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Is it possible to use a CustomFactor to calculate alpha and beta for international markets?

I'm thinking if you pass to the CustomFactor close prices and market caps, you could construct a market cap-weighted benchmark's returns for the various international markets and use that to calculate the market beta (and alpha) of the various stocks in that market.

Does that seem like it would be possible (and not excruciatingly slow)? Or is there some simpler way of achieving this?