Amazon, Domino's among additions to BofA's Alpha Surprise screen

Jun. 03, 2022 7:10 AM ETAmazon.com, Inc. (AMZN), DPZGRMN, WTW, NCLH, XEL, VTR, TTWO, LUV, PSA, MPC, HLT, PEAK, FIS, DUK, D, DE, COP, CPB, BAX, AIZ, SP500, SPY, RSP, XLC, XLB, XLRE, XLI, XLE, XLP, GOOG, GOOGL, APD, HII, MAR, WRK, ABC, DLR, FLT, FMC, MCHP, SCHW, SEDG, AVB, CHTR, CSCO, RMD, SO, UDRBy: Kim Khan, SA News Editor1 Comment

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BofA's quantamental Alpha Surprise Portfolio saw an equal number of addition and deletions for May.

The portfolio return was +2.3% for the month, outperforming the S&P 500 (SP500) (SPY), which was flat, and the equal weight S&P 500 (RSP), +0.8% for the month.

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 is most overweight Communication Services (XLC), Materials (XLB) and Real Estate (XLRE). It is most underweight Industrials (XLI), Energy (XLE), and Consumer Staples (XLP).

Alphabet (GOOG) (GOOGL) remains the stock spending the longest time in the portfolio at 56 months.

The additions, including their Alpha Surprise Score where 1 = most attractive:

  1. Air Products & Chemicals (APD), 2
  2. Huntington Ingalls (HII), 2
  3. Marriott (MAR), 2
  4. WestRock (WRK), 2
  5. AmerisourceBergen (ABC), 2.25
  6. Digital Realty Trust (DLR), 2.25
  7. FleetCor (FLT), 2.25
  8. FMC (FMC), 2.25
  9. Microchip Technology (MCHP), 2.25
  10. Schwab (SCHW), 2.25
  11. SolarEdge (SEDG), 2.25
  12. Amazon (NASDAQ:AMZN), 2.5
  13. AvalonBay (AVB), 2.5
  14. Charter Communications (CHTR), 2.75
  15. Cisco Systems (CSCO), 2.75
  16. Domino's Pizza (NYSE:DPZ), 2.75
  17. ResMed (RMD), 2.75
  18. Southern Company (SO), 2.75
  19. UDR (UDR), 2.75

The deletions from the portfolio:

  1. Assurant (AIZ)
  2. Baxter International (BAX)
  3. Campbell Soup (CPB)
  4. ConocoPhillips (COP)
  5. Deere (DE)
  6. Dominion Energy (D)
  7. Duke Energy (DUK)
  8. Fidelity National Information Services (FIS)
  9. Healthpeak Properties (PEAK)
  10. Hilton Worldwide (HLT)
  11. Marathon Petroleum (MPC)
  12. Public Storage (PSA)
  13. Southwest Airlines (LUV)
  14. Take-Two Interactive (TTWO)
  15. Ventas (VTR)
  16. Xcel Energy (XEL)
  17. Norwegian Cruise (NCLH)
  18. Willis Towers Watson (WTW)
  19. Garmin (GRMN)

See the previous moves in the Alpha Surprise portfolio.

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