| panel,block,model,variant,r2_own,t_own,sr_own,r2_dm_only,t_dm_only,sr_dm_only,scale_own,scale_dm_only |
| A,Capped value-weighted factors,OLS,As estimated,-0.0548673990549808,1.6113129485424924,1.066526979658622,-0.1941143963316349,2.0960695325038525,0.7112945615707039,, |
| A,Capped value-weighted factors,OLS,Real-time shrinkage,-0.0314766835714408,0.8164301879189035,1.51113156548373,-0.1386165517658799,1.3910360540711608,1.02221172629359,0.4208937737308712,0.6029681211760315 |
| A,Capped value-weighted factors,Elastic net,As estimated,-0.046079980506386,1.559203219201699,1.1121417484481988,-0.1736731336061447,2.078864162695836,0.7369128923762042,, |
| A,Capped value-weighted factors,Elastic net,Real-time shrinkage,-0.0231545954084255,0.90015555998665,1.5254763634293371,-0.1288873088939546,1.394196150046984,1.0352160569307736,0.44776023103403745,0.6101300571503061 |
| A,Capped value-weighted factors,GBRT,As estimated,-0.2122984610813505,3.6620083360546825,1.2647939675103477,-0.2327411663567424,3.792499323347472,1.125310703986442,, |
| A,Capped value-weighted factors,GBRT,Real-time shrinkage,-0.0193071269043221,2.0361127719155547,1.7049684583512148,-0.1314071613155665,2.5175083169820165,1.4757746702010808,0.4096851313326744,0.4810183394082286 |
| A,Capped value-weighted factors,Static portfolio,,,,1.47738070780835,,,,, |
| A,Capped value-weighted factors,Shrinkage-mean portfolio,,,,1.9054094460080924,,,,, |
| A,Equal-weighted factors,OLS,As estimated,0.1002388754347771,3.760983323354376,2.69398264453643,0.0756139117908172,4.122557773745856,2.2825847713211296,, |
| A,Equal-weighted factors,OLS,Real-time shrinkage,0.1202987781260933,3.675076875149516,3.319971809588805,0.0759180892106026,3.15880100886695,2.6212498366829404,0.5680370715219002,0.6520747657341259 |
| A,Equal-weighted factors,Elastic net,As estimated,0.1137809399546885,3.7885641025042913,2.762151166435063,0.1029442274473546,4.141341798605489,2.3149067043023,, |
| A,Equal-weighted factors,Elastic net,Real-time shrinkage,0.1275853471126575,3.778467970055469,3.3482052469510015,0.0958798396345272,3.221149760485627,2.6398398686070363,0.5860911750878779,0.6611725842195683 |
| A,Equal-weighted factors,GBRT,As estimated,-0.0200670557200632,4.336229201143619,3.076517725743278,-0.040711105229052,4.744371952064493,2.5069408580184516,, |
| A,Equal-weighted factors,GBRT,Real-time shrinkage,0.1254276120856601,4.313514729573859,3.648966328564106,0.0755066040531771,3.9213512327279823,2.905494415429001,0.5054524120585338,0.6346893551152928 |
| A,Equal-weighted factors,Static portfolio,,,,2.014432521424939,,,,, |
| A,Equal-weighted factors,Shrinkage-mean portfolio,,,,3.904429831509696,,,,, |
| B,From 1990,OLS,Without state variables,-0.0232263172365687,1.975531720523285,1.207207306495252,-0.2117669877551353,2.1563581893936448,0.785664729963064,, |
| B,From 1990,OLS,With state variables,-0.0880991184977197,1.4712795496512336,1.050805784304338,-0.2635123374043813,1.9992682583880736,0.6835957730516641,, |
| B,From 1990,Elastic net,Without state variables,-0.015518130326475,1.9380482597873496,1.25363951468833,-0.1913448010164797,2.132454141795174,0.8088362047687105,, |
| B,From 1990,Elastic net,With state variables,-0.0685437398618926,1.4669778203043355,1.107932960075359,-0.2336184025901522,1.9762716691259556,0.7153095824554793,, |
| B,From 1990,GBRT,Without state variables,-0.2078044866836492,3.2498797456900363,1.343907269554389,-0.3230719124496906,3.379630942575446,1.107848074071886,, |
| B,From 1990,GBRT,With state variables,-0.383268175281426,1.3737231713629172,0.8463304149001397,-1.0510339646973232,0.5772551450571803,0.4257122848347199,, |
| B,From 1990,Static portfolio,,,,1.440578249490179,,,,, |
| B,From 1990,Shrinkage-mean portfolio,,,,1.9858659007755513,,,,, |
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