Quant stock news sentiment measure keeps improving - BofA
NicolasMcComber
The BofA Securities quant gauge of stock-related news sentiment continued to improve in August in all regions and most global sectors.
Sentiment was up last month despite a weak Wall Street performance. The S&P (SP500) (NYSEARCA:SPY) (IVV) (VOO) fell 1.4% in August, with the Dow (DJI) (DIA) off 0.6% and the Nasdaq (COMP.IND) (QQQ) down 2.5%.
"The Global News Pulse has had a 79% correlation with global equities since 2004 based on backtesting, and historically when the Global News Pulse has been near current levels and rising (Nov-20 and Mar-12), the MSCI All Country World Index (URTH) averaged 13% in the next 12 months," quant strategist Nigel Topper wrote in a note. "By itself, the improving Global News Pulse has provided a persistently positive signal for equity market for eight months."
The NewsAlpha analysis uses Ravenpack's big data set that scans about 1 million news events per day.
The News Pulse improved in all regions, with Europe seeing the biggest jump. Utilities (XLU), Info Tech (XLK) and Consumer Discretionary (XLY) saw the biggest jump among global sectors.
"By news event type, the Earnings Estimates News Pulse improved the most, which is consistent with the improving Global Earnings Revision Ratio," Tupper said.
"Stocks with Positive News outperformed the stocks Negative News by +1.6% in August," he added. "Our analysis also shows adding news to various investment approaches tends to add to performance. For example, Growth stocks with Positive News outperformed the Growth stocks with Negative News by +6.6% last month."
BofA provided regional screens of stocks seeing positive and negative news.
"Based on ... backtesting results, we define Positive Significant News as stocks with a high Stock News Pulse (top quintile) and a positive one-month change in the Stock News Pulse. We define Negative Significant News as stocks with a low Stock News Pulse (bottom quintile) and a negative one-month change in the Stock News Pulse. All stock screens in this report are based on this measure of Positive Significant News or Negative Significant News. We list a maximum of 30 stocks in these screens, ranked by significance."
They stress that the screens "are not a recommended list either individually or as a group of stocks" and investors should do their own fundamental research. (Emphasis added.)
U.S. positive significant news screen

Synopsys (SNPS)
Workday (WDAY)
Lear (LEA)
Lennox International (LII)
Deckers (DECK)
Boston Scientific (BSX)
GE HealthCare (GEHC)
Steris (STE)
Assurant (AIZ)
Baker Hughes (BKR)
Erie Indemnity (ERIE)
Markel (MKL)
Everest Group (EG)
CyberArk Software (CYBR)
Oracle (ORCL)

US negative significant news screen

Darling Ingredients (DAR)
C.H. Robinson (CHRW)
Etsy (ETSY)
Ally Financial (ALLY)
Discover Financial (DFS)
Equinix (EQIX)
Eversource Energy (ES)
PG&E (PCG)
Keysight Tech (KEYS)
Zebra Tech (ZBRA)
FMC (FMC)
UGI (UGI)
Insulet (PODD)
Masimo (MASI)
Ceridian (CDAY)
Zoominfo (ZI)
Illumina (ILMN)
Halliburton (HAL)
Dick's (DKS)
Conagra Brands (CAG)
Southwest (LUV)
Estee Lauder (EL)
Solaredge (SEDG)
Monolithic Power (MPWR)
Qualcomm (QCOM)
Skyworks (SWKS)
Texas Instruments (TXN)
International Flavors & Fragrances (IFF)
HP Enterprise (HPE)
SBA (SBAC)


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