| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low | term |
ff3-alpha | −0.0031 | −0.0008 | −0.0009 | 0.0001 | 0.0017 | 0.0023 | 0.0023 | 0.0004 | −0.0003 | −0.0017 | 0.0014 | aret_12 |
t-stats | −2.5336 | −0.8004 | −1.1411 | 0.1992 | 2.642 | 3.4857 | 3.4694 | 0.5206 | −0.2194 | −1.0196 | 0.5889 | |
ff3-alpha | −0.0054 | −0.0014 | −0.0017 | 0.0014 | 0.0012 | 0.0018 | 0.0008 | 0.0009 | 0.0007 | 0.0018 | 0.0072 | aret_23 |
t-stats | −3.9625 | −1.5232 | −1.9975 | 1.8642 | 1.8607 | 3.0707 | 1.2401 | 1.0585 | 0.6197 | 0.9951 | 2.6801 | |
ff3-alpha | −0.0055 | −0.0022 | −0.0009 | −0.0003 | 0.001 | 0.0014 | 0.0019 | 0.0026 | 0.0008 | 0.0011 | 0.0067 | aret_34 |
t-stats | −3.5817 | −2.2372 | −1.0109 | −0.3887 | 1.3584 | 2.348 | 3.1915 | 3.0388 | 0.6345 | 0.6571 | 2.3337 | |
ff3-alpha | −0.0019 | −0.0006 | 0.0002 | −0.0002 | 0.0001 | −0.0005 | 0.001 | 0.001 | −0.0001 | 0.0009 | 0.0029 | aret_45 |
t-stats | −1.4089 | −0.4563 | 0.2905 | −0.226 | 0.1377 | −0.8658 | 1.4867 | 1.2044 | −0.0709 | 0.5327 | 1.0253 | |
ff3-alpha | −0.0022 | −0.0007 | 0.0003 | 0.0002 | −0.0002 | 0.0005 | −0.0002 | 0.0003 | 0.0006 | 0.0013 | 0.0035 | aret_56 |
t-stats | −1.4106 | −0.5161 | 0.2787 | 0.2227 | −0.2826 | 0.9603 | −0.2917 | 0.3601 | 0.6162 | 0.6828 | 1.1412 | |
ff3-alpha | −0.0034 | −0.0007 | 0.0003 | 0.001 | 0.0007 | 0.001 | 0.0006 | −0.0002 | 0.0003 | 0.0005 | 0.0039 | aret_67 |
t-stats | −2.9499 | −0.6035 | 0.3109 | 1.2182 | 0.9234 | 1.6281 | 0.9236 | −0.2438 | 0.3186 | 0.3022 | 1.6876 | |
ff3-alpha | −0.0005 | 0.0009 | 0.0013 | 0.0001 | −0.0004 | 0.0006 | −0.0005 | 0.0004 | −0.0009 | −0.0011 | −0.0006 | aret_78 |
t-stats | −0.3803 | 1.0012 | 1.4912 | 0.2358 | −0.5933 | 0.9164 | −0.6553 | 0.4188 | −0.9995 | −0.867 | −0.2766 | |
ff3-alpha | 0.0004 | 0.0021 | 0.0017 | 0.001 | −0.0005 | 0.0006 | −0.0004 | −0.0005 | −0.0019 | −0.0025 | −0.0028 | aret_89 |
t-stats | 0.2889 | 2.3732 | 1.4992 | 1.6278 | −0.7674 | 0.8751 | −0.6023 | −0.7945 | −2.1972 | −1.8123 | −1.1956 | |
ff3-alpha | 0.0003 | 0.0013 | 0.0011 | 0.0008 | 0.0006 | −0.0007 | 0.0003 | −0.0008 | −0.0008 | −0.0021 | −0.0024 | aret_910 |
t-stats | 0.2496 | 1.5003 | 1.0989 | 1.2115 | 0.8857 | −0.9489 | 0.3613 | −0.9483 | −0.6925 | −1.6363 | −1.1057 | |
ff3-alpha | 0.0008 | 0.0026 | 0.0015 | 0.0012 | 0.0016 | 0.0002 | −0.0004 | −0.0004 | −0.0032 | −0.0037 | −0.0044 | aret_1011 |
t-stats | 0.6299 | 2.5112 | 1.6315 | 1.7665 | 2.9328 | 0.3625 | −0.6848 | −0.5593 | −3.8729 | −2.6427 | −1.8577 | |
ff3-alpha | 0.0017 | 0.0015 | 0.0017 | −0.0003 | 0.0017 | −0.0003 | −0.0002 | −0.0007 | −0.0019 | −0.0033 | −0.0051 | aret_1112 |
t-stats | 1.3654 | 1.5911 | 2.45 | −0.4035 | 2.7191 | −0.3984 | −0.3514 | −0.725 | −1.9939 | −2.6897 | −2.2698 |