This note preserves the original backtesting page as a portfolio post.
Hypothesis
Hold HKD 20,000 in each of the 50 Fidelity funds in the fund dataset. The portfolio is equal-weight, buy-and-hold, and assumes no fees. The simulation period is 2023-01-02 to 2025-11-25, with 100 Monte Carlo simulations and a fixed random seed of 42.
The benchmark is an MSCI World proxy with a 9.0% annual return assumption and 15.0% annual standard deviation. The risk-free rate is 4.5%, and USD/HKD is held at 7.8.
Portfolio Result
| Metric | Portfolio | Benchmark |
|---|---|---|
| Initial value | HKD 1,000,000 | HKD 1,000,000 |
| Final value | HKD 1,265,001 | HKD 1,297,144 |
| Net profit / loss | +HKD 265,001 | +HKD 297,144 |
| Total return | +26.50% | +29.71% |
| Annualised return | +8.15% | +9.06% |
| Volatility, annualised | 2.38% | 14.98% |
| Maximum drawdown | -1.58% | -19.89% |
| Sharpe ratio | 1.426 | 0.358 |
The portfolio produced a lower annualised return than the benchmark, so annualised alpha was -0.91%. The trade-off was much lower simulated volatility and drawdown because the equal-weight portfolio combines many funds with different risk profiles.
Confidence Range
The median portfolio path ended at HKD 1,265,001. Across the Monte Carlo runs, the 5th to 95th percentile final-value range was approximately HKD 1,171,068 to HKD 1,362,869.
Strongest Fund Contributors by Sharpe Ratio
| Fund | Annualised return | Volatility | Max drawdown | Sharpe |
|---|---|---|---|---|
| Japan Value Fund | 29.04% | 19.11% | -18.17% | 1.192 |
| Iberia Fund | 13.90% | 12.61% | -13.40% | 0.760 |
| Euro 50 Index Fund | 15.99% | 16.97% | -17.85% | 0.702 |
| Japan Equity ESG Fund | 17.24% | 18.92% | -20.04% | 0.692 |
| Global Dividend Fund | 12.11% | 12.46% | -15.26% | 0.635 |
Methodology
The backtest uses historical annualised return and volatility inputs from data/fund_metrics.json, then simulates daily price paths via Geometric Brownian Motion. Main portfolio path and metrics represent the median outcome across simulations. The source data was generated on 2026-05-11.
This is a modelled hypothesis, not a forecast. It does not include fees, taxes, FX slippage, transaction costs, fund liquidity, or behavioural rebalancing.