<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="color: black; font-size: 10pt;"><span style="font-family: Times New Roman;">This paper uses portfolio filtering and weighting research to create a dog-free portfolio.<span style="mso-spacerun: yes;"> </span>The variables used to create the dog-free portfolio include level of unionization and book-to-market.<span style="mso-spacerun: yes;"> </span>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. </span></span></p>
