|
| CAPM | Fama four factor model | Self selected seven factor model | ||||||
| Pct | Sim | Act | Lik | Sim | Act | Lik | Sim | Act | Lik |
| 5 | −1.95 | −1.25 | 1 | −2.11 | −3.37 | 0 | −1.47 | −3.58 | 0 |
| 10 | −1.32 | −0.94 | 1 | −1.55 | −2.96 | 0 | −0.97 | −3.19 | 0 |
| 20 | −0.85 | −0.65 | 1 | −0.71 | −2.46 | 0 | −0.60 | −2.29 | 0 |
| 30 | −0.46 | −0.39 | 1 | 0.24 | −2.06 | 0 | −0.13 | −1.69 | 0 |
| 40 | −0.26 | −0.16 | 0.98 | 0.92 | −1.77 | 0 | 0.28 | −1.25 | 0 |
| 50 | −0.12 | 0.13 | 0.81 | 1.29 | −1.33 | 0 | 0.73 | −0.79 | 0 |
| 60 | 0.18 | 0.26 | 0.578 | 1.65 | −1.00 | 0 | 1.22 | −0.29 | 0 |
| 70 | 0.40 | 0.44 | 0.058 | 1.98 | −0.23 | 0 | 1.69 | 0.14 | 0 |
| 80 | 0.69 | 0.81 | 0.039 | 2.25 | 0.69 | 0 | 2.34 | 0.62 | 0 |
| 90 | 0.98 | 1.23 | 0.04 | 2.66 | 1.61 | 0 | 3.13 | 0.99 | 0 |
| 95 | 1.22 | 1.91 | 0.352 | 3.18 | 2.14 | 0 | 3.61 | 1.59 | 0 |