Port1

Port2

Port3

Port4

Port5

Port6

Port7

Port8

Port9

Port10

High-Low

excess return

0.0008

0.0003

0.0001

0.0009

0

0.0004

0.0007

0.0017

−0.0004

0.0001

−0.0006

t-stats

0.3512

0.1832

0.0633

1.066

−0.036

0.5342

0.8745

1.3404

−0.2746

0.0642

−0.1505

ff3-alpha

−0.0007

−0.0008

−0.001

0

−0.0005

0

0.001

0.0023

0.0006

0.0028

0.0035

t-stats

−0.3143

−0.638

−1.0228

−0.006

−0.852

−0.0303

1.2673

2.0188

0.4755

1.4784

0.9174