estimated crossover points between normalized spreads.
Slope
-0.3393
Linear regression slope.
Intercept
1.5963
Linear regression intercept.
Saved yesterday · ID: fred-sahmrealtime_fred-sofr_5y