Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

0.0001

−0.0007

−0.0004

0.001

0.001

0.0011

0.0006

−0.0002

0.0005

−0.0028

−0.0029

t-stats

0.0663

−0.6113

−0.4248

1.2645

1.7732

1.8389

0.7111

−0.1942

0.359

−1.5398

−0.9123

ff3-alpha

−0.0002

−0.0008

−0.0008

0.0008

0.0008

0.001

0.0007

−0.0004

0.0009

−0.002

−0.0019

t-stats

−0.1063

−0.6954

−0.8685

1.0339

1.5594

1.8287

0.9351

−0.3452

0.7577

−1.1858

−0.5963