经济政策不确定性（EPU）与股票市场表现

Equity ResearchJune 3, 2025Aniket Shah, PhD * | Head of Sust. &(212) 323-3976 | ashah14@jefferies.comMahesh Kedia, CFA ^ | Quantitative Strategist852 3743 8057 | mahesh.kedia@jefferies.comCharles Boakye, CFA * | Sust. & Transition(212) 336-6649 | cboakye@jefferies.comMatthew Spring, CFA * | Sust. & Transition+1 (212) 738-5297 | mspring@jefferies.comCarina Elfving * | Sust. & Transition Strategy+1 (212) 336-7238 | celfving@jefferies.comYujin Kim * | Sust. & Transition Strategy+1 (212) 778-8314 | ykim4@jefferies.comLuke Sussams ‡ | Sust. & Transition44 (0)20 7548 4404 | lsussams@jefferies.comGrace Elshafei ‡ | Sust. & Transition Strategy+44 (0) 20 7029 8952 | gelshafei@jefferies.comJacqueline Murdock ‡ | Sust. & Transition+44 (0)20 7548 4165 | jmurdock@jefferies.comAna Zotovic § | Sust. & Transition Strategy+1 (416) 847 7399 | azotovic@jefferies.comSustained periods of high EPU (>2.5sdvs 5 yr avg) suggest investors shouldpositioncautiously,especially withGiven1M forward returns(SPX&MSCI DM) tend to rebound post EPUspikes of >2.5sd, specific & tacticalopportunities may exist for investorsMonitoringthe level of EPU,aswell as the absolute change shouldbean important risk managementtool for investors — however priceperformance was most pronouncedwhere spikes (+2sd) / falls(<1sd) were Transition StrategyStrategistStrategy AssociateAssociateAssociateStrategistAssociateStrategy AssociateAssociateInvestment Implications•respect to MSCI DM.•during these periods.•observed. change. Overall, declines in EPU and market performance scaled as expected (i.e. reduced EPUled to symmetric increased out-performance).EPU Level•Persistently high EPU —Periods of high EPU (i.e. >2.5sd vs 5yr avg) show the mostpronounced underperformance vs the market (-3% SPX, -3.8% MSCI DM). In these high-EPU environments, prior month performance (1M lag) is also poor, indicating a negativemomentum dynamic (table 2). Interestingly, forward returns (1M lead) in high-EPU periods arestrong (c. 2% out-performance) — this likely reflects relief/mean reversion in the market afterpeak uncertainty periods.•Declining levels of EPU— The strongest positive returns were associated with low (and falling)levels of EPU < -0.75 sd (vs its 5yr avg — table 2)Please see important disclosure information on pages 7 - 12 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Methodology•US EPU —We focused on US EPU, as our initial analysis showed changes in US EPU were morecorrelated with more pronounced MoM moves in MSCI DM and SPX (vs Global EPU).•Time Period— Our time period spanned August 1985 – April 2025•Returns Calculations— We analyzed average monthly returns for both MSCI DM and S&Pacross three windows;•Coincident (i.e. performance in the same month as an EPU change)•1-month lead (i.e. performance in the following month from an EPU change)•1-month lag (performance in 1 month after said EPU change)•Note that our analysis was focused on price return (as opposed to market volatility)•SPX & MSCI DM —We focused on impacts to SPX and MSCI DM•EPU Changes —We categorized monthly changes in EPU into 8 discrete buckets, based onstandard deviation of the move (vs a 5yr rolling average);•>+2.5 sd•+1.25sd — +2.5sd•+0.80 — +1.25 SD•0 — +0.75 SD•0.25 – 0 SD•-0.5 — -0.25 SD•-1 to — 0.5 SD•< -1 SD•Rolling 5 year Average:As the index does not mean revert, our analysis utilized local means(i.e. rolling averages) over a 5-year period.Key FindingsChanges in EPU from period to period•Spikes in EPU —Monthly market returns for both SPX (-3.6%) and MSCI DM (-3.3%) weresignificantly negative, vs average MoM performance of c.+1%, when EPU spiked >+2 standarddeviations (sd)•Declines in EPU —Sharp declines in EPU (i.e < -1sd) coincided with gains for SPX (+2.2%) andMSCI DM (+2.1%) vs average MoM performance of c. +1%•Changes >-1sd and <2sd —Mild EPU changes in either direction (>-0.25sd and <2sd) didn'tshow meaningful implications for market returns beyond the typical average MoM return ofc.1%•Timing— Per table 1, both SPX and MSCI DM tend to react in the month of the EPU changes. Thedata suggests limited evidence of the EPU as a consistent leading indicator of future marketperformance across SPX and MSCI DM.Please see important disclosure information on pages 7 - 12 of this report.This report is intended for Jefferies clients only. Unauthorized distribution is prohibited. Table 1 - Impact of US EPU index changes on MSCI DM and S&P 500 index - since 1985.Source: Jefferies, Factset, EPU IndexChanges in the Level of EPU across periods•Sustained levels of high EPU— Our analyses show that where EPU levels are > 2.5sd abovetheir 5yr average, coincident returns negative for both SPX (-2%) and MSCI DM (c.-3%). Periodsof sustained high uncertainty — which only occurred across 5% of the period observed — clearlyweighed heavily on markets.•Low levels of EPU— Low levels of EPU corresponded with periods of strong and consistentreturns for SPX an