Home › Signals › Z1193 – [KC] the Chicago Fed Financial Conditions Index Growth Regime Z-Score Signal
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Z1193 – [KC] the Chicago Fed Financial Conditions Index Growth Regime Z-Score Signal
Chicago Fed National Financial Conditions Index year-over-year z-score captures credit-cycle regime shifts that drive Arabica forward 60-day returns via the risk-capital channel.
At a glance
IN-SEASON · ACTIVE
Current reading
-0.427
SEASONAL STATE
IN-SEASON · ACTIVE
Chicago Fed the Chicago Fed Financial Conditions Index weekly release drives signal…
Signal state
Loose Conditions
149 days in Stress phase
Updated
Nov 04, 2026
Chicago Fed weekly release
Sample
36-year window
Weekly cadence; 1990 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The Chicago Fed National Financial Conditions Index aggregates over 100 measures of risk, credit, and leverage across money, equity, debt, and traditional-plus-shadow-banking systems into a single scalar. Positive the Chicago Fed Financial Conditions Index readings indicate tighter-than-average financial conditions; negative readings indicate looser. The commodity complex is sensitive to financial conditions via the risk-capital channel. When conditions tighten, speculator capital leaves commodity futures and Arabica underperforms; when conditions loosen, capital flows back in. The signal reads Chicago Fed the Chicago Fed Financial Conditions Index z-scored on a rolling 5-year window and tanh-bounds. Daily Spearman IC against Arabica forward 60-day returns is minus 0.094 at p-value 4.7e-19 across 8,947 observations, strongly significant on the 36-year sample. Phase plus 1 firings (tight financial conditions) deliver minus 2.91 pp below the plus 2.32 percent baseline. Phase minus 1 firings (loose financial conditions) deliver plus 2.50 pp. 5.41 pp directional spread with clean monotone phase pattern.
LIVE CHART
KC the Chicago Fed Financial Conditions Index Growth Regime Z-Score Signal
What the chart is showing right now. The dark line is the Chicago Fed National Financial Conditions Index z-scored on a rolling 5-year window and tanh-bounded. Positive composite means financial conditions are tighter than the 5-year norm; negative composite means looser. The bronze line in the middle panel is ICE US Coffee C first-nearby. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
-0.427 / tanh
STATE
Loose Conditions
PHASE
-0.46
PHASE +1 EDGE
-2.91 pp
PHASE -1 EDGE
+2.50 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Loose Conditions firing at composite -0.427, 149 trading days running in STRESS phase. Phase +1 (Tight Conditions) delivers minus 0.60 percent fwd60d / minus 2.91 pp below plus 2.32 percent baseline. Phase -1 (Loose Conditions) delivers plus 4.81 percent / plus 2.50 pp above baseline. Daily Spearman IC minus 0.094 at p-value 4.7e-19 strongly significant.
THE RISK-CAPITAL MECHANISM
The Chicago Fed National Financial Conditions Index aggregates over 100 measures of risk, credit, and leverage into a single scalar. Positive readings indicate tight conditions; negative readings indicate loose. The commodity complex is sensitive via the risk-capital channel. When conditions tighten, speculator capital leaves commodity futures and Arabica underperforms. When conditions loosen, capital flows back in.
HOW TO POSITION
Macro financial-conditions overlay for Arabica. Tight Conditions firings flag bearish regimes where the risk-capital channel pressures Arabica over 60-day horizons. Loose Conditions firings flag bullish regimes where capital rotation supports Arabica. Pair with inflation regime, dollar, real yields, and supply fundamentals.
WHAT THE CHART SHOWS
The composite sits at -0.427 in the Loose Conditions band. Chicago Fed the Chicago Fed Financial Conditions Index has run below the 5-year z-score mean through 2026 and Arabica forward 60-day returns historically run above baseline in this regime.
TOP INPUTS FIRING
- Primary composite -0.427 State Loose Conditions, 149 days running in STRESS phase.
- the Chicago Fed Financial Conditions Index below 5-year mean Raw z-score -0.46; Chicago Fed the Chicago Fed Financial Conditions Index has run below the 5-year rolling mean through 2026 consistent with loose-financial-conditions regime after the 2022-23 tightening cycle.
- Daily IC strongly significant, non-overlap not independent Daily Spearman IC minus 0.094 at p-value 4.7e-19 strongly significant on full distribution. Non-overlap IC minus 0.074 at p-value 0.37 not independently significant on 150 samples.
THE TAKEAWAY
What this means for you today
THE CONDITIONS CALL
Composite -0.427, Loose Conditions. Chicago Fed the Chicago Fed Financial Conditions Index has run below the 5-year z-score mean through 2026 consistent with loose-financial-conditions regime after the 2022-23 tightening cycle. Signal firing in Loose Conditions bucket for 149 days; forward 60-day edge in Phase -1 historically runs plus 2.50 pp above baseline.
THE EMPIRICAL CONTEXT
Daily IC minus 0.094 at p-value 4.7e-19 strongly significant on 36-year sample. Phase +1 (Tight Conditions) delivers minus 2.91 pp below baseline; Phase -1 (Loose Conditions) delivers plus 2.50 pp. 5.41 pp directional spread with clean monotone phase pattern.
THE HONEST CAVEAT
Non-overlap IC at 60-day sampling minus 0.074 at p-value 0.37 not independently significant on 150 samples. the Chicago Fed Financial Conditions Index is a weekly release with 1-week publication lag; the signal is a slow-moving financial-conditions anchor not a short-horizon trigger. Polarity is contrarian relative to the stated engine convention; positive composite equals tight equals bearish via the risk-capital channel.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 8,947 post-warmup trading days (1990 onward). Baseline Arabica fwd60d mean plus 2.32 percent. Phase +1 (Tight Conditions) delivers -2.91 pp edge; Phase -1 (Loose Conditions) delivers +2.50 pp. 5.41 pp directional spread with daily IC minus 0.094 strongly significant.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Tight Conditions | +1 | 31.6% (2830 d) | -0.60% | -2.91pp | 2022-23, 2008, 2000-02 | |
| On Trend | 0 | 23.3% (2084 d) | +1.44% | -0.88pp | various | |
| Loose Conditions TODAY | -1 | 45.1% (4033 d) | +4.81% | +2.50pp | 2026 (current), 2020-21, 2015-17 |
The historical pattern
Signature episodes in the 36-year sample
THE TRACK RECORD
Every state change in the last 2 years
5 state transitions from 11/08/2024 to 11/04/2026. Full history (60 total transitions since 12/03/1990) is downloadable.
| State | Start | End | Duration | Fwd 60d KC |
|---|---|---|---|---|
| Defensive | 11/08/2024 | 03/13/2025 | 85d | +1.36% |
| Neutral | 03/14/2025 | 05/29/2025 | 53d | +7.16% |
| Defensive | 05/30/2025 | 03/19/2026 | 202d | +9.46% |
| Neutral | 03/20/2026 | 04/02/2026 | 10d | +15.69% |
| Defensive LIVE | 04/06/2026 | current | 149d | +13.18% |
Scroll inside the table for the full history. Forward 60-day KC is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.
What this measures
Z-score of Chicago Fed National Financial Conditions Index on a rolling 5-year window, tanh-bounded. Positive composite equals tight-financial-conditions regime relative to the 5-year window; negative composite equals loose-financial-conditions regime. Target ICE US Coffee C first-nearby back- adjusted close.
Why it matters
Why financial conditions matter for Arabica
The Chicago Fed National Financial Conditions Index aggregates over 100 measures of risk, credit, and leverage across money, equity, debt, and traditional-plus-shadow-banking systems into a single scalar. The commodity complex is sensitive to financial conditions via the risk-capital channel. Tightening conditions pull speculator capital out of commodity futures and compress commodity valuations; loosening conditions reverse the flow. Arabica is sensitive to this macro backdrop beyond its own supply-demand fundamentals.
How to use this signal today
Macro financial-conditions overlay for Arabica positioning. Tight Conditions firings flag bearish regimes where the risk-capital channel pressures Arabica over 60-day horizons; Loose Conditions firings flag bullish regimes where capital rotation supports Arabica. Pair with inflation regime overlays, dollar index, real yields, and fundamental supply signals for stacked macro-plus- fundamental conviction.
Risk overlay
Daily IC strongly significant but non-overlap test (150 independent 60-day samples) minus 0.074 at p-value 0.37 not independently significant. the Chicago Fed Financial Conditions Index weekly cadence limits short-horizon use; the signal is a slow-moving financial-conditions anchor. Polarity is contrarian relative to the stated engine convention; the empirical pattern says tight conditions precede KC weakness and loose precede KC strength.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 06, 2026 02:00 AM ET