Port1

Port2

Port3

Port4

Port5

High-Low

alpha

DeltaVaR < 0

0.0182

0.0218

0.0205

0.0213

0.0171

−0.0039

−0.0016

(−1.1998)

(−0.4207)

DeltaVaR = 0

0.0181

0.0198

0.0206

0.0222

0.0195

−0.0009

0.0014

(−0.2890)

(0.3678)

DeltaVaR > 0

0.0178

0.0215

0.0167

0.0167

0.0159

−0.0019

0.0008

(−0.4556)

(0.1769)