Based on current macro regime conditions and sofr's historical behaviour in similar regimes, the model projects 33.80% by 2026-12-31 ( +849.3% from 3.56% today). The 68% confidence range is 24.45% to 43.14%; the wider 95% range is 15.49% to 52.10%. Methodology below the headline.
SOFR Forecast 2026
Quantitative analysis from 2,027 observations of SOFR history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Regime Scan[01/04]
Δ = divergence from +8.5% unconditional all-history average
Performance by Window[02]
| WINDOW | N | ANN RET | ANN VOL | RET/VOL | HIT % | TOTAL |
|---|---|---|---|---|---|---|
| 1Y | 250 | -17.03% | 17.77% | -0.96 | 37.8% | -17.02% |
| 3Y | 749 | -11.07% | 14.15% | -0.78 | 28.9% | -29.64% |
| 5Y | 1,248 | 223.86% | 306.42% | 0.73 | 23.0% | 35500.00% |
| 10Y | 2,027 | 8.55% | 330.35% | 0.03 | 25.8% | 94.54% |
| All | 2,027 | 8.55% | 330.35% | 0.03 | 25.8% | 94.54% |
Annualized total return = (1 + total)^(1/years) - 1. Ret/Vol is the annualized return divided by annualized volatility (Sharpe-equivalent without risk-free subtraction). Hit % = pct of single periods that were positive.
Where We Are Now[03]
Forward Returns by Macro Regime[04]
How SOFR has performed historically conditional on the prevailing macro regime. The current bucket is highlighted; +1Y averages drive the headline signal above.
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Low (<15) | 511 | -1.32% | -12.01% | -30.31% | -18.35% | 28.6% |
| Normal (15-25) | 1,159 | 15.00% | 93.98% | 1352.11% | 0.57% | 50.7% |
| Elevated (25-40) | 318 | 66.19% | 329.80% | 1184.02% | 0.00% | 49.0% |
| Extreme (>40) | 39 | 144.83% | 344.29% | -41.24% | -17.01% | 0.0% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Inverted (<0bps) | 543 | 6.92% | 17.94% | 23.87% | 0.94% | 55.6% |
| Flat (0-100bps) | 1,276 | 23.20% | 138.53% | 677.90% | -28.57% | 26.4% |
| Steep (>100bps) | 208 | 49.26% | 170.66% | 4403.39% | 4460.00% | 94.2% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Tight (<350bps) | 879 | 16.35% | 104.05% | 1983.74% | -11.18% | 48.2% |
| Normal (350-500bps) | 929 | 17.62% | 114.47% | 409.23% | -13.16% | 44.6% |
| Stressed (>500bps) | 219 | 57.78% | 96.37% | -4.35% | -44.44% | 23.7% |
| REGIME BUCKET | N | +30D | +90D | +1Y AVG | +1Y MED | HIT % |
|---|---|---|---|---|---|---|
| Weak (bottom tercile) | 173 | 58.99% | 119.41% | 2993.84% | 2600.00% | 62.2% |
| Neutral (middle) | 419 | 19.80% | 246.27% | 3802.74% | 2960.00% | 84.6% |
| Strong (top tercile) | 1,423 | 18.21% | 69.51% | 243.11% | -16.17% | 34.8% |
Forward returns are forward-looking from each historical observation in the bucket; +252d corresponds to one trading year. Buckets with fewer than 5 forward-return observations are reported as n/a. These are conditional historical averages, not forecasts.
Lead-Lag Relationships[05]
For each universally-recognised leading indicator, the lag at which the daily-return correlation peaks. Positive lag means the anchor leads SOFR; negative means it lags.
| ANCHOR | ROLE | PEAK LAG | PEAK CORR | ZERO-LAG | RELATIONSHIP |
|---|---|---|---|---|---|
| Initial Jobless Claims | Labor leader | +27d | 0.310 | -0.060 | leads target by 27d |
| NFCI | Financial conditions | +28d | 0.246 | -0.127 | leads target by 28d |
| 10Y-2Y Yield Spread | Recession leader | -13d | 0.181 | 0.010 | lags target by 13d |
| 10Y Treasury Yield | Discount-rate driver | +36d | 0.146 | 0.064 | weak |
| HY OAS Spread | Credit risk leader | +34d | 0.114 | -0.057 | weak |
| Baa-10Y Spread | Credit risk (slow) | +1d | -0.086 | -0.064 | weak |
| Trade-Weighted Dollar | FX driver | +34d | 0.082 | -0.006 | weak |
| VIX | Volatility leader | +43d | 0.076 | -0.005 | weak |
| Copper | Global growth proxy | +36d | 0.057 | -0.001 | weak |
| U-Mich Consumer Sentiment | Survey leader | 0d | 0.000 | 0.000 | weak |
Pearson correlation of daily returns over up to 25 years of overlapping history, searched across a ±60-day lag grid. Indicators classified as “weak” don't have meaningful predictive power at daily resolution; many of these (yield curve, NFCI, sentiment) lead at monthly/quarterly horizons instead.
Historical Analogs[06]
Periods where SOFR sat at a similar percentile rank to today, with what happened over the next 30 / 90 / 252 trading days. Analogs are clustered to avoid double-counting nearby dates.
| DATE | VALUE | +30D | +90D | +1Y |
|---|---|---|---|---|
| Jul 27, 2022 | 1.5300 | 49.02% | 148.37% | 247.06% |
| Sep 30, 2019 | 2.3500 | -33.19% | -32.77% | -96.60% |
| Jun 21, 2019 | 2.3700 | -10.13% | -23.21% | -96.62% |
| Aug 7, 2018 | 1.8700 | 2.67% | 24.06% | 13.37% |
Worst Historical Drawdown[07]
Cross-Asset Correlations · 1Y[08]
Largest Single-Period Moves[09]
- Mar 17, 2022500.00%
- Jun 17, 2021400.00%
- Apr 30, 2020300.00%
- Apr 14, 2020200.00%
- Apr 24, 2020200.00%
- Mar 18, 2020-81.48%
- Mar 16, 2020-76.36%
- May 20, 2020-75.00%
- Apr 28, 2020-66.67%
- Feb 23, 2021-66.67%
Calendar-Month Seasonality[10]
Average single-period return aggregated by the calendar month in which the period ended.
| MONTH | AVG RETURN | HIT % | N |
|---|---|---|---|
| January | 0.23% | 29.4% | 163 |
| February | 0.63% | 23.5% | 153 |
| March | 2.01% | 24.6% | 175 |
| April | 3.23% | 23.8% | 185 |
| May | 2.49% | 19.4% | 180 |
| June | 3.51% | 25.3% | 166 |
| July | 0.31% | 24.7% | 170 |
| August | -0.08% | 25.4% | 177 |
| September | 0.67% | 27.0% | 163 |
| October | 0.17% | 28.8% | 170 |
| November | 0.21% | 28.8% | 156 |
| December | 0.17% | 29.2% | 168 |
N = 2,027 OBS · GENERATED 2026-05-18 08:00Z
Forecast Approach
scenario weighted: We aggregate probability-weighted outcomes across active tracked scenarios, each with historical base rates and current heat scores. The projection above is the sample-weighted central estimate across current macro regime anchors; the scenario list below adds qualitative context.
Consensus source: Fed dot plot and futures market
Key Drivers & Risks
- •Federal Reserve policy
- •Inflation expectations
- •Economic growth
- •Global yield differentials
- •Treasury supply
Historical Volatility
Moderate: typically 50-150bps annual range
Scenarios That Affect This Forecast
How SOFR Forecasts Have Held Up Historically
SOFR (Secured Overnight Financing Rate) forecasts are essentially Fed funds forecasts plus a small basis. The basis itself (typically 5-15bp above Fed funds during normal regimes) has been stable since SOFR replaced LIBOR in 2023, but spikes in repo stress (September 2019 IOER episode pushed SOFR to 5.25% intraday vs Fed funds at 2.25%) represent the single largest forecast errors.
Regime-conditional models on SOFR achieve approximately 75% directional accuracy because the front-end-rates regime moves slowly. The dot-plot under-prediction problem applies: the Fed has consistently under-predicted the policy rate path it ended up setting.
Regime Sensitivity for SOFR
SOFR is the policy rate proxy and reads back from the FOMC dots and money-market positioning. Goldilocks regimes with cuts pricing in pull SOFR below the Fed funds target; stagflation regimes with hikes pricing in push SOFR above the target. The basis to Fed funds widens during quarter-end and year-end balance-sheet pressure points.
The April 2026 setup has SOFR at 3.63%, sitting modestly below the 3.50-3.75% Fed funds target band as cuts price in for late 2026. The regime conditional reads as moderately bullish on SOFR (cuts probable) with risk that inflation re-acceleration delays the cuts. The four-dissent April 29 FOMC vote keeps near-term policy on hold but signals the cuts-direction is intact.
What Drives SOFR Forecast Errors
Three structural issues drive SOFR forecast errors. First, repo-market stress can spike SOFR independently of policy. The September 2019 IOER episode took SOFR to 5.25% intraday despite Fed funds at 2.25%; the Fed responded with permanent standing repo facilities but the tail risk hasn't been eliminated.
Second, balance-sheet runoff (QT) interacts with reserve scarcity at quarter and year ends. The 2024 quarter-end SOFR pressure was contained by the Standing Repo Facility but periodic spikes still occur.
Third, the basis between SOFR and other money-market rates (Treasury bills, IORB, RRP) tells regime stories that the headline SOFR print doesn't capture. Sustained SOFR above IORB signals reserve scarcity; below RRP signals reserve abundance.
How to Use This Forecast in Practice
For SOFR, the Fed funds futures curve is the cleanest proxy for the rate-path expectation. When SOFR futures price in cuts that the dots haven't yet endorsed (the April 2026 setup), the path leans bullish but with reversal risk if Fed hawks dominate the next FOMC.
The cleanest cross-check for SOFR is the SOFR-IORB spread plus the RRP balance trend. Sustained SOFR above IORB and RRP draining flag reserve scarcity that could force a QT pause; SOFR comfortably below IORB and RRP holding flag reserve abundance. The 68% band on SOFR forecasts is the tightest of any rate forecast because of the Fed's direct policy control.
Frequently Asked Questions
What factors could push SOFR higher?▾
The primary drivers that tend to lift SOFR depend on the current macro regime. Interest rates set the price of money and ripple through every asset class. An inverted yield curve has preceded every U.S. recession since the 1960s, making this the single most-watched corner of fixed income. Monitoring rate differentials, real yields, and forward expectations helps traders anticipate risk-on or risk-off regime shifts. Convex tracks these drivers live across the Yield Curve & Rates category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push SOFR lower?▾
The same transmission channels that drive SOFR higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see SOFR heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
What is the historical range for SOFR?▾
Historical ranges for SOFR vary dramatically by regime. A level that is extreme in Goldilocks can be routine in Stagflation, and vice versa. The Historical Volatility section on this page describes the typical range and regime-specific behavior. For the full multi-decade history, visit the SOFR chart page, which includes selectable time ranges up to five years and downloadable data.
How often is the SOFR forecast updated?▾
This forecast page recalculates whenever the underlying data or regime classification changes, typically within hours of new data releases. The scenario probabilities refresh daily as the macro state is regenerated. Specific drivers listed on this page reflect the current state of the Convex regime engine, not static historical assumptions.
Is this forecast actionable for trading?▾
Convex forecasts are informational and educational. They describe probability distributions and regime-conditional paths rather than specific entry and exit levels. Traders and portfolio managers use them alongside other inputs including position sizing rules, risk management, and their own conviction calibration. They are not investment advice.
Get forecast updates for SOFR and related indicators.
Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.