CFNAI the most underrated indicator according to ishares

According to the ishares blog, the Chicago Fed National Activity Index (CFNAI) was recently named the most underrated index for measuring the US economy's health.  I wholeheartedly agree.  I co-ran this beauty when I worked at the Fed in 2008-2009 and automated its graphing in Matlab.  If you look back in the archives from around then, you'll see that the CFNAI actually suggested the recession began about 11 months before the BEA actually called it.  It was still about 2 months late, but not bad at all for an index that uses 3-month smoothing. The CFNAI is a principal-components index based on Stock & Watson (1999), first implemented by Charles Evans and Jonas Fisher, and maintained by Scott Brave.  You can read the latest background whitepaper here. One project I'd love to collaborate with someone on would be creating some kind of up-to-the-minute now-cast of this index.  If you're interested, contact me.