PT - JOURNAL ARTICLE AU - Alexander Rudin TI - How Much Beta Is Just Right? <em>Linking Investment Objective and Portfolio Choice</em> AID - 10.3905/joi.2019.1.084 DP - 2019 May 31 TA - The Journal of Investing PG - 67--74 VI - 28 IP - 4 4099 - https://pm-research.com/content/28/4/67.short 4100 - https://pm-research.com/content/28/4/67.full 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, the authors 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