CFNAI-MA3 vs. S&P 500

Here is a chart of the last six years of the Chicago Fed National Activity Index (3 month moving average) vs. the S&P 500 closing price.



The Chicago Fed National Activity Index (CFNAI) is a monthly index designed to gauge overall economic activity and related inflationary pressure. The CFNAI is released at 8:30 a.m. ET on scheduled days, normally toward the end of each calendar month.

A linear regression on the data over the last six years found little correlation (R-squared = 0.27) between the CFNAI and the S&P 500. The CFNAI is a trailing indicator that has a pretty good track record of marking recessions, but does not appear predictive of market movements.