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Correlation
of values
+39%
In sync
of periods
50%
History
monthsmonths · through 2026-05
436
These move in the same direction about 50% of the time
Their swing sizes only faintly line up (~15% 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
VIX moves ~3 months before Real-time Sahm Rule Recession Indicator
Watch VIX for an early read on Real-time Sahm Rule Recession Indicator.
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)
50.0%
Headline metric
Movement correlation(i)
+39%
Based on values
95% CI
+31% → +47%
Likely range of correlation
Pipeline
Pipeline Summary
436 paired data points survived the monthly window.
Raw input
9,202
797
Normalized
9,202
797
Prepared
438
797
Aligned
436
436
Invalid removed
R²(i)
15.3%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points
436
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
+3 months
Correlation at this shift
+51%
+12% stronger than no-shift baseline
Real-time Sahm Rule Recession Indicator shifted 3 months earlier. Reads: "Does VIX today line up with Real-time Sahm Rule Recession Indicator 3 months from now?"
430 overlapping points at this shift
Baseline
+39%
No-shift correlation, matching the main time-series chart above.
Peak shift
+3 months
+51%
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
-7%
15 periods · Return correlation when both series rose
Both Falling
-31%
26 periods · Return correlation when both series fell
Diverging
-45%
66 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
363
A: 2 / B: 361
Series A
VIX
VIXCLS
FRED · 9,202 raw → 438 prepared
Series B
Real-time Sahm Rule Recession Indicator
SAHMREALTIME
FRED · 797 raw → 797 prepared
Sign agreement
60.8%
How often both values share the same sign.
Zero crossings
55
Estimated crossover points between normalized spreads.
Slope
0.0574
Linear regression slope.
Intercept
-0.7132
Linear regression intercept.
Saved last month · ID: fred-sahmrealtime_fred-vixcls_monthly_5y