| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low | term |
ff3-alpha | −0.0024 | −0.0011 | −0.0011 | −0.0001 | −0.0004 | 0.0003 | 0.0012 | 0.0012 | 0.0023 | 0.0001 | 0.0024 | aret_12 |
t-stats | −1.2817 | −0.9521 | −1.347 | −0.1318 | −0.5268 | 0.4797 | 1.3355 | 1.4347 | 1.7577 | 0.0466 | 0.7283 | |
ff3-alpha | −0.0043 | −0.0027 | −0.0017 | 0 | −0.0007 | 0.0002 | 0.0015 | 0.0024 | 0.0021 | 0.0033 | 0.0075 | aret_23 |
t-stats | −2.478 | −2.471 | −2.5621 | −0.0024 | −1.1585 | 0.258 | 1.9812 | 2.7609 | 1.9324 | 1.9688 | 2.5081 | |
ff3-alpha | −0.0066 | −0.004 | −0.0013 | −0.0006 | 0.0004 | 0.001 | 0.0019 | 0.0024 | 0.003 | 0.0039 | 0.0105 | aret_34 |
t-stats | −3.637 | −3.5383 | −1.54 | −0.8514 | 0.7324 | 1.7471 | 2.4018 | 2.6391 | 2.2725 | 2.4081 | 3.3162 | |
ff3-alpha | −0.0037 | −0.0012 | −0.0004 | 0 | 0.0003 | 0.0012 | 0.0003 | 0.0005 | 0.0011 | 0.002 | 0.0057 | aret_45 |
t-stats | −2.3379 | −0.9133 | −0.5236 | −0.0363 | 0.3467 | 1.7971 | 0.513 | 0.5691 | 0.878 | 1.0124 | 1.8191 | |
ff3-alpha | −0.0033 | −0.002 | 0.0006 | −0.0002 | −0.0001 | 0.0004 | 0 | 0.0002 | 0.0001 | 0.0043 | 0.0076 | aret_56 |
t-stats | −2.1823 | −2.2155 | 0.6307 | −0.2683 | −0.1179 | 0.608 | −0.0208 | 0.232 | 0.0692 | 2.3584 | 2.5542 | |
ff3-alpha | −0.0033 | −0.0005 | −0.0016 | −0.001 | 0.0004 | 0.0004 | 0.001 | −0.0001 | 0.0009 | 0.0037 | 0.0071 | aret_67 |
t-stats | −2.4506 | −0.505 | −1.7561 | −1.6366 | 0.6339 | 0.719 | 1.6058 | −0.0763 | 0.7158 | 2.4337 | 2.6558 | |
ff3-alpha | −0.0032 | −0.0014 | −0.0017 | −0.0001 | 0.0001 | 0.001 | 0.0009 | 0.0008 | 0.0007 | 0.0027 | 0.0059 | aret_78 |
t-stats | −2.4561 | −1.5839 | −2.6056 | −0.0909 | 0.2522 | 1.644 | 1.63 | 1.1604 | 0.8587 | 1.7253 | 2.4194 | |
ff3-alpha | −0.0018 | −0.0001 | 0.0006 | −0.0002 | 0.0001 | 0.0003 | 0.0003 | −0.001 | 0 | 0.0018 | 0.0035 | aret_89 |
t-stats | −1.3344 | −0.1299 | 0.8749 | −0.2863 | 0.2159 | 0.3995 | 0.4308 | −1.2668 | −0.0141 | 1.1848 | 1.4027 | |
ff3-alpha | −0.0007 | 0.0003 | 0.0014 | 0.0003 | 0.0009 | −0.0003 | −0.0008 | −0.0002 | −0.0016 | 0.0006 | 0.0012 | aret_910 |
t-stats | −0.5551 | 0.3479 | 1.5005 | 0.5164 | 1.3632 | −0.5536 | −1.0285 | −0.2311 | −1.7302 | 0.4758 | 0.6131 | |
ff3-alpha | −0.0018 | 0.0012 | 0.0003 | 0.0001 | −0.0005 | −0.0023 | 0.0011 | −0.0006 | 0.0009 | 0.0016 | 0.0033 | aret_1011 |
t-stats | −1.4687 | 1.1115 | 0.3315 | 0.1827 | −0.914 | −3.8141 | 1.8215 | −0.7098 | 1.0449 | 1.2634 | 1.4933 | |
ff3-alpha | −0.0017 | −0.001 | 0.002 | 0.0008 | 0.0001 | −0.001 | 0.0004 | −0.0012 | 0.0004 | 0.0012 | 0.0029 | aret_1112 |
t-stats | −1.3704 | −1.0424 | 2.2812 | 1.2653 | 0.1842 | −1.6435 | 0.6541 | −1.5088 | 0.3497 | 0.9398 | 1.2843 |