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Betas, Benchmarks, and Beating the Market

Zura Kakushadze & Willie Yu

The Journal of Trading2018https://doi.org/10.3905/jot.2018.13.3.044article
ABDC C
Weight
0.26

What the paper says

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. <b>TOPICS:</b>Factor-based models, portfolio construction, statistical methods

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https://doi.org/https://doi.org/10.3905/jot.2018.13.3.044

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@article{zura2018,
  title        = {{Betas, Benchmarks, and Beating the Market}},
  author       = {Zura Kakushadze & Willie Yu},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.2018.13.3.044},
}

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.