A benchmark should represent an investable, passive alternative that mimics the systematic risk (beta) of the portfolio, without including the active return (alpha). The manager's market loading (beta) is 0.79, meaning that 79% of the portfolio's systematic risk is equivalent to investing in the market index (S&P 500). To create a fully invested blended benchmark, the remaining 21% (which is $1 - 0.79 = 0.21$) should be allocated to the risk-free asset (T-bills). Alpha is excluded because it represents the manager's active value-add, not a component of the benchmark. Therefore, the benchmark equation is `$0.21`R_{\text{Tbill}} + 0.79R_{\text{SP500}}$.