Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

0.0048

0.0023

0.0013

0.0004

−0.0003

−0.0007

−0.0005

−0.001

−0.0014

−0.0045

−0.0093

t-stats

2.0113

1.2717

1.0938

0.3893

−0.5054

−1.0015

−0.6344

−0.7896

−0.7989

−1.4789

−1.7893

ff3-alpha

0.0032

0.0012

0.0003

−0.0002

−0.0008

−0.0011

−0.0004

−0.0002

−0.000

−0.0018

−0.0051

t-stats

1.3839

0.7104

0.2625

−0.205

−1.5304

−1.5164

−0.499

−0.1311

−0.0483

−0.701

−1.0682