Mean | SDev | CAPM-α | FF3-α |
Dirty Portfolio (26 stocks) | |||
0.5187 | 0.3534 | 0.368 | 0.3279 |
|
| (1.666) | (1.610) |
Clean Portfolio (26 stocks) | |||
0.3497 | 0.3033 | 0.2034 | 0.1635 |
|
| (1.131) | (1.093) |
Dirty-minus-Clean Portfolio | |||
0.1690 | 0.5760 | 0.1646 | 0.1643 |
|
| (1.348) | (1.319) |