Backtesting
Portfolio simulations and allocation hypotheses are kept as finance posts, so each test has its own permanent note and can evolve independently.
Fidelity vs Vanguard Portfolio Comparison
Equal-weight Fidelity fund portfolio (50+ funds) vs classic Vanguard 3-fund (VTI/VXUS/BND). Fidelity wins on both return (+7.03% vs +5.98%) and risk (1.67% vs 9.93% volatility).
Fidelity Return
7.03%
Vanguard Return
5.98%
Fidelity Volatility
1.67%
Vanguard Volatility
9.93%
MPF Americas vs Efficient Frontier
Compares HKD 300,000 in the Americas Equity Fund with the MPF efficient-frontier optimiser result.
Expected return
20.27%
Estimated risk
24.08%
Sharpe
0.655
Fidelity Fund Portfolio
The original Monte Carlo backtest: HKD 20,000 allocated to each Fidelity fund, compared with an MSCI World proxy.
Annualised return
8.15%
Volatility
2.38%
Sharpe
1.426
MPF Portfolio
A retirement allocation hypothesis using the MPF funds already tracked on the MPF page.
Expected return
1.86%
Estimated risk
7.90%
Sharpe
-0.334
ORSO Portfolio
A diversified retirement allocation hypothesis using the ORSO funds added to the dashboard.
Expected return
2.02%
Estimated risk
6.45%
Sharpe
-0.38
Vanguard Three-Fund Portfolio
A classic low-cost index portfolio strategy backtest.
Annualised Return
6.09%
Volatility
9.92%
Sharpe
N/A