Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

−0.0003

−0.001

0.0006

0

0.0013

0.0018

0.0005

0.0002

−0.0002

−0.0028

−0.0026

t-stats

−0.1524

−0.7595

0.6879

−0.0286

1.9431

2.2784

0.6276

0.1726

−0.1479

−1.7618

−0.8481

ff3-alpha

−0.0004

−0.0011

0.0004

−0.0002

0.0011

0.0015

0.0007

0.0001

0

−0.0021

−0.0017

t-stats

−0.2107

−0.8744

0.5072

−0.3955

1.7815

1.936

0.8283

0.0867

0.0428

−1.3779

−0.5833