Economy & PolicyExtended setlive in productionNew

Epu Sector Rotation

Updated dailyData needs: lowlong onlyshort only

2016

Baker, S. R., Bloom, N., Davis, S. J. (2016). "Measuring Economic Policy Uncertainty." Quarterly Journal of Economics, 131(4), 1593-1636. Also Pastor & Veronesi 2013 JFE.

Read the paper →

In plain terms

EPU spike → short cyclicals, long defensives.

How it works

EPU spike rotates cross-section: cyclicals underperform defensives 50-100bps/mo.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Epu index
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: 50-100 bps/mo
Tested over: T+0 to T+60d

Pastor-Veronesi 2013: ERP rises 1.5% per SD EPU.

Example tickers where this is likely to fire

CAT DE NEE DUK KO

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Macro RegimeEconomy & Policy

Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.

Yield Curve Sector RotationEconomy & Policy

Steep curve → favor cyclicals (XLY/XLF/XLI); flattening → favor defensives (XLU/XLP/XLV).

Tpu Trade Policy UncertaintyEconomy & Policy

Tariff news spikes TPU; China-exposed semis underperform 1-2 months.

Explore Epu Sector Rotation on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 572 families