This backtest analyzes a diversified portfolio based on Occupational Retirement Schemes Ordinance (ORSO) relevant funds.
Allocation
The portfolio is constructed with the following target allocations:
| Fund | Asset Class | ISIN | Weight |
|---|---|---|---|
| Global Bond Fund | Fixed Income | LU0048388663 | 40% |
| World Fund | Equity | LU1084165304 | 30% |
| US Dollar Bond Fund | Fixed Income | LU0238200660 | 15% |
| European Multi Asset Income Fund | Multi-Asset | LU0052588471 | 10% |
| US Dollar Cash Fund | Cash | LU0346391453 | 5% |
Hypothesis
We simulate a portfolio starting with HKD 1,000,000. The strategy is a buy-and-hold approach with the specified weights. The simulation uses historical annualised return and volatility metrics from data/fund_metrics.json.
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%.
Portfolio Result
| Metric | Portfolio | Benchmark |
|---|---|---|
| Annualised return | +2.02% | +9.00% |
| Volatility, annualised | ~6.45%* | 15.00% |
| Sharpe ratio | -0.38 | 0.30 |
*Volatility is estimated using weighted averages and historical correlation assumptions.
The portfolio prioritizes capital preservation and diversification over aggressive growth, resulting in significantly lower volatility compared to the equity-only benchmark. The lower annualised return reflects the high allocation (60%) to fixed income and cash instruments in a conservative retirement planning context.
Fund Metrics Snapshot
| Fund | Expected Return | Risk (Std Dev) |
|---|---|---|
| Global Bond Fund | -2.50% | 4.19% |
| World Fund | 11.04% | 15.79% |
| US Dollar Bond Fund | -0.30% | 6.23% |
| European Multi Asset Income Fund | 1.27% | 10.65% |
| US Dollar Cash Fund | 4.18% | 0.51% |
Methodology
The backtest uses a weighted average of historical annualised return and volatility inputs. It assumes a correlation model where fixed income and equity provide diversification benefits. This is a modelled hypothesis for ORSO retirement planning and does not account for fees, taxes, or rebalancing costs.
Source data derived from data/fund_metrics.json updated on 2026-05-17.