%0 Journal Article %A Zura Kakushadze %A Willie Yu %T Betas, Benchmarks, and Beating the Market %D 2018 %R 10.3905/jot.2018.13.3.044 %J The Journal of Trading %P 44-66 %V 13 %N 3 %X This article provides an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations. Instead, the authors use a multifactor risk model (which uses multilevel industry classification or clustering) specifically tailored to long-only benchmark portfolios to compute their weights, which are explicitly positive in the construction.TOPICS: Factor-based models, portfolio construction, statistical methods %U https://jot.pm-research.com/content/iijtrade/13/3/44.full.pdf