According to a news release, the ML Alpha Surprise Model Index tracks the performance of a basket of stocks selected from the S&P 500 using the firm’s proprietary Alpha Surprise Model.
The ML Alpha Surprise Model Index has historically offered a higher level of return and a lower level of risk than the S&P 500. It has generated 11.4 percentage points annual total return since December 1999 vs. the S&P 500’s 1.2% over the same period, and the volatility of returns has been lower than that of the S&P 500.
The Alpha Surprise Model draws on the insights of Merrill Lynch’s U.S. fundamental equity research. There has been a general correlation between Merrill Lynch fundamental equity analysts’ out-of-consensus earnings estimates and future stock performance. Specifically, when Merrill Lynch equity analysts have forecasts that are significantly above the consensus estimates, these high conviction ideas have historically been predictive of above-market stock price performance.
More information is at www.ml.com .