Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

term

ff3-alpha

0.0017

0.0027

0.0021

0.0013

0.001

−0.0007

−0.0009

0.0003

−0.0026

−0.005

−0.0067

aret_12

t-stats

1.1353

2.5983

3.0509

1.5326

1.4019

−0.9702

−1.3261

0.3469

−2.6651

−3.3958

−2.7512

ff3-alpha

0.002

0.0017

0.0016

0.0009

0.0013

−0.0005

−0.0011

−0.0007

−0.0015

−0.0036

−0.0057

aret_23

t-stats

1.4848

1.7112

1.8755

1.2937

2.2485

−0.8592

−1.4651

−0.8017

−1.5112

−2.283

−2.2386

ff3-alpha

0.0032

0.0022

0.002

0.0002

0.0003

−0.0007

−0.0012

−0.001

−0.0016

−0.0035

−0.0066

aret_34

t-stats

2.4157

2.3374

2.6907

0.2417

0.4743

−1.0493

−1.5826

−1.2383

−1.8137

−2.3172

−2.8754

ff3-alpha

0.0017

0.001

0.0016

0.001

−0.0014

0.001

−0.0006

−0.0005

−0.0013

−0.0025

−0.0042

aret_45

t-stats

1.1803

1.0564

2.1533

1.3879

−2.1255

1.6923

−0.8188

−0.6244

−1.2756

−1.4965

−1.666

ff3-alpha

0.0017

0.0016

0.0016

0.0001

0.0008

−0.0004

−0.0004

−0.0011

−0.002

−0.0018

−0.0035

aret_56

t-stats

1.1149

1.7153

2.2293

0.0953

1.1621

−0.604

−0.4857

−1.204

−2.0183

−1.1084

−1.329

ff3-alpha

0.0026

0.002

0.0013

0.0006

0

0.0008

−0.0008

−0.0004

−0.0036

−0.0025

−0.005

aret_67

t-stats

2.0182

2.5036

1.5202

0.7264

0.0278

1.3865

−1.014

−0.4451

−3.9856

−1.547

−2.3089

ff3-alpha

0.0025

0.0012

0.001

0.0009

0.0005

0.0004

−0.0009

−0.0014

−0.0012

−0.0031

−0.0056

aret_78

t-stats

1.8589

1.5338

1.3462

1.0534

0.6218

0.6597

−1.5381

−1.9352

−1.0839

−2.0774

−2.51

ff3-alpha

0.002

0.0012

0.0001

0.0014

−0.0002

−0.0002

−0.0006

−0.0007

−0.0011

−0.0018

−0.0038

aret_89

t-stats

1.2781

1.2721

0.1637

1.7147

−0.2573

−0.302

−0.9229

−0.9646

−1.1813

−1.3249

−1.6062

ff3-alpha

0.0005

0.0009

0.0008

0.0007

0.0007

0.0003

0

−0.0012

0.0001

−0.0029

−0.0033

aret_910

t-stats

0.3654

1.0774

0.9478

1.0647

1.2246

0.5145

−0.0069

−1.8325

0.1577

−1.9631

−1.5082

ff3-alpha

0.0028

0.0006

0.0009

0.002

0.0001

−0.0004

−0.001

−0.0008

−0.0019

−0.0024

−0.0052

aret_1011

t-stats

2.2773

0.6252

1.2216

2.5821

0.1274

−0.5042

−1.7892

−1.1611

−2.0126

−1.7023

−2.4462

ff3-alpha

0.0013

−0.0001

0.0011

0.0001

0.0002

0.0014

−0.0007

−0.0006

−0.0011

−0.0015

−0.0027

aret_1112

t-stats

0.9001

−0.1223

1.6429

0.0814

0.2554

2.0104

−0.9605

−0.7203

−1.2783

−1.0077

−1.185