Factor: factor_anchor Return: aret_01 | |||||||||||
| Port1 | Port2 | Port3 | Port4 | Port5 | Port6 | Port7 | Port8 | Port9 | Port10 | High-Low |
excess_ret | 0.0046 | 0.0025 | 0.0013 | 0.0007 | −0.0004 | −0.0006 | −0.0008 | −0.0005 | −0.0022 | −0.0047 | −0.0093 |
t-stats | 1.6154 | 1.4354 | 1.0461 | 0.6170 | −0.5322 | −0.9910 | −0.8012 | −0.3493 | −1.1240 | −1.5309 | −1.6520 |
ff3-alpha | 0.0032 | 0.0014 | 0.0004 | −0.0001 | −0.0008 | −0.0009 | −0.0006 | 0.0004 | −0.0010 | −0.0020 | −0.0052 |
t-stats | 1.1226 | 0.8213 | 0.3847 | −0.0765 | −1.3301 | −1.3509 | −0.6730 | 0.3219 | −0.5369 | −0.7423 | −0.9762 |