Factor: factor_mom120

Return: aret_01

Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess_ret

−0.0022

−0.0004

0

0.0021

0.0020

0.0019

0.0008

0.0005

−0.0006

−0.0040

−0.0019

t-stats

−1.3134

−0.3494

−0.0039

2.7061

2.3885

2.3239

1.0430

0.5175

−0.3942

−1.8134

−0.5650

ff3-alpha

−0.0030

−0.0014

−0.0005

0.0016

0.0015

0.0016

0.0006

0.0009

0.0008

−0.0020

0.0010

t-stats

−1.7123

−1.0835

−0.5797

2.2282

2.0883

2.1136

0.7945

1.0741

0.5672

−1.0676

0.3092