Alpha vs R-squared
The results of the 3 models you constructed are in line with Fama and French's findings, with the 5-factor model being superior at explaining portfolio returns.
| Model | Adjusted R-Squared |
|---|---|
| CAPM | 0.7943 |
| Fama-French 3 Factor | 0.8194 |
| Fama-French 5 Factor | 0.8367 |
Without examining the regression intercepts directly, what do these results tell you about the alpha estimated by each model?
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Introduction to Portfolio Risk Management in Python
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