RJF ranks in 4th decile (universe), driven by Profitability (+0.94σ), Low Volatility (+0.64σ), Size (+0.41σ); held back by Liquidity (-0.58σ), Momentum (-0.34σ).
Sector median z-scores · 13 factors × 11 sectors
| Sector | Value | Quality | Profitability | Momentum | Size | Low Volatility | Growth | Yield | Investment | Earnings Quality | Leverage | Liquidity | Sentiment |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Basic Materials | -0.4 | — | -0.4 | -0.1 | 0.3 | 0.2 | — | — | — | 0.0 | — | -0.3 | — |
| Communication Services | -0.1 | — | -0.1 | -0.3 | -0.0 | 0.2 | — | — | — | 0.0 | — | -0.3 | — |
| Consumer Cyclical | -0.2 | — | -0.4 | -0.1 | 0.3 | 0.1 | — | — | — | 0.0 | — | 0.1 | — |
| Consumer Defensive | 0.0 | — | -0.5 | -0.4 | 0.4 | 0.4 | — | — | — | 0.0 | — | -0.0 | — |
| Energy | 0.1 | — | -0.5 | 0.1 | -0.2 | 0.0 | — | — | — | 0.1 | — | -0.2 | — |
| ▸ Financial Services | 0.4 | — | 0.5 | -0.2 | -0.0 | 0.6 | — | — | — | -0.0 | — | -0.6 | — |
| Healthcare | 0.1 | — | 0.3 | -0.2 | 0.2 | -0.0 | — | — | — | 0.0 | — | -0.4 | — |
| Industrials | -0.2 | — | -0.4 | -0.0 | -0.0 | 0.3 | — | — | — | 0.0 | — | -0.4 | — |
| Real Estate | 0.1 | — | 0.6 | -0.4 | 0.6 | 0.9 | — | — | — | 0.0 | — | -0.5 | — |
| Technology | -0.3 | — | 0.5 | -0.3 | -0.2 | -0.6 | — | — | — | 0.0 | — | 0.2 | — |
| Utilities | -1.5 | — | -0.1 | -0.1 | 0.3 | 1.2 | — | — | — | 0.1 | — | -0.4 | — |
Where this stock sits inside Financial Services
ML factor mining and alpha decay tracking
Lasso / elastic-net regression to surface non-canonical factors that augment the Barra-13 baseline (e.g. price-to-revisions skew, options-implied vol slope, alt-data sentiment).
Half-life of factor signals, computed from rolling IC (information coefficient) regressions. Highlights factors whose edge is fading.
Cumulative return of the long top-decile / short bottom-decile portfolio for each factor, with turnover and hit-rate stats.
The composite signal is a sector-conditional weighted sum of 13 factor z-scores (Value, Quality, Profitability, Momentum, Size, Low-Vol, Growth, Yield, Investment, Earnings Quality, Leverage, Liquidity, Sentiment). Raw signals are winsorised at ±3σ before normalisation. Decile assignments use NTILE(10) over both the universe and the symbol's sector.
Source: factor_scores · factor_composite_signals · us_mcap_1bn_universe. Refreshed weekly Saturday 04:00 UTC by /api/cron/factor-scores.