Erik S. Lesser
The BofA Quant Alpha Surprise portfolio for February saw more deletions than additions and is still biased towards defensive sectors.
The portfolio return was +4.6% in January, worse than the S&P 500 (SP500) (NYSEARCA: A SPY) +6.2% and the S&P 500 of equal weight (RSP) +7.6%.
The list is based on the Alpha Surprise score which is “a 25%/75% weighted combination of decile scores from two equity models, our Dividend Discount Model (the value or ‘alpha’ part of the model) and our BofA vs. Consensus Earnings Forecast Surprise Model (the growth models or ‘surprises’),” strategist Savita Subramanian wrote in a note. “Decile rank 1 is the most attractive, and decile rank 10 is the least attractive.”
The portfolio is most demanding for healthcare (XLV), utilities (XLU) and communications services (XLC). The weakest is Info Tech (XLK), Consumer Discretionary (XLY) and Energy (XLE).
Alphabet (GOOGL) is the longest held stock in the portfolio at 64 months.
Extras, including their Alpha Surprise Score where 1 = most attractive:
- The Progressive Corp (PGR), 1
- Cardinal Health (CAH), 1.5
- Coterra Energy (CTRA), 1.75
- Ameriprise Financial (AMP), 2
- General Motors (GM), 2
- Merck (MRK), 2
- Sempra Energy (SRE), 2
- Take-Two Interactive (TTWO), 2
- AmerisourceBergen (ABC), 2.25
- AvalonBay Community (AVB), 2.25
- Digital Realty Trust (DLR), 2.25
- Electronic Arts (EA), 2.25
- General Mills (GIS), 2.25
- United Rentals (URI), 2.25
- Medtronic (MDT), 2.5
- ZJN (ZJN), 2.5
- Chief financial officer (PFG), 2.5
- Willis Towers Watson (WTW), 2.5
- AES (AES), 2.75
- General Dynamics (GD), 2.75
Deletion from the portfolio:
- Boeing (BA)
- Bristol-Myers Squibb (BMY)
- CH Robinson Worldwide (CHRW)
- CMS energy (CMS)
- CoStar Group (CSGP)
- Danaher (DHR)
- EQT (EQT)
- Evergy (EVRG)
- F5 (FFIV)
- Fifth Third Bancorp (FITB)
- Fortinet (FTNT)
- Generac Holdings (GNRC)
- Halliburton (HAL)
- Huntington Bancshares (HBAN)
- JPMorgan Chase (JPM)
- L3Harris Technologies (LHX)
- M&T Bank (MTB)
- NVR (NVR)
- Northrop Grumman (NOC)
- Paccar (PCAR)
- ResMed (RMD)
- SCHW
- Southwest Airlines (LUV)
- Starbucks (SBUX)
- Wells Fargo (WFC)