Adjusted NFCI vs S&P 500
The Chicago Fed Adjusted NFCI (ANFCI) closed the week of April 24, 2026 at -0.49, looser than the prior week and well below the zero line that historically marks tightness consistent with macro conditions. SPY traded near $708 the same week, recovering from a 10% Iran-war drawdown in early March.
Also known as: S&P 500 ETF (SPY) (ETF_SPY, S&P 500, SPX, SP500)
Why This Comparison Matters
The Chicago Fed Adjusted NFCI (ANFCI) closed the week of April 24, 2026 at -0.49, looser than the prior week and well below the zero line that historically marks tightness consistent with macro conditions. SPY traded near $708 the same week, recovering from a 10% Iran-war drawdown in early March. ANFCI versus SPY is the cleanest cross-check on whether equity strength is being confirmed or undermined by underlying funding markets. The Adjusted version strips out the cyclical component embedded in the headline NFCI, isolating the residual stress signal. Negative readings during an equity rally generally confirm the rally; positive readings during an equity rally are the configuration that has preceded six of the last eight S&P 500 drawdowns greater than 10%. The current loose ANFCI plus rising SPY is the benign template, not the warning template.
What ANFCI strips out and why that matters
The Chicago Fed publishes two financial conditions indices weekly. The headline NFCI aggregates 105 individual indicators (credit spreads, funding rates, equity volatility, leverage measures) into a single weekly z-score where zero equals the historical average. The Adjusted NFCI runs the same input panel through a regression that removes the predicted contribution of GDP and inflation, leaving a residual that is loose or tight relative to where macro fundamentals would predict.
The 2017 Chicago Fed Letter introducing ANFCI made the case explicitly: pre-recession periods often show NFCI tightening alongside slowing growth, but if the tightening is exactly what slowing growth would predict, it carries no incremental information. ANFCI isolates the surprise component. The April 24, 2026 reading of -0.49 means current financial conditions are 0.49 standard deviations looser than what the current GDP path and PCE inflation rate would predict, which is the configuration that supports risk-on positioning rather than warns against it.
How the 2008 GFC, 2018 vol-mageddon, and 2022 hiking cycle each looked in ANFCI
The 2008 Global Financial Crisis saw ANFCI breach +1.0 in August 2007, four months before the December 2007 NBER recession start, and peak above +5.5 in October 2008 during the post-Lehman acute phase. SPY (and the underlying S&P 500) was still within 5% of its all-time high when ANFCI first crossed zero. The credit-equity divergence was the textbook leading signal: financial conditions were tightening relative to fundamentals while equity prices were rallying. The S&P 500 lost 56% peak-to-trough by March 2009.
The February 2018 vol-mageddon episode showed ANFCI rising from -0.55 to -0.10 in three weeks while SPY fell 10% from January 26 to February 8. The reading never crossed zero, which correctly flagged the episode as a positioning unwind rather than a credit-driven event. The 2022 hiking cycle saw ANFCI move from -0.65 in January to +0.40 in October as the Fed hiked 425bp in nine months. SPY lost 25% peak-to-trough across the same window. ANFCI led the SPY peak by approximately seven weeks.
Lead-lag mechanics and the sub-component decomposition
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 Adjusted NFCI. Computed from 251 aligned daily observations ending .
Following these triggers, S&P 500 ETF (SPY) rises 1.45% on average over the next 5 sessions, versus an unconditional baseline of +1.24%. 26 qualifying events; S&P 500 ETF (SPY) closed positive in 65% of them.
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Frequently Asked Questions
What is ANFCI and how is it different from NFCI?+
Both are weekly financial conditions indices published by the Federal Reserve Bank of Chicago. NFCI is the headline aggregate of 105 indicators (credit, leverage, risk) standardized so zero equals the historical average. ANFCI runs the same panel through a regression that strips out the predicted contribution of GDP and inflation, isolating the residual stress that is not explained by current macro conditions. The Chicago Fed publishes both every Wednesday at 8:30am ET. ANFCI is the cleaner signal for the question of whether financial conditions are unusual relative to fundamentals.
What was the latest ANFCI reading?+
The week ending April 24, 2026 printed -0.49, looser than the prior week. Risk indicators contributed -0.34, credit indicators contributed -0.15, leverage indicators contributed -0.05, and the macro-conditions adjustment contributed +0.06. Negative values indicate financial conditions are looser than what current GDP and inflation would predict. The reading sits in the loosest quartile of the 1973-2026 history.
How well does ANFCI predict S&P 500 drawdowns?+
Reasonably well at extremes, weakly in the middle. The 12-month forward S&P 500 return averaged +12.3% from the loosest ANFCI quartile and -2.6% from the tightest quartile across 1973-2024. The signal is most informative when ANFCI crosses zero and accelerates, which preceded the 2007 GFC peak by approximately four months and the 2022 SPY peak by approximately seven weeks. Static readings well below zero, like the current -0.49, historically support risk-on positioning rather than warn against it.
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