Source: S&P Dow Jones Indices LLC  

Release: Standard & Poors  

Units:  Index, Not Seasonally Adjusted

Frequency:  Daily, Close

The observations for the S&P 500 represent the daily index value at market close. The market typically closes at 4 PM ET, except for holidays when it sometimes closes early.

The Federal Reserve Bank of St. Louis and S&P Dow Jones Indices LLC have reached a new agreement on the use of Standard & Poors and Dow Jones Averages series in FRED. FRED and its associated services will include 10 years of daily history for Standard & Poors and Dow Jones Averages series.

The S&P 500 is regarded as a gauge of the large cap U.S. equities market. The index includes 500 leading companies in leading industries of the U.S. economy, which are publicly held on either the NYSE or NASDAQ, and covers 75% of U.S. equities. Since this is a price index and not a total return index, the S&P 500 index here does not contain dividends.

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Source: Federal Reserve Bank of St. Louis  

Release: St. Louis Fed Financial Stress Index

Units:  Index, Not Seasonally Adjusted

Frequency:  Weekly, Ending Friday

The STLFSI4 measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.

How to Interpret the Index:
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.

More information:
The STLFSI4 is the third revision (i.e., STLFSI3 and STLFSI2 of the original STLFSI. Whereas the STLFSI3 used the past 90-day average backward-looking secured overnight financing rate (SOFR) in two of their yield spreads, the STLFSI4 uses the 90-day forward-looking SOFR in its place. For more information, see "The St. Louis Fed’s Financial Stress Index, Version 4.0". For information on earlier STLFSIs, see "Measuring Financial Market Stress", "The St. Louis Fed’s Financial Stress Index, Version 2.0.", and "The St. Louis Fed’s Financial Stress Index, Version 3.0".