RT Journal Article SR Electronic T1 How Much Beta Is Just Right? Linking Investment Objective and Portfolio Choice JF The Journal of Investing FD Institutional Investor Journals SP joi.2019.1.084 DO 10.3905/joi.2019.1.084 A1 Alexander Rudin YR 2019 UL https://pm-research.com/content/early/2019/04/25/joi.2019.1.084.abstract AB Alpha forecasting for hedge funds is much less reliable than beta forecasting, which explains the proliferation of mostly risk-based portfolio construction processes for alternatives. When implementing those processes, investors are faced with certain strategic choices, including choosing the long-term level of market exposure, or beta, on the portfolio level. There is no universal guidance that drives that choice. That said, we have found that for a particular&—and quite popular&—form of the investment objective, one can develop such guidance, derive analytical expressions for the correct level of market exposure, and create a practical portfolio construction framework that directly links the investment objectives and portfolio choice.TOPICS: Real assets/alternative investments/private equity, portfolio construction, performance measurement