RT Journal Article SR Electronic T1 Betas, Benchmarks, and Beating the Market JF The Journal of Trading FD Institutional Investor Journals SP 44 OP 66 DO 10.3905/jot.2018.13.3.044 VO 13 IS 3 A1 Zura Kakushadze A1 Willie Yu YR 2018 UL https://pm-research.com/content/13/3/44.abstract AB 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