@article {Kakushadze44, author = {Zura Kakushadze and Willie Yu}, title = {Betas, Benchmarks, and Beating the Market}, volume = {13}, number = {3}, pages = {44--66}, year = {2018}, doi = {10.3905/jot.2018.13.3.044}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/13/3/44}, eprint = {https://jot.pm-research.com/content/13/3/44.full.pdf}, journal = {The Journal of Trading (Retired)} }