| 摘要 |
A method and system for dynamic, passive investment management involves selecting a number of clusters into which a plurality of selected assets are organized, investing in those clustered assets with a predefined weighting of assets within clusters and of the clusters themselves, periodically rebalancing the investments within each cluster and between the clusters, and periodically reconstituting the clusters, though not necessarily coincidentally with their rebalancing. The number of clusters is determined by the number of largest principal components sufficient to explain most of the variance of the sample covariance matrix of returns, leaving only little random variability. Correlation of asset returns within clusters is preferably comparatively high, while correlation of cluster returns is preferably comparatively low. |
