|
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
| excess return | −0.0019 | −0.0011 | 0.0002 | 0.0012 | 0.0008 | 0.0024 | 0.0007 | 0.0009 | −0.0007 | −0.0024 | −0.0005 |
| t-stats | −1.2176 | −1.0292 | 0.2209 | 1.7473 | 1.1916 | 3.3639 | 0.9359 | 0.9588 | −0.6296 | −1.4301 | −0.1591 |
| ff3-alpha | −0.0027 | −0.002 | −0.0003 | 0.0008 | 0.0003 | 0.0025 | 0.0007 | 0.0014 | 0.0001 | −0.0007 | 0.002 |
| t-stats | −1.5855 | −1.7942 | −0.3553 | 1.243 | 0.6317 | 3.4561 | 0.9847 | 1.537 | 0.0678 | −0.428 | 0.6818 |