Information coefficients (ICs) of factors
| Factors | ICs in conventional equities | ICs in Islamic equities | |
|---|---|---|---|
| Momentum factors | Momentum 1-month | 0.502 | 0.508 |
| Momentum 3-month | 0.270 | 0.272 | |
| Momentum 6-month | 0.193 | 0.193 | |
| Momentum 9-month | 0.158 | 0.158 | |
| Momentum 12-month | 0.133 | 0.127 | |
| Value factors | Earnings/Price | 0.062 | 0.045 |
| Book/Market | 0.017 | 0.028 | |
| EBIT/EV | 0.044 | 0.044 | |
| EBITDA/EV | 0.042 | 0.041 | |
| FCF/EV | 0.011 | 0.014 | |
| Gross profits/EV | 0.039 | 0.035 | |
| Quality factors | ROE | −0.007 | 0.006 |
| ROA | 0.044 | 0.041 | |
| ROC | 0.014 | 0.014 | |
| Gross profits/TA | 0.064 | 0.047 | |
| Earnings quality | 0.021 | 0.013 | |
| Factors | ICs in conventional equities | ICs in Islamic equities | |
|---|---|---|---|
| Momentum factors | Momentum 1-month | 0.502 | 0.508 |
| Momentum 3-month | 0.270 | 0.272 | |
| Momentum 6-month | 0.193 | 0.193 | |
| Momentum 9-month | 0.158 | 0.158 | |
| Momentum 12-month | 0.133 | 0.127 | |
| Value factors | Earnings/Price | 0.062 | 0.045 |
| Book/Market | 0.017 | 0.028 | |
| EBIT/EV | 0.044 | 0.044 | |
| EBITDA/EV | 0.042 | 0.041 | |
| FCF/EV | 0.011 | 0.014 | |
| Gross profits/EV | 0.039 | 0.035 | |
| Quality factors | −0.007 | 0.006 | |
| 0.044 | 0.041 | ||
| 0.014 | 0.014 | ||
| Gross profits/TA | 0.064 | 0.047 | |
| Earnings quality | 0.021 | 0.013 | |
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