Table 3.

Feature selection of factors

 Conventional equitiesIslamic equities
FactorsSequential feature selectionLASSOLASSO coefficientsSequential feature selectionLASSOLASSO coefficients
Momentum factorsMomentum 1-month✓✓6.235✓✓6.600
Momentum 3-month✓  ✓  
Momentum 6-month      
Momentum 9-month ✓0.002   
Momentum 12-month      
       
Value factorsEarnings/Price✓✓0.098 ✓0.076
Book/Market✓   ✓0.030
EBIT/EV ✓0.058✓✓0.035
EBITDA/EV✓  ✓  
FCF/EV      
Gross profits/EV✓  ✓✓0.013
       
Quality factorsROE      
ROA ✓0.167 ✓0.087
ROC✓  ✓  
Gross profits/TA✓✓0.068 ✓0.094
Earnings quality✓     
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