Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

−0.0003

0

0.0007

0.0018

0.0012

0.0006

0.0007

−0.0015

−0.0003

−0.0029

−0.0027

t-stats

−0.164

0.0301

0.7455

2.3702

2.27

0.8676

0.7921

−1.8

−0.2612

−1.509

−0.7944

ff3 alpha

−0.0005

−0.0001

0.0005

0.0013

0.0009

0.0004

0.0008

−0.0015

0.0001

−0.0018

−0.0013

t-stats

−0.3112

−0.0694

0.4893

1.9604

1.7711

0.6008

0.9187

−1.6993

0.0961

−1.0727

−0.4035