Adjusted NFCI vs S&P 500: Correlation Analysis
Pearson correlation of daily returns for Adjusted NFCI and S&P 500 ETF (SPY). Rolling windows, yearly breakdown, regression beta, and divergence analysis. Data window spans to (252 aligned observations).
What the Number Means
The -0.41 correlation indicates that Adjusted NFCI and S&P 500 ETF (SPY) have a moderate tendency to move in opposite directions. The relationship is real but noisy, with frequent days where they disagree. Regime context matters: the correlation often strengthens during stress and weakens during calm periods.
Recent vs Long-Run Behavior
The correlation has weakened materially. The 90-day reading of -0.41 sits 0.21 below the long-run average of -0.20. Falling correlation signals the dispersion regime where idiosyncratic stories dominate and cross-asset diversification benefits improve.
Statistical Details (1-Year Window)
| Pearson Correlation (r) | -0.203 |
| R-Squared (r²) | 0.041 |
| Beta (Adjusted NFCI vs S&P 500 ETF (SPY)) | -1.262 |
| Daily Volatility σ(Adjusted NFCI) | 14.28% |
| Daily Volatility σ(S&P 500 ETF (SPY)) | 2.29% |
| 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 Adjusted NFCI returns on S&P 500 ETF (SPY) returns. A beta above 1 means the first asset amplifies moves of the second.
Year-by-Year Correlation
| Year | Correlation | Strength | Observations |
|---|---|---|---|
| 2026 | -0.765 | Strong negative | 16 |
| 2025 | -0.363 | Weak negative | 50 |
| 2024 | -0.151 | Essentially uncorrelated | 51 |
| 2023 | -0.231 | Weak negative | 51 |
| 2022 | -0.247 | Weak negative | 51 |
| 2021 | -0.166 | Essentially uncorrelated | 33 |
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 Adjusted NFCI and S&P 500 ETF (SPY), 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.
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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.