JPMorgan vs 10Y-2Y Yield Curve: Correlation Analysis
Pearson correlation of daily returns for JPMorgan (JPM) and 10Y-2Y Yield Spread. Rolling windows, yearly breakdown, regression beta, and divergence analysis. Data window spans to (1,240 aligned observations).
What the Number Means
With a correlation of -0.03, JPMorgan (JPM) and 10Y-2Y Yield Spread are essentially uncorrelated at daily frequency. Either the relationship operates at a different time horizon or the shared driver has been dominated by idiosyncratic noise during the observation window.
Recent vs Long-Run Behavior
Recent correlation tracks the long-run relationship closely. No meaningful divergence. The historical pattern between JPMorgan (JPM) and 10Y-2Y Yield Spread is intact and should continue to serve as a reasonable baseline for positioning.
Statistical Details (1-Year Window)
| Pearson Correlation (r) | -0.059 |
| R-Squared (r²) | 0.003 |
| Beta (JPMorgan (JPM) vs 10Y-2Y Yield Spread) | -0.015 |
| Daily Volatility σ(JPMorgan (JPM)) | 1.31% |
| Daily Volatility σ(10Y-2Y Yield Spread) | 5.06% |
| Observations | 252 |
Correlation measures directional co-movement; R² quantifies the fraction of variance explained by the linear relationship. Beta is the slope coefficient from regressing JPMorgan (JPM) returns on 10Y-2Y Yield Spread returns. A beta above 1 means the first asset amplifies moves of the second.
Year-by-Year Correlation
| Year | Correlation | Strength | Observations |
|---|---|---|---|
| 2026 | -0.057 | Essentially uncorrelated | 82 |
| 2025 | -0.173 | Essentially uncorrelated | 248 |
| 2024 | -0.074 | Essentially uncorrelated | 247 |
| 2023 | -0.338 | Weak negative | 249 |
| 2022 | +0.028 | Essentially uncorrelated | 248 |
| 2021 | +0.413 | Moderate positive | 166 |
Year-by-year correlation reveals how the relationship has held up across different macro regimes. Sharp year-over-year swings in correlation often mark the transition between stress and calm periods.
Rolling 90-Day Extremes
Extremes in rolling 90-day correlation often coincide with regime changes, forced deleveraging, or the arrival of a dominant new macro theme that overwhelms normal relationships.
Methodology
Correlations are computed on daily log-adjacent returns for JPMorgan (JPM) and 10Y-2Y Yield Spread, aligned on shared trading dates. We use the Pearson product-moment coefficient, which measures the linear relationship between two return series.
Windows are the most recent N observations for 30D, 90D, and 1Y (252 trading days); the 5Y figure uses all aligned data up to 1,260 observations. Beta is the OLS slope from regressing the first series on the second. Data updates daily with a 24-hour revalidation cadence.
Related Correlations
More Comparisons
Get daily macro analysis on shifting correlations, regime transitions, and cross-asset signals.
Correlation is not causation and backward-looking statistics can fail when regimes shift. Positions sized on historical correlation assumptions should be stress-tested against scenarios where the relationship breaks. For informational purposes only.