The β-Plus Measure in Asset Allocation

摘要

The explicit covariance matrix employed in the standard asset allocation process can also be used to develop an analytic beta measure of the portfolio's exposure to the equity market. While these allocation-level beta measures are typically not an element in the routine performance reports of U.S. pension and endowment funds, they would be an informative addition. There are powerful arguments for routine incorporation of beta measures in asset allocation studies as a separate component of risk specification.