Knowledge center · Validation & statistics
Information Coefficient (IC)
Rank correlation between the signal and what actually happened next.
Formula
IC = Spearman correlation( score_t , forward_return_{t→t+21} )
Interpretation
Measures whether higher scores actually preceded higher subsequent returns, using rank rather than raw values so outliers cannot dominate it.
What good looks like
Sustained |IC| above roughly 0.05 for a single name is considered meaningful in the factor-investing literature; above 0.10 is strong for any individual signal.
What bad looks like
IC near zero means the score carries no information about future returns; a consistently negative IC means the signal is backwards.
Typical range
-0.15 to +0.15 for most single-name equity signals; values near ±0.3 are rare and worth distrusting until re-checked out of sample.
How OmniSignal uses it
IC is the standard way quant desks grade a signal before ever trading it, because it isolates predictive skill from luck in any one period.
References
Grinold & Kahn, "Active Portfolio Management" (the IC/IR framework) · Spearman (1904), rank correlation
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