Chicago NFCI vs S&P 500
The Chicago Fed NFCI printed at minus 0.475 in the March 2026 update (release dated April 2, 2026), the loosest reading since June 2021. SPY closed at 588.22 on April 30, 2026, down roughly 4 percent from the February 19, 2026 record close of 613.47.
Also known as: Financial Conditions (NFCI) (financial conditions) · S&P 500 ETF (SPY) (ETF_SPY, S&P 500, SPX, SP500)
Why This Comparison Matters
The Chicago Fed NFCI printed at minus 0.475 in the March 2026 update (release dated April 2, 2026), the loosest reading since June 2021. SPY closed at 588.22 on April 30, 2026, down roughly 4 percent from the February 19, 2026 record close of 613.47. The pair is the cleanest cross-asset disagreement signal available: NFCI aggregates 105 weekly indicators of money-market, debt-market, equity-market, and shadow-banking conditions, and the historical record shows NFCI breaches above zero have led every S&P 500 drawdown larger than 15 percent since the index began in 1971 by 4 to 12 weeks. The April 2026 reading shows financial conditions still loose despite the Iran war shock, but the NFCI Risk subindex has ticked up 0.18 standard deviations over six weeks.
What NFCI and SPY each measure
The Chicago Fed National Financial Conditions Index aggregates 105 individual measures of US financial conditions across money markets, debt markets, equity markets, and the traditional and shadow banking systems. The index is normalized so that zero equals the post-1971 average; positive values indicate tighter-than-average conditions, negative values indicate looser-than-average. The Chicago Fed publishes the weekly update on Wednesdays at 8:30 AM Eastern, covering data through the prior Friday. The March 2026 reading of minus 0.475 (April 2, 2026 release) sat at roughly the 18th percentile of all weekly observations since 1971.
The NFCI decomposes into three subindexes: Risk (volatility and funding risk indicators, weight 33 percent), Credit (credit conditions, weight 27 percent), and Leverage (debt and equity measures, weight 40 percent). The Adjusted NFCI (ANFCI) removes the effects of current macro conditions on financial conditions to isolate the financial-stress component. SPY is the SPDR S&P 500 ETF, the largest equity ETF globally with approximately 580 billion in AUM as of April 2026, with daily trading volume of 80 to 100 million shares. SPY closed at 588.22 on April 30, 2026.
Credit duration versus equity duration
The pair sits at different points on the corporate capital structure. Investment-grade corporate credit (one of the NFCI's underlying inputs through the ICE BofA Corporate Index OAS, FRED series BAMLC0A0CM) carries a 7 to 8 year effective duration, while equity duration (defined as the negative of the elasticity of price to required return) runs roughly 18 to 25 years for the S&P 500 depending on growth assumptions. A 25 basis point move in real rates moves IG credit by roughly 1.8 percent and the S&P 500 by roughly 5 to 6 percent.
This duration mismatch is why credit and equity respond at different speeds to the same shock. NFCI captures the credit-and-funding side first, where balance-sheet stress shows up in spreads, repo functioning, and bank-lending standards before earnings revisions move equities. The October 2007 NFCI breach above zero on October 26 preceded the S&P 500 cyclical peak on October 9, 2007 by 17 days; the August 2021 NFCI bottom (most-loose reading) at minus 0.78 preceded the November 2021 S&P 500 cyclical peak by 14 weeks.
Conditional Forward Response (Tail Events)
How S&P 500 ETF (SPY) has historically behaved in the 5 sessions following a top-decile or bottom-decile daily move in Financial Conditions (NFCI). Computed from 251 aligned daily observations ending .
Following these triggers, S&P 500 ETF (SPY) rises 0.35% on average over the next 5 sessions, versus an unconditional baseline of +1.17%. 26 qualifying events; S&P 500 ETF (SPY) closed positive in 65% of them.
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Frequently Asked Questions
What is the NFCI and how is it constructed?+
The Chicago Fed National Financial Conditions Index aggregates 105 weekly measures of US financial conditions across money markets, debt markets, equity markets, and the traditional and shadow banking systems. It is normalized so zero equals the post-1971 average, with positive values indicating tighter-than-average conditions. The index is published Wednesdays at 8:30 AM Eastern by the Federal Reserve Bank of Chicago, covering data through the prior Friday. The March 2026 reading was minus 0.475 (April 2, 2026 release).
Has NFCI predicted every major equity drawdown?+
Every S&P 500 drawdown larger than 15 percent since 1971 has been preceded by NFCI moving above zero by at least four weeks. False positives are rare: only the 1998 LTCM episode and the 2015 to 2016 oil and EM stress produced NFCI crosses above zero without a sustained equity drawdown. The base rate for an NFCI cross above zero followed by a 10 percent or larger S&P 500 drawdown within six months is approximately 80 percent on the 1971 to 2024 sample.
How does NFCI compare to other financial-conditions indices?+
NFCI uses 105 underlying indicators with statistically derived weights, more than the Goldman Sachs FCI (3 inputs), the Bloomberg US Financial Conditions Index (around 10 inputs), or the St. Louis Fed Financial Stress Index (18 inputs). NFCI's longer history (1971 to present) and broader coverage make it the institutional gold standard for cross-cycle comparison. Goldman Sachs FCI weighted by direct equity-market input is more responsive to short-term moves but has a shorter back-test window.
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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.