2025-06-03-Jefferies-经济政策不确定性（EPU）与股票市场表现_12页_579kb

Summary of Economic Policy Uncertainty (EPU) and Equity Investment Implications Report

This report analyzes the relationship between Economic Policy Uncertainty (EPU) and equity market performance, based on data from August 1985 to April 2025. Key findings indicate that EPU acts as a coincident indicator, influencing market returns immediately. A methodology using standard deviation changes relative to a five-year rolling average shows that:

• Spikes in EPU: Changes greater than +2 standard deviations in EPU lead to significant underperformance in markets like the S&P 500 and MSCI DM, with average monthly returns dropping by approximately 4.5% compared to the typical 1% average.
• Declines in EPU: Sharp drops (below -1sd) are associated with strong positive returns, exceeding average monthly performance by around 1-2%.
• Trends and Characteristics: EPU has a persistent upward drift since the early 1990s, driven by factors like increased news sources and major crises. The distribution is right-skewed, with more frequent uncertainty spikes than declines.
• Market Dynamics: Persistent high EPU (above 2.5sd) results in negative momentum, but forward returns can rebound strongly due to mean reversion. EPU levels correlate with sector-specific performance, where growth sectors outperform in declining EPU periods, and defensive sectors during spikes.
• Recommendations: Investors should monitor EPU levels and changes for tactical opportunities, focusing on declining EPU for positive returns. EPU is a valuable tool for risk management, particularly in volatility-prone environments.