| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
excess return | −0.0012 | −0.0005 | −0.0003 | 0.0015 | 0.0008 | 0.001 | 0.0014 | 0.0009 | 0.0001 | −0.0036 | −0.0024 |
t-stats | −0.5893 | −0.378 | −0.3095 | 2.2714 | 1.2824 | 1.2725 | 1.7815 | 0.8962 | 0.1116 | −1.8492 | −0.6845 |
ff3 alpha | −0.0008 | −0.0004 | −0.0005 | 0.0009 | 0.0006 | 0.0008 | 0.0011 | 0.0006 | 0.0003 | −0.0024 | −0.0015 |
t-stats | −0.4371 | −0.3473 | −0.5398 | 1.5956 | 1.0262 | 1.029 | 1.373 | 0.5749 | 0.221 | −1.3715 | −0.4521 |