TY - JOUR T1 - Betas, Benchmarks, and Beating the Market JF - The Journal of Trading SP - 44 LP - 66 DO - 10.3905/jot.2018.13.3.044 VL - 13 IS - 3 AU - Zura Kakushadze AU - Willie Yu Y1 - 2018/07/31 UR - https://pm-research.com/content/13/3/44.abstract N2 - 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 ER -