Economy & PolicyExtended setexperimental liveNew

Financial Conditions Regime

Updated weeklyData needs: lowlong onlyshort only

2011

Brave, S., Butters, R. A. (2011). "Monitoring Financial Stability: A Financial Conditions Index Approach." Federal Reserve Bank of Chicago Economic Perspectives.

Read the paper →

In plain terms

The Chicago Fed's NFCI is the most comprehensive single-number measure of financial conditions, combining money market, debt, equity, and shadow-banking signals. When it goes above zero (tight), trim risk; when its adjusted version goes well below zero (loose), lean in.

How it works

Chicago Fed NFCI and adjusted ANFCI are weekly composites spanning ~105 measures of money / debt / equity / shadow-banking conditions. NFCI > 0 (tighter conditions) leads real activity by 2-4 quarters with elevated equity left-tail risk; ANFCI < -0.5 (notably loose) signals risk-on regimes.

Live results

0 times picked on its own · 177 times inside a blend (149 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 177 such blended picks (149 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fred macro
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: +/-3 to +/-4% over 42d
Tested over: T+1 to T+42d

Brave-Butters 2011; ~4% over 42d on tightening + downtrend; ~3% LONG on loose ANFCI + uptrend.

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