Quant verdict · May 19, 2026
Hold
Composite z
-0.23σ
Sector: -0.22σ
Decile · universe
D9
Decile · sector
D9
SRE ranks in 9th decile (universe), driven by Low Volatility (+1.05σ); held back by Value (-2.81σ), Liquidity (-0.83σ).
Bullish factors
10%
1 of 10
Bearish factors
20%
2 of 10
This stockSector medianOuter ring = +2σ • dashed mid = z = 0 • inner = −2σ
Factor decomposition
13 factors · z-scores vs universe and sector
| Factor | Category | Sub-signals | z (universe) | z (sector) | Percentile | Decile |
|---|---|---|---|---|---|---|
Value Cheap relative to fundamentals. Combines E/P, B/P, S/P, EBITDA/EV, FCF yield. | style | E/P (1/PE) · B/P (1/PB) · S/P (1/PS) · EBITDA/EV · FCF yield | -2.81σ | -1.28σ | 1 percentile (universe) | D10 |
Quality Profitable, durable franchises. ROE, ROA, ROIC, plus 5y margin stability. | style | ROE · ROA · ROIC · Gross margin σ (5y) | — | — | 0 percentile (universe) | D1 |
Profitability Margin level (gross / operating / net) and cash conversion. | style | Gross margin · Operating margin · Net margin · FCF / Sales | -0.32σ | -0.50σ | 39 percentile (universe) | D7 |
Momentum 12m-1m return (excluding short-term reversal), 6m and 3m return. | style | 12m-1m return · 6m return · 3m return | -0.01σ | +0.18σ | 64 percentile (universe) | D4 |
Size Log market cap. Sign-inverted: smaller-cap names earn a positive z. | style | Log market cap | -0.20σ | -0.59σ | 38 percentile (universe) | D7 |
Low Volatility 1y daily-return σ. Sign-inverted: lower realised vol earns a positive z. | risk | 1y daily-return σ · 3m daily-return σ | +1.05σ | +0.32σ | 91 percentile (universe) | D1 |
Yield Dividend + net buyback yield (total shareholder yield). | style | Dividend yield · Buyback yield · Total shareholder yield | — | — | 0 percentile (universe) | D1 |
Earnings Quality Accruals (NI − CFO) / assets, cash conversion (CFO / NI), Piotroski F. | risk | Accruals / Assets (inv) · CFO / NI · Piotroski F-score | +0.09σ | +0.21σ | 84 percentile (universe) | D2 |
Leverage D/E, D/EBITDA, interest coverage. Sign-inverted: lower leverage = positive z. | risk | Debt / Equity · Debt / EBITDA · Interest coverage | — | — | 0 percentile (universe) | D1 |
Liquidity Average daily $ volume / market cap, plus free-float proxy. | risk | ADV / mcap · Free-float % | -0.83σ | -0.89σ | 12 percentile (universe) | D9 |
Methodology
- Per-factor raw values are composed from sub-signals (e.g. Value = E/P + B/P + S/P + EBITDA/EV + FCF yield), winsorised at ±3σ, then z-scored across the universe and within sector.
- Decile 1 = top 10% of names (long candidate); decile 10 = bottom 10% (short candidate).
- Composite z = weighted sum of factor z-scores. Default is equal-weight; sector overlays bias toward the factors most predictive in that sector (e.g. Financials lean Quality + Yield + Earnings Quality, Tech leans Growth + Momentum + Profitability).
- Verdict thresholds: composite z ≥ +1.5σ = Strong Buy, ≥ +0.5σ = Buy, ±0.5σ = Hold, ≤ −0.5σ = Sell, ≤ −1.5σ = Strong Sell.
- Source:
factor_scores·factor_composite_signals· refreshed weekly Saturday 04:00 UTC.