two short questions:
If I download the five factor data from Kenneth French's website (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) and for example calculate the average of the SML-portfolio, I get an excess return and not only a return, right?
If I want to prove, that the CAPM is a weak model, I just put the factor portfolios in a figure, where I also put the CAPM-predicted Security Market Line. The Security Market Line goes from the risk free rate on the y-axis through the average market return at beta=1. For the factor portfolios I calculate their CAPM-Betas by doing a regression. But wat is their return? Is their return equal to their excess return oder do I have to add the risk free rate on top of the calculated average excess returns?