Epu Shock Defensives Long
In plain terms
When the Economic Policy Uncertainty index spikes more than 1 standard deviation above its yearly average, investors rotate into defensive stocks (utilities, staples, gold). Go long the defensive basket for 1-3 months.
How it works
When the Baker-Bloom-Davis EPU index spikes (z > 1.0 vs trailing year), uncertainty-averse investors rotate from cyclical equities toward defensives. The defensive basket (utilities, consumer staples, gold proxies) outperforms by ~2-5% over 30-60 days post-shock.
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
- +2-5% over 30-60d
- Tested over
- T+1 to T+60d
+2-5% over 30-60d on defensive basket post-EPU spike (BBD 2016).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
EPU spike → short cyclicals, long defensives.
GPR spikes → long defense/oil/gold over 1-3 months.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore Epu Shock Defensives Long on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.