| Portfolio | α | β | R2 | p-value |
| SL | 0.003 | 0.003 | 0.000 | 0.924 |
| SM | −0.002 | 0.232 | 0.364 | 0.000 |
| SH | −0.005 | 0.159 | 0.200 | 0.000 |
| BL | 0.002 | 0.435 | 0.708 | 0.000 |
| BM | −0.003 | 0.440 | 0.576 | 0.000 |
| BH | −0.004 | 0.448 | 0.505 | 0.000 |