Adjusted Chicago NFCI vs St Louis Financial Stress
Live side-by-side comparison with current values, changes, and key statistics.
Why This Comparison Matters
Both summarize financial conditions, but ANFCI strips out the influence of macro conditions while STLFSI4 is a pure stress index. When ANFCI tightens but STLFSI4 stays calm, non-stress conditions-tightening (rates, spreads at higher levels but not stressed) dominates. When STLFSI4 spikes without ANFCI, an acute-stress episode is present even if average conditions look normal.
Cross-Asset Analysis
Adjusted NFCI captures NFCI adjusted for prevailing economic conditions, isolates financial stress from the cycle, whereas Financial Stress Index (StL) reflects st. Louis Fed Financial Stress Index, below zero = below-average stress, and the difference between how they move is what the peer pair relationship is really about. Corporate action events, including buybacks or spin-offs affecting constituents of Adjusted NFCI or Financial Stress Index (StL), can distort the spread relative to its intended factor tilt.
Flows matter for the Adjusted NFCI-Financial Stress Index (StL) relationship: when one peer attracts more capital, it outperforms on demand pressure that often mean-reverts. Late-cycle environments force Adjusted NFCI and Financial Stress Index (StL) to express their respective defensive and cyclical tilts more sharply, making the spread a useful regime tell. Factor tilts expressed through the Adjusted NFCI-Financial Stress Index (StL) selection allow managers to adjust style exposure without changing their overall asset allocation.
Pairs like Adjusted NFCI and Financial Stress Index (StL) trade tighter than either leg does individually, because the common component is high and the remaining idiosyncratic share is what the pair expresses. Interest rate cycles drive Adjusted NFCI versus Financial Stress Index (StL) relative performance through discount-rate sensitivity, with longer-duration exposures suffering more when rates rise. Overlay strategies trade the Adjusted NFCI-Financial Stress Index (StL) spread through options or swaps when the underlying pair is directly tradable, sizing against realized spread volatility.
90-Day Statistics
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Frequently Asked Questions
What is the relationship between Adjusted NFCI and Financial Stress Index (StL)?+
Adjusted NFCI and Financial Stress Index (StL) are connected through shared asset class exposure with different factor tilts. When the underlying asset class shifts, both respond, though with different sensitivities and at different speeds. The spread between Adjusted NFCI and Financial Stress Index (StL) captures the specific macro signal that flows through this relationship.
When does Adjusted NFCI typically lead Financial Stress Index (StL)?+
Adjusted NFCI tends to lead Financial Stress Index (StL) during rotation episodes between the two factor exposures. In those periods, moves in Adjusted NFCI precede corresponding moves in Financial Stress Index (StL) by days to weeks, depending on the transmission channel and the depth of each market.
How are Adjusted NFCI and Financial Stress Index (StL) historically correlated?+
Long-run correlation between Adjusted NFCI and Financial Stress Index (StL) varies by regime. Peers in the same asset class are highly correlated in direction, with the spread reflecting factor tilts and rotation dynamics. The correlation is not stable: it shifts with macro conditions, and the periods when it breaks down are often the most informative moments in the Adjusted NFCI-Financial Stress Index (StL) relationship.
What macro conditions drive divergence between Adjusted NFCI and Financial Stress Index (StL)?+
Divergence between Adjusted NFCI and Financial Stress Index (StL) typically arises from index reconstitution, mega-cap earnings surprises, or liquidity differences between the peers. When one asset's idiosyncratic drivers dominate, the spread moves in ways that the common macro story does not predict, which is usually a signal to look more carefully at the specific drivers at work in Adjusted NFCI or Financial Stress Index (StL).
Is Adjusted NFCI a hedge for Financial Stress Index (StL)?+
Peers like Adjusted NFCI and Financial Stress Index (StL) do not hedge each other; both rise or fall with the shared asset class, and using the pair as a spread trade is different from using it as a hedge. Effective hedging requires matching the hedge to the specific risk being protected, and the Adjusted NFCI-Financial Stress Index (StL) pair is best stress-tested under scenarios the investor most worries about before being sized into a real portfolio.
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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.