Goldman in, Microsoft out of BofA Alpha Surprise Portfolio
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BofA Securities is making more than 20 additions to its quantamental Alpha Surprise Portfolio, which continues to trail the market.
The portfolio's return was +2.4% for July, trailing the S&P 500 (SP500) (SPY) (IVV) (VOO) +3.1% and the S&P 500 Equal Weight (RSP) +3.4%.
The list is based on an Alpha Surprise score that "is a 25%/75% weighted combination of the decile scores from two proprietary models, our Dividend Discount Model (the value or 'alpha' portion of the model) and our BofA vs. Consensus Forecast Earnings Surprise Model (the growth or 'surprise' portion of the model)," strategist Savita Subramanian wrote in a note. "A decile rank of 1 is most attractive, and a decile rank of 10 is least attractive."
The portfolio "screens for inexpensive, out-of-consensus stock ideas using our fundamental analystsâ earnings estimates."
The portfolio is most overweight Communication Services (XLC), Consumer Discretionary (XLY) and Financials (XLF). It is most underweight Info Tech (XLK), Materials (XLB) and Energy (XLE).
Alphabet (GOOGL) is the stock longest in the portfolio at 70 months.
The additions, including their Alpha Surprise Score where 1 = most attractive:

Consolidated Edison (ED), 1.75
Hasbro (HAS), 1.75
Progressive (PGR), 1.75
Atmos Energy (ATO), 2
CME Group (CME), 2
Essex Property Trust (ESS), 2
Healthpeak Properties (PEAK), 2
Biogen (BIIB), 2.25
Goldman Sachs (NYSE:GS), 2.25
Intercontinental Exchange (ICE), 2.25
Universal Health (UHS), 2.25
Waste Management (WM), 2.25
W.R. Berkeley (WRB), 2.50
CoStar Group (CSGP), 2.50
Ecolab (ECL), 2.50
Fiserv (FI), 2.50
Hormel (HRL), 2.50
Royal Caribbean (RCL), 2.50
BorgWarner (BWA), 2.75
Juniper Networks (JNPR), 2.75
Molson Coors (TAP), 2.75

Deletions from the portfolio:

AES (AES)
Alaska Air (ALK)
CarMax (KMX)
Corteva (CTVA)
Excelon (EXC)
FMC (FMC)
General Dynamics (GD)
J&J (JNJ)
Microsoft (NASDAQ:MSFT)
Newmont (NEM)
Ralph Lauren (RL)
3M (MMM)
Garmin (GRMN)
NXP Semi (NXPI)

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