In official Federal Reserve language:
Led by declines in production - and employment - related indicators, the Chicago Fed National Activity Index decreased to –0.53 in August from –0.11 in July. None of the four broad categories of indicators that make up the index made a positive contribution in August.
The index’s three-month moving average, CFNAI-MA3, declined to –0.42 in August from –0.27 in July. August’s CFNAI-MA3 suggests that growth in national economic activity was below its historical trend. With regard to inflation, the amount of economic slack reflected in the CFNAI-MA3 suggests subdued inflationary pressure from economic activity over the coming year.
The Chicago Fed rather prizes its ability to pick the start and end of US recessions using its National Activity Index. When the three month moving average falls below -0.70 following a period of economic expansion there is an increasing likelihood that a recession has begun. Conversely, when the average value moves above -0.70 following a period of economic contraction, there is an increasing likelihood that a recession has ended.
It certainly worked in picking the recession of 2008-2009 and with a current moving average down to -0.42 it is heading towards dangerous territory again.