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Correlation
of values
-30%
In sync
of periods
51%
History
weeksweeks · through 2026-26
430
These move in the same direction about 51% of the time
Their swing sizes only faintly mirror each other (~9% 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
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)
51%
Headline metric
Movement correlation(i)
-30%
Based on values
95% CI
N/A
Likely range
Pipeline
Pipeline Summary
430 paired data points survived the weekly window.
Raw input
2,061
1,696
Normalized
2,061
1,696
Prepared
432
1,696
Aligned
430
430
Invalid removed
9%
Variance explained
Significance
N/A
Statistical confidence
Data points(i)
430
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: -12 to 12 weeks.
Selected shift
No shift
Correlation at this shift
-30%
No shift — both series at their actual dates.
430 overlapping points at this shift
Baseline
-30%
No-shift correlation, matching the main time-series chart above.
Peak shift
No shift
-30%
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%
31 periods · Return correlation when both series rose
Both Falling
-5%
20 periods · Return correlation when both series fell
Diverging
-33%
50 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
1,268
A: 2 / B: 1266
Series A
Secured Overnight Financing Rate
SOFR
FRED · 2,061 raw → 432 prepared
Series B
St. Louis Financial Stress Index
STLFSI4
FRED · 1,696 raw → 1,696 prepared
Sign agreement
14.4%
How often both values share the same sign.
Zero crossings
9
Estimated crossover points between normalized spreads.
Slope
-0.0993
Linear regression slope.
Intercept
-0.0645
Linear regression intercept.
Saved 3 months ago · ID: fred-sofr_fred-stlfsi4_weekly_5y