Credit spreads should tighten as equities rise: both should price improving conditions the same way. Spreads widening WHILE stocks rise is complacency: the equity market and the credit market disagree about risk.
BEHAVING z = 0.95 ROBUST as of 2026-09-04
toward the strained side: above ~78% of its history
The dysfunction statistic, full history
Above the dashed zero line is the economically wrong direction: the
relationship failing to do its stabilizing job.
The two series it watches
BAMLH0A0HYM2
2023
high 4.57 · low 2.59 · now 2.68 2026
SP500
2016
high 7,737 · low 2,112 · now 7,719 · 1 recession shaded 2026
How it is scored
Correlation today (r)
-0.4648
z vs. its own history
0.95 on the Fisher-transformed (arctanh) correlation (effective N ≈ 7.1 independent windows, from 690 overlapping readings)
Rule, pre-committed
z < 1 BEHAVING · 1 ≤ z < 2 STRAINED · z ≥ 2 with the wrong economic sign, held 10 consecutive readings, DECOUPLED.
Confidence
ROBUST: Plain rolling correlation of daily moves, on arctanh-transformed values; HY OAS (F1) and the S&P 500. Positive co-movement of rising spreads and rising equity is the divergence tell.