I've been following studies such as Kempf & Osthoff (2007) and Statman & Glushkov (2009) in building a methodology measuring ESG portfolio performance centred around the Carhart 4-Factor Model. I've been using factors from the Kenneth French database and regressing in Microsoft Excel to get my coefficients and p-values.
My understanding of the intercept term in the Model is that it is representative of the alpha, or excess return of the portfolio. However, when running these regressions on returns and factor data over a 5 year period, my alpha is statistically significant, but is miniscule, at -.40%, when the true return in excess of R(f) is much greater. As such, my primary question is how to interpret this alpha, and what is the reasoning behind its significant difference from the true return in excess of R(f)?
Find both above referenced studies below:
Edit: As I am running the regression on daily returns and factor datapoints, is the intercept indicative of daily alpha, in which case I should annualise returns for the yearly periods under investigation?