Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

term

ff3-alpha

−0.0016

0.0006

0.0013

0.0002

0.0012

0.0012

0.0009

−0.0004

−0.0016

−0.0017

−0.0001

aret_12

t-stats

−1.1736

0.5686

1.4717

0.2909

1.6301

1.899

1.4857

−0.4474

−1.4898

−1.193

−0.0595

ff3-alpha

−0.0026

−0.0004

0.001

0.0014

0.0006

0.0005

0.0004

−0.0009

−0.0007

0.0008

0.0034

aret_23

t-stats

−1.9614

−0.4916

1.2242

1.709

0.9403

1.1999

0.5487

−1.1918

−0.6498

0.518

1.3447

ff3-alpha

−0.0021

−0.0007

0.0005

0.0014

0.0008

0.0006

0.0006

−0.0001

−0.0002

−0.0009

0.0012

aret_34

t-stats

−1.4272

−0.7162

0.604

2.1908

1.4381

1.1241

0.9443

−0.1201

−0.1814

−0.5624

0.4421

ff3-alpha

−0.0009

0.0013

0.0009

0.0002

0.0016

0.0001

−0.0002

−0.0021

−0.0001

−0.001

−0.0001

aret_45

t-stats

−0.6947

1.3251

1.1056

0.2882

2.463

0.2264

−0.3102

−2.5085

−0.0599

−0.6495

−0.0463

ff3-alpha

−0.0008

0.0016

0.0016

0.0019

0.0004

−0.0003

−0.0009

−0.0024

−0.0002

−0.0009

−0.0001

aret_56

t-stats

−0.6341

1.3573

1.9621

2.2368

0.6802

−0.5579

−1.0978

−2.5709

−0.1797

−0.6315

−0.0575

ff3-alpha

−0.0003

0.0008

0.0013

0.0016

0.0008

−0.0001

0.0002

−0.0004

−0.0018

−0.0021

−0.0018

aret_67

t-stats

−0.2033

0.8066

1.6426

2.5363

1.765

−0.1147

0.2845

−0.4812

−1.8746

−1.4257

−0.7652

ff3-alpha

0.0008

0.0018

0.0014

0.0011

0.0007

−0.0001

−0.0001

−0.0024

−0.0015

−0.0016

−0.0023

aret_78

t-stats

0.601

1.6733

1.9817

1.5791

0.9438

−0.1714

−0.1215

−3.3109

−1.8516

−1.2855

−1.0339

ff3-alpha

0.0004

0.0025

0.0015

0.0005

0.0008

−0.0004

−0.0005

−0.0015

−0.0015

−0.0017

−0.0022

aret_89

t-stats

0.3274

2.6485

2.1558

0.866

1.4446

−0.502

−0.9752

−1.9948

−1.6643

−1.3757

−0.9402

ff3-alpha

0

0.0014

0.001

0.0009

0.001

−0.0004

0

−0.0013

−0.0012

−0.0015

−0.0015

aret_910

t-stats

0.0296

1.5006

1.3324

1.4028

1.7404

−0.5794

−0.0267

−1.4956

−1.2719

−1.2455

−0.6833

ff3-alpha

0.0008

0.0008

0.0021

0.0017

0.0003

0.0013

−0.0006

−0.0015

−0.0024

−0.0024

−0.0032

aret_1011

t-stats

0.5708

0.7645

2.5082

2.3657

0.4204

1.703

−0.8229

−1.8511

−3.0048

−1.9699

−1.3859

ff3-alpha

0.0002

0.001

0.0011

0.0011

0.0011

−0.0002

−0.0007

−0.0005

−0.0011

−0.0021

−0.0023

aret_1112

t-stats

0.1499

0.8375

1.7407

1.6443

1.8178

−0.2454

−1.0556

−0.5502

−1.2188

−1.8107

−0.9724