Calculating Alpha

Using 0.16% as my risk-free rate of return for March, I was able to calculate 18 months' worth of my excess returns. I found these by calculating my monthly rates of return (geometric returns for months in which I added money to my brokerage account) and then subtracting from those totals the rolling 3 month T-bill rate. I plotted the Dow Jones' excess returns against my own, and then took a linear regression to find the Security Characteristic Line. The y-intercept of that line is my portfolio's alpha. It's around 2.5%. So, 2.5% is the value of my active management. In an efficient market, the y-intercept should be at the origin, implying an alpha of zero. This is because in an efficient market, there is no value in active management. Everyone is perfectly rewarded for the amount of risk taken. Having a positive (or negative) alpha means that my portfolio is earning 2.5% in excess of what it should be, given my level of risk. I'm not sure what an industry average alpha looks like, but it should trend toward zero, if markets are efficient...