|
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low | term |
| ff3-alpha | 0.0027 | 0.0026 | 0.0033 | 0.0006 | 0.0014 | 0.0001 | −0.0007 | −0.001 | −0.0027 | −0.0062 | −0.0089 | aret_12 |
| t-stats | 1.6276 | 2.5539 | 4.33 | 0.9158 | 2.0286 | 0.1271 | −1.0737 | −1.1724 | −2.6029 | −4.6161 | −3.6704 | |
| ff3-alpha | 0.0026 | 0.0025 | 0.0022 | 0.0012 | −0.0001 | −0.0004 | −0.0003 | −0.0013 | −0.0021 | −0.0042 | −0.0068 | aret_23 |
| t-stats | 1.6562 | 2.9038 | 2.7124 | 1.9022 | −0.1711 | −0.5667 | −0.4983 | −1.8492 | −2.0112 | −2.6961 | −2.5333 | |
| ff3-alpha | 0.0037 | 0.0019 | 0.0027 | 0.0005 | −0.0001 | −0.0003 | −0.0009 | −0.0011 | −0.0024 | −0.0039 | −0.0076 | aret_34 |
| t-stats | 2.3902 | 2.237 | 3.8131 | 0.6565 | −0.2686 | −0.4281 | −1.4387 | −1.3512 | −2.8475 | −2.7374 | −3.0354 | |
| ff3-alpha | 0.0018 | 0.0016 | 0.0022 | 0.0001 | −0.0004 | −0.0007 | 0.0002 | −0.0003 | −0.0019 | −0.0026 | −0.0045 | aret_45 |
| t-stats | 1.2343 | 2.0016 | 2.4749 | 0.0679 | −0.7006 | −1.3168 | 0.2611 | −0.3271 | −1.731 | −1.6323 | −1.682 | |
| ff3-alpha | 0.002 | 0.0018 | 0.0012 | 0.0009 | −0.0005 | −0.0007 | −0.001 | −0.0005 | −0.0016 | −0.0016 | −0.0036 | aret_56 |
| t-stats | 1.2882 | 1.6654 | 1.6854 | 1.315 | −0.7639 | −0.8368 | −1.3299 | −0.5164 | −1.6189 | −1.0499 | −1.3821 | |
| ff3-alpha | 0.0036 | 0.0015 | 0.0009 | 0.0006 | −0.0001 | 0.0002 | −0.0007 | −0.0014 | −0.0028 | −0.0017 | −0.0053 | aret_67 |
| t-stats | 2.6315 | 1.7263 | 0.9732 | 0.8394 | −0.1132 | 0.2406 | −1.037 | −1.7948 | −2.9249 | −1.117 | −2.235 | |
| ff3-alpha | 0.0034 | 0.0009 | 0.0012 | 0.0009 | 0 | −0.0005 | −0.0006 | −0.0013 | −0.0023 | −0.0016 | −0.0051 | aret_78 |
| t-stats | 2.3124 | 0.9079 | 1.7898 | 1.6238 | −0.0489 | −0.9551 | −0.7581 | −1.8499 | −2.3364 | −1.0835 | −2.0274 | |
| ff3-alpha | 0.0024 | 0.0005 | 0.0012 | 0.0013 | −0.0007 | −0.0017 | 0.0001 | −0.0009 | −0.0014 | −0.0007 | −0.0031 | aret_89 |
| t-stats | 1.6034 | 0.5485 | 1.4923 | 1.544 | −1.1388 | −2.6044 | 0.1453 | −0.9971 | −1.42 | −0.4934 | −1.2461 | |
| ff3-alpha | 0.0021 | −0.0003 | 0.0011 | 0.0008 | −0.0004 | −0.0002 | −0.0012 | −0.0003 | −0.0009 | −0.0007 | −0.0028 | aret_910 |
| t-stats | 1.65 | −0.319 | 1.5006 | 0.9951 | −0.4815 | −0.3385 | −1.7674 | −0.4295 | −0.825 | −0.4258 | −1.1618 | |
| ff3-alpha | 0.0038 | 0.0008 | 0.0019 | 0.0014 | −0.001 | −0.0013 | −0.0008 | −0.002 | −0.001 | −0.0018 | −0.0055 | aret_1011 |
| t-stats | 2.9184 | 0.7767 | 2.2592 | 2.0003 | −1.5437 | −2.1142 | −1.0705 | −2.4507 | −1.0428 | −1.1272 | −2.2524 | |
| ff3-alpha | 0.0022 | 0.0002 | 0.0006 | 0.0004 | 0.0003 | −0.0004 | −0.0002 | −0.0012 | −0.0009 | −0.0008 | −0.003 | aret_1112 |
| t-stats | 1.401 | 0.1756 | 0.6387 | 0.4876 | 0.4514 | −0.6448 | −0.1953 | −1.6164 | −1.0322 | −0.5329 | −1.2019 |