Factor: factor_60-day momentum

Return: aret_01

Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess_ret

−0.0003

−0.0009

0.0007

0.0017

0.0010

0.0012

0.0012

0.0008

−0.0013

−0.0041

−0.0038

t-stats

−0.1611

−0.7215

0.6918

1.9877

1.6716

1.5455

1.3893

0.7854

−1.0452

−2.1855

−1.1126

ff3-alpha

−0.0003

−0.0009

0.0002

0.0015

0.0007

0.0008

0.0008

0.0008

−0.0007

−0.0029

−0.0026

t-stats

−0.1680

−0.7172

0.2319

1.8668

1.3379

1.0675

0.9635

0.7995

−0.5893

−1.6552

−0.7789