Given its striking empirical performance, we examine whether the Chen and Zhang (2010) model explains the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test portfolios, we find that fitted conditional expected return (fit) is always statistically significant in the presence of the Chen-Zhang factors. Moreover, when the fit is included in the analysis, the magnitude of the Chen-Zhang factors is consistently smaller and the fit drives out the significance of the Chen-Zhang factors. Our empirical results cast some doubt on the validity of Chen-Zhang model as a conditional benchmark for risk adjustment.