|
| CAPM | Fama four factor model | Self selected seven factor model | ||||||
| Pct | Sim | Act | Lik | Sim | Act | Lik | Sim | Act | Lik |
| 5 | −0.61 | −2.21 | 0.017 | −0.77 | −3.43 | 0.001 | −0.36 | −3.79 | 0 |
| 10 | −0.48 | −1.94 | 0 | −0.39 | −2.76 | 0 | 0.27 | −3.18 | 0 |
| 20 | −0.08 | −1.48 | 0 | 0.39 | −2.23 | 0 | 0.46 | −2.66 | 0 |
| 30 | 0.09 | −0.99 | 0 | 0.50 | −1.67 | 0 | 0.61 | −1.97 | 0 |
| 40 | 0.19 | −0.75 | 0 | 0.67 | −1.50 | 0 | 0.83 | −1.72 | 0 |
| 50 | 0.32 | −0.30 | 0 | 1.10 | −1.11 | 0 | 1.38 | −1.37 | 0 |
| 60 | 0.86 | −0.18 | 0 | 1.40 | −0.68 | 0 | 1.56 | −0.89 | 0 |
| 70 | 1.01 | −0.08 | 0 | 1.66 | −0.53 | 0 | 1.94 | −0.66 | 0 |
| 80 | 1.55 | 0.07 | 0 | 2.05 | −0.34 | 0 | 2.74 | −0.51 | 0 |
| 90 | 1.98 | 0.44 | 0 | 2.81 | 0.43 | 0 | 3.25 | −0.30 | 0 |
| 95 | 2.31 | 0.53 | 0 | 3.52 | 0.84 | 0 | 3.74 | 0.36 | 0 |