|
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
| excess return | −0.0009 | −0.0014 | 0.0003 | 0.0013 | 0.001 | 0.0014 | 0.0006 | −0.0001 | 0.0003 | −0.0024 | −0.0015 |
| t-stats | −0.578 | −1.1583 | 0.3076 | 1.672 | 1.3019 | 1.8753 | 0.8368 | −0.1479 | 0.2613 | −1.1406 | −0.4569 |
| ff3-alpha | −0.0017 | −0.002 | −0.0003 | 0.0007 | 0.0006 | 0.001 | 0.0007 | 0.0002 | 0.0015 | −0.0005 | 0.0012 |
| t-stats | −1.0205 | −1.8514 | −0.3075 | 1.0938 | 0.8619 | 1.5668 | 0.8956 | 0.2255 | 1.2518 | −0.2906 | 0.3942 |