Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

0.0009

0.0009

0.0008

0.0018

0.002

0.0013

0.0002

−0.0005

−0.0022

−0.0053

−0.0061

t-stats

0.5195

0.7041

1.0247

1.7957

2.6327

1.863

0.3054

−0.4846

−1.7031

−2.3833

−1.7873

ff3-alpha

0.0005

0.0001

0.0004

0.0009

0.0015

0.0008

0.0001

−0.0004

−0.0009

−0.0029

−0.0034

t-stats

0.3217

0.0534

0.6308

1.0828

2.3654

1.1614

0.1413

−0.4893

−0.8308

−1.7139

−1.1766