When constructing a blended benchmark to evaluate a portfolio manager's performance, the benchmark should match the systematic risk (beta) of the portfolio but exclude the alpha, as alpha represents the manager's active value added. The CAPM regression provides a market loading (beta) of $0.79. To replicate this risk profile using the S&P 500 and risk-free T-bills, the weight allocated to the market index must be `0.79$. Because benchmark weights must sum to $1`$, the remaining weight allocated to the risk-free asset is $1 - 0.79 = 0.21$. Thus, the benchmark return is calculated as `$0.21`R_{\text{Tbill}} + 0.79R_{\text{SP500}}$.