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)