关键词: 指数分层结构算法,区域资产分类,动态配置

Abstract: When performing a top-down asset allocation strategy, the selection of regional asset is a step that cannot be avoided, it has a huge impact on the performance of asset allocation. By making use of China’s 32 regional sector index and the data of the daily logarithm yield from 2009 to 2014, this paper firstly clusters the different regional assets with the improved index hierarchical structure algorithm, then it constructs dynamically two sets of asset portfolios, finally it conducts a comparative analysis with the result of the random asset portfolio. The findings indicate that the index hierarchical structure algorithm can well depict the correlation between the regional assets and the characteristics of the topological structure, the classified results obtained are stable. Whether the industrial factors can be controlled or not, the cross-regional asset portfolio dynamically constructed accordingly can soon reduce risks, which can not only provide effective guidance to the active asset management of the institutional investors, but also reveal more accurately the true level of risks of the market.

Key words: index hierarchical structure algorithm; regional asset classification; dynamic configuration