|
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
| excess return | −0.0011 | 0.0001 | 0.0007 | 0.001 | 0.001 | 0.0008 | 0.0014 | 0.0004 | −0.0007 | −0.0036 | −0.0025 |
| t-stats | −0.5445 | 0.0672 | 0.9209 | 1.2354 | 1.7661 | 1.2505 | 1.7145 | 0.375 | −0.5198 | −2.0502 | −0.699 |
| ff3-alpha | 0.0017 | 0.0021 | 0.0017 | 0.0012 | 0.0009 | 0.0002 | 0.0004 | −0.0006 | −0.002 | −0.0055 | −0.0072 |
| t-stats | 1.2343 | 1.8953 | 2.4151 | 1.6591 | 1.5078 | 0.2744 | 0.5387 | −0.7544 | −2.0271 | −4.0062 | −3.083 |