  The purpose of this paper is to test the time-invariance of the beta
coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model
is implied by the generalized arbitrage pricing theory (GAPT), which implies
constant beta coefficients. The AMF model utilizes a Groupwise Interpretable
Basis Selection (GIBS) algorithm to identify the relevant factors from among
all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5)
model. We show that for nearly all time periods with length less than 6 years,
the beta coefficients are time-invariant for the AMF model, but not for the FF5
model. This implies that the AMF model with a rolling window (such as 5 years)
is more consistent with realized asset returns than is the FF5 model.
