The Search For A Dog-Free Portfolio: Why Unions Matter To Investors

Abstract

This paper uses portfolio filtering and weighting research to create a dog-free portfolio. The variables used to create the dog-free portfolio include level of unionization and book-to-market. The filtered and weighted portfolio is averaging 47 basis points alpha per month from 1991-2007 over the benchmark S&P500, outperforming in 60.8% of the months. Using annual data, the portfolio averages 603 basis points alpha from 1991-2007 over the benchmark S&P500, outperforming 82.4% of the time.