Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

−0.002

−0.0015

0.0005

0.0005

0.0016

0.0023

0.0018

0.001

−0.0006

−0.0034

−0.0014

t-stats

−1.1514

−1.2594

0.5756

0.5565

2.23

3.3751

2.3344

1.0407

−0.4572

−1.4981

−0.3955

ff3-alpha

−0.0028

−0.0022

−0.0003

0

0.0012

0.0021

0.0017

0.0013

0.0004

−0.0012

0.0015

t-stats

−1.5001

−1.726

−0.4376

−0.029

1.7952

3.0038

2.2175

1.4774

0.3545

−0.6282

0.446