Deep Dive
Weekly Chicago Fed National Financial Conditions Index. Positive readings indicate tighter-than-average U.S. financial conditions, while negative readings indicate looser-than-average conditions; the change metric shows the week-to-week move.
Source: NFCI via FRED, Federal Reserve Bank of St. Louis. See the FRED series notes for original source attribution.
Time Series
The range selector drives the backend statistics on the right. The slider below only zooms the chart slice, while fixed-horizon deltas stay anchored to the latest observation.
Showing 261 of 261 points.
Direction & Persistence
Direction stats use the selected 5Y window and persistence shows how sticky that move has been.
Acceleration
Acceleration compares the latest move with the prior move inside the selected window.
Forward Returns After Similar Readings
Compare what index benchmarks did after historical readings with the same regime and quantile setup as today in the selected 5Y window.
How To Read This
Use this tab for the original question: when old releases looked like today's reading, what happened next?
What counts as a match: It matches old releases by today's regime and quantile, so the comparison stays close to the existing forward-returns view.
Simple example: If today's payrolls are in a normal regime and middle quantile, this tab looks for prior payroll releases that were also normal and middle-range.
Read the card: A 3M avg of +1.2% means the benchmark averaged +1.2% over the next three months after those matching releases.
Current Setup Summary
This release maps to the Normal regime and 40-60% historical bucket. The cards compare only prior releases with that same setup.
Regime compares the reading with its normal range using z-score bands: extreme low, low, normal, high, or extreme high.
Quantile ranks the reading against history using percentile buckets, such as bottom 20% or top 20%.
Use this to frame risk and upside; it is historical context, not a standalone forecast.
S&P 500 Index
Regime: Normal
S&P 500 Index averaged +5.8% over the next 3M; 85.4% of 130 similar cases were positive.
S&P 500 Index
Quantile: 40-60%
S&P 500 Index averaged +4.8% over the next 3M; 71.0% of 31 similar cases were positive.
Nasdaq Composite
Regime: Normal
Nasdaq Composite averaged +7.6% over the next 3M; 83.1% of 130 similar cases were positive.
Nasdaq Composite
Quantile: 40-60%
Nasdaq Composite averaged +7.4% over the next 3M; 74.2% of 31 similar cases were positive.
Example Calculation
If a matching macro release starts from an S&P 500 close of 5,000 and the 3M close is 5,250, the forward return is (5,250 - 5,000) / 5,000 * 100 = +5.0%.
If 22 of 26 matching 3M windows are above 0%, positive cases are 22 / 26 = 84.6%.
Regime
3M avg
+5.8%
Positive cases
85.4%
Samples
130
1M avg
+1.8%
12M avg
+19.9%
Worst 3M drawdown
-13.7%
Quantile
3M avg
+4.8%
Positive cases
71.0%
Samples
31
1M avg
+2.8%
12M avg
+22.6%
Worst 3M drawdown
-13.0%
This expands every historical bucket, not just the current one. Use it to compare today's setup against other macro states; the current bucket is marked.
Avg return
Mean market return after matching releases.
Median
Typical case, less sensitive to outliers.
Positive
Share of cases above 0%; tiny samples show counts.
Score
Shown under each bucket name: z-score for regimes, percentile for quantiles.
Volatility
Standard deviation of forward returns; needs at least two samples.
Worst DD
Worst intra-window drawdown among matching cases.
Samples
Number of complete historical windows.
Regime Stats
| Bucket | Horizon | Avg | Median | Positive | Volatility | Worst DD | Samples |
|---|---|---|---|---|---|---|---|
| RegimeLowZ-score: -1.53 to -1.00 | 5D | +0.2% | +0.1% | 55.8% | 1.5% | -3.6% | 77 |
| 1M | +0.6% | +1.2% | 67.5% | 3.0% | -10.1% | 77 | |
| 3M | +1.7% | +3.1% | 67.6% | 5.6% | -18.9% | 71 | |
| 6M | +6.8% | +7.5% | 82.8% | 4.8% | -18.9% | 64 | |
| 12M | +16.3% | +15.7% | 100.0% | 3.9% | -18.9% | 47 | |
| RegimeNormalZ-score: -1.00 to +0.99Current | 5D | +0.4% | +0.5% | 59.6% | 2.2% | -10.5% | 136 |
| 1M | +1.8% | +1.9% | 69.2% | 4.3% | -13.7% | 133 | |
| 3M | +5.8% | +5.5% | 85.4% | 5.8% | -13.7% | 130 | |
| 6M | +10.1% | +11.9% | 88.7% | 9.4% | -23.6% | 124 | |
| 12M | +19.9% | +22.2% | 93.0% | 11.8% | -25.4% | 114 | |
| RegimeHighZ-score: +1.00 to +1.99 | 5D | -0.5% | -1.1% | 35.0% | 3.1% | -6.2% | 40 |
| 1M | -1.4% | -1.0% | 47.5% | 6.1% | -12.8% | 40 | |
| 3M | -2.4% | -4.2% | 37.5% | 7.2% | -20.8% | 40 | |
| 6M | -2.8% | -1.5% | 40.0% | 9.3% | -21.8% | 40 | |
| 12M | +5.2% | +8.0% | 67.5% | 11.7% | -25.4% | 40 | |
| RegimeExtreme HighZ-score: +2.02 to +2.58 | 5D | +1.3% | +0.6% | 57.1% | 3.4% | -3.7% | 7 |
| 1M | +3.3% | +4.4% | 71.4% | 3.5% | -6.8% | 7 | |
| 3M | -7.2% | -7.5% | 14.3% | 6.6% | -20.8% | 7 | |
| 6M | -4.9% | -4.8% | 14.3% | 5.2% | -20.8% | 7 | |
| 12M | -4.3% | -7.9% | 14.3% | 9.5% | -22.8% | 7 |
Quantile Stats
| Bucket | Horizon | Avg | Median | Positive | Volatility | Worst DD | Samples |
|---|---|---|---|---|---|---|---|
| QuantileBottom 20%Percentile: 1.4% to 19.5% | 5D | +0.3% | +0.3% | 59.8% | 1.5% | -4.3% | 97 |
| 1M | +0.9% | +1.3% | 70.1% | 3.1% | -12.4% | 97 | |
| 3M | +2.4% | +3.8% | 74.7% | 5.3% | -18.9% | 91 | |
| 6M | +6.7% | +7.5% | 80.2% | 6.1% | -18.9% | 81 | |
| 12M | +17.0% | +16.5% | 98.4% | 5.5% | -18.9% | 64 | |
| Quantile20-40%Percentile: 20.4% to 40.0% | 5D | +0.3% | +0.3% | 55.2% | 2.3% | -10.5% | 67 |
| 1M | +1.7% | +1.9% | 67.7% | 4.2% | -13.7% | 65 | |
| 3M | +7.0% | +6.8% | 93.5% | 5.2% | -13.7% | 62 | |
| 6M | +13.1% | +13.9% | 96.6% | 6.9% | -22.4% | 59 | |
| 12M | +19.9% | +18.7% | 98.0% | 9.5% | -24.3% | 49 | |
| Quantile40-60%Percentile: 40.7% to 60.0%Current | 5D | +0.4% | +0.7% | 62.5% | 2.7% | -5.7% | 32 |
| 1M | +2.8% | +3.4% | 71.0% | 4.7% | -9.8% | 31 | |
| 3M | +4.8% | +4.4% | 71.0% | 7.4% | -13.0% | 31 | |
| 6M | +10.1% | +9.2% | 90.3% | 10.3% | -23.6% | 31 | |
| 12M | +22.6% | +25.0% | 90.3% | 13.5% | -25.4% | 31 | |
| Quantile60-80%Percentile: 62.5% to 80.0% | 5D | -0.1% | -0.2% | 40.0% | 2.0% | -4.2% | 15 |
| 1M | -1.8% | -1.9% | 46.7% | 5.0% | -9.3% | 15 | |
| 3M | +0.8% | -0.4% | 46.7% | 6.7% | -16.9% | 15 | |
| 6M | +1.8% | +4.5% | 60.0% | 10.3% | -23.6% | 15 | |
| 12M | +12.5% | +14.4% | 86.7% | 14.7% | -25.4% | 15 | |
| QuantileTop 20%Percentile: 81.4% to 100.0% | 5D | +0.0% | -0.4% | 43.5% | 3.2% | -6.2% | 46 |
| 1M | -0.1% | +0.2% | 56.5% | 5.9% | -12.8% | 46 | |
| 3M | -1.5% | -2.8% | 43.5% | 8.0% | -20.8% | 46 | |
| 6M | -1.6% | -0.8% | 45.7% | 9.1% | -21.8% | 46 | |
| 12M | +6.7% | +10.3% | 63.0% | 12.9% | -25.4% | 46 |
Regime
3M avg
+7.6%
Positive cases
83.1%
Samples
130
1M avg
+2.4%
12M avg
+25.7%
Worst 3M drawdown
-20.7%
Quantile
3M avg
+7.4%
Positive cases
74.2%
Samples
31
1M avg
+4.5%
12M avg
+30.0%
Worst 3M drawdown
-20.5%
This expands every historical bucket, not just the current one. Use it to compare today's setup against other macro states; the current bucket is marked.
Avg return
Mean market return after matching releases.
Median
Typical case, less sensitive to outliers.
Positive
Share of cases above 0%; tiny samples show counts.
Score
Shown under each bucket name: z-score for regimes, percentile for quantiles.
Volatility
Standard deviation of forward returns; needs at least two samples.
Worst DD
Worst intra-window drawdown among matching cases.
Samples
Number of complete historical windows.
Regime Stats
| Bucket | Horizon | Avg | Median | Positive | Volatility | Worst DD | Samples |
|---|---|---|---|---|---|---|---|
| RegimeLowZ-score: -1.53 to -1.00 | 5D | +0.2% | +0.3% | 51.9% | 2.1% | -5.0% | 77 |
| 1M | +0.8% | +1.4% | 66.2% | 4.1% | -13.7% | 77 | |
| 3M | +2.2% | +3.5% | 66.2% | 8.6% | -23.9% | 71 | |
| 6M | +8.3% | +8.9% | 87.5% | 6.5% | -24.3% | 64 | |
| 12M | +20.3% | +20.4% | 100.0% | 6.3% | -24.3% | 47 | |
| RegimeNormalZ-score: -1.00 to +0.99Current | 5D | +0.5% | +0.6% | 60.3% | 3.0% | -11.4% | 136 |
| 1M | +2.4% | +2.1% | 69.9% | 6.2% | -16.4% | 133 | |
| 3M | +7.6% | +7.8% | 83.1% | 8.4% | -20.7% | 130 | |
| 6M | +13.7% | +15.9% | 89.5% | 13.2% | -32.9% | 124 | |
| 12M | +25.7% | +30.0% | 93.0% | 16.8% | -35.5% | 114 | |
| RegimeHighZ-score: +1.00 to +1.99 | 5D | -0.8% | -1.9% | 35.0% | 3.6% | -6.9% | 40 |
| 1M | -2.8% | -2.8% | 30.0% | 6.9% | -16.6% | 40 | |
| 3M | -5.2% | -6.0% | 27.5% | 9.7% | -27.2% | 40 | |
| 6M | -6.5% | -6.9% | 25.0% | 12.7% | -31.9% | 40 | |
| 12M | +6.6% | +12.2% | 70.0% | 18.6% | -35.7% | 40 | |
| RegimeExtreme HighZ-score: +2.02 to +2.58 | 5D | +1.5% | +1.5% | 57.1% | 4.2% | -4.2% | 7 |
| 1M | +3.5% | +4.4% | 71.4% | 5.4% | -11.0% | 7 | |
| 3M | -11.7% | -14.3% | 14.3% | 8.4% | -27.2% | 7 | |
| 6M | -8.5% | -8.6% | 0.0% | 5.1% | -27.2% | 7 | |
| 12M | -8.4% | -13.4% | 14.3% | 13.7% | -30.1% | 7 |
Quantile Stats
| Bucket | Horizon | Avg | Median | Positive | Volatility | Worst DD | Samples |
|---|---|---|---|---|---|---|---|
| QuantileBottom 20%Percentile: 1.4% to 19.5% | 5D | +0.3% | +0.4% | 56.7% | 2.1% | -5.5% | 97 |
| 1M | +1.0% | +1.6% | 69.1% | 4.1% | -14.7% | 97 | |
| 3M | +3.1% | +3.9% | 71.4% | 7.9% | -23.9% | 91 | |
| 6M | +8.2% | +8.9% | 84.0% | 8.2% | -24.3% | 81 | |
| 12M | +21.6% | +21.6% | 98.4% | 8.2% | -24.3% | 64 | |
| Quantile20-40%Percentile: 20.4% to 40.0% | 5D | +0.4% | +0.2% | 55.2% | 3.1% | -11.4% | 67 |
| 1M | +2.2% | +1.7% | 69.2% | 6.2% | -16.4% | 65 | |
| 3M | +8.2% | +8.3% | 85.5% | 7.9% | -17.2% | 62 | |
| 6M | +16.1% | +17.3% | 96.6% | 9.8% | -29.9% | 59 | |
| 12M | +24.2% | +24.6% | 98.0% | 12.4% | -32.8% | 49 | |
| Quantile40-60%Percentile: 40.7% to 60.0%Current | 5D | +0.6% | +1.8% | 62.5% | 3.6% | -7.6% | 32 |
| 1M | +4.5% | +4.3% | 74.2% | 6.5% | -15.7% | 31 | |
| 3M | +7.4% | +6.6% | 74.2% | 10.2% | -20.5% | 31 | |
| 6M | +15.0% | +16.6% | 90.3% | 15.3% | -32.8% | 31 | |
| 12M | +30.0% | +33.6% | 90.3% | 19.3% | -35.5% | 31 | |
| Quantile60-80%Percentile: 62.5% to 80.0% | 5D | -0.1% | -0.2% | 46.7% | 2.7% | -4.9% | 15 |
| 1M | -2.2% | -5.4% | 40.0% | 7.9% | -14.7% | 15 | |
| 3M | +2.4% | +3.2% | 66.7% | 12.1% | -21.4% | 15 | |
| 6M | +5.9% | +10.2% | 66.7% | 18.0% | -32.9% | 15 | |
| 12M | +19.2% | +27.4% | 86.7% | 23.6% | -35.0% | 15 | |
| QuantileTop 20%Percentile: 81.4% to 100.0% | 5D | -0.2% | -1.3% | 43.5% | 3.8% | -6.9% | 46 |
| 1M | -1.0% | -0.8% | 41.3% | 6.8% | -16.6% | 46 | |
| 3M | -3.3% | -4.9% | 34.8% | 11.0% | -27.2% | 46 | |
| 6M | -3.9% | -4.7% | 30.4% | 12.1% | -31.9% | 46 | |
| 12M | +8.7% | +15.1% | 65.2% | 18.9% | -35.0% | 46 |