Recession Probability Index vs S&P 500
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
CRPI aggregates recession signals across labor, credit, housing, and yield curve. When CRPI rises while SPY rallies, equity markets are ignoring multiple recession signals. Such divergences have historically resolved through SPY drawdowns rather than CRPI reversals. The ratio is one of the cleanest cross-validation signals.
Cross-Asset Analysis
Convex Recession Probability captures convex Recession Probability Index, composite of yield curve, Sahm Rule, claims momentum, credit spreads & leading indicators. 0-100 scale, whereas S&P 500 ETF (SPY) reflects SPDR S&P 500 ETF, tracks the benchmark US equity index, and the difference between how they move is what the cross asset pair relationship is really about. Cross-asset flows follow macro regime changes with characteristic lags, which is why spreads like Convex Recession Probability-S&P 500 ETF (SPY) often front-run coincident indicators. Convex Recession Probability belongs to the Recession Indicators space, and S&P 500 ETF (SPY) belongs to Equity Index, and the interaction between those two worlds is where the interesting macro information lives.
Real yields, liquidity conditions, and the dollar sit behind most cross-asset relationships, and when these change Convex Recession Probability and S&P 500 ETF (SPY) both respond at asymmetric speeds. The bridge between Convex Recession Probability and S&P 500 ETF (SPY) runs through shared macro drivers, and isolating the spread distinguishes common factors from idiosyncratic noise. Convex Recession Probability and S&P 500 ETF (SPY) sit in different asset classes, and the relationship between them reveals cross-asset macro dynamics that neither alone can convey.
Risk-off regimes concentrate correlations and push the Convex Recession Probability-S&P 500 ETF (SPY) spread into cramped ranges. In risk-on periods, correlations across asset classes converge toward historical values, and the Convex Recession Probability-S&P 500 ETF (SPY) spread usually obey its historical fair value.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between Convex Recession Probability and S&P 500 ETF (SPY)?+
Convex Recession Probability and S&P 500 ETF (SPY) are connected through shared macro drivers across asset classes. When the dominant macro driver shifts, both respond, though with different sensitivities and at different speeds. The spread between Convex Recession Probability and S&P 500 ETF (SPY) captures the specific macro signal that flows through this relationship.
When does Convex Recession Probability typically lead S&P 500 ETF (SPY)?+
Convex Recession Probability tends to lead S&P 500 ETF (SPY) during macro regime changes, where the more liquid asset moves first. In those periods, moves in Convex Recession Probability precede corresponding moves in S&P 500 ETF (SPY) by days to weeks, depending on the transmission channel and the depth of each market.
How are Convex Recession Probability and S&P 500 ETF (SPY) historically correlated?+
Long-run correlation between Convex Recession Probability and S&P 500 ETF (SPY) varies by regime. Cross-asset correlations vary by regime, tending to tighten in stress and loosen during normal conditions. The correlation is not stable: it shifts with macro conditions, and the periods when it breaks down are often the most informative moments in the Convex Recession Probability-S&P 500 ETF (SPY) relationship.
What macro conditions drive divergence between Convex Recession Probability and S&P 500 ETF (SPY)?+
Divergence between Convex Recession Probability and S&P 500 ETF (SPY) typically arises from idiosyncratic shocks in one asset, policy interventions, or structural shifts in demand. When one asset's idiosyncratic drivers dominate, the spread moves in ways that the common macro story does not predict, which is usually a signal to look more carefully at the specific drivers at work in Convex Recession Probability or S&P 500 ETF (SPY).
Is Convex Recession Probability a hedge for S&P 500 ETF (SPY)?+
Cross-asset hedges between Convex Recession Probability and S&P 500 ETF (SPY) work when the macro drivers of the two assets are sufficiently decorrelated, which depends on the regime and therefore needs to be reviewed as conditions change. Effective hedging requires matching the hedge to the specific risk being protected, and the Convex Recession Probability-S&P 500 ETF (SPY) pair is best stress-tested under scenarios the investor most worries about before being sized into a real portfolio.
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Data sourced from FRED, CoinGecko, CBOE, and other providers. This page is for informational purposes only and does not constitute financial advice. Past performance does not guarantee future results.