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 = -0.79 ROBUST as of 2026-06-04
within its normal range (above ~21% 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 2.76 2026
SP500
2016
high 7,600 · low 2,001 · now 7,584 · 1 recession shaded 2026
How it is scored
Correlation today (r)
-0.6936
z vs. its own history
-0.79 on the Fisher-transformed (arctanh) correlation — effective N ≈ 5 independent windows (from 689 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.