I am currently working on an industry specific time series analysis of European Equities between 201001 and 201812. I use the European Fama French factor returns (plus the momentum factor return) that have been provided by Kenneth French on his website. I set up in total 7 portfolios for my industry returns. 1 value weighted. 3 sorted by size and 3 sorted value, which are all equally weighted. I run the returns for the portfolios against the factors. in total I end up with 21 outputs, given I run all three types of models for the 7 different portfolios. Anyone an idea why the R2 are so low?
Whereas R2 is of course not the most interesting or relevant component of my or any FF model analysis, I do wonder why it is as low as I have found.