Fidelity Equal-Weight vs Efficient-Frontier Portfolio

This post compares two portfolio constructions using the Fidelity fund universe shown on the fund page.

Hypotheses

1. Equal-Weight Portfolio: Invest HKD 20,000 into each available Fidelity fund in the fund page universe (49 matched funds), long-only, buy-and-hold.
2. Efficient-Frontier Optimized Portfolio: Use the same total capital but allocate weights by a long-only maximum-Sharpe solution using annualised expected return and standard deviation inputs from data/fund_metrics.json.

Assumptions:

• Risk-free rate: 4.5% (same as the fund page chart).
• Expected return and risk are taken from the fund metrics dataset.
• Portfolio risk uses a simplified diagonal covariance assumption (no cross-fund correlation matrix available in the current dataset).

Comparison Result

Metric	Equal-Weight	Efficient-Frontier Optimized	Difference (Optimized - Equal)
Total capital	HKD 980,000	HKD 980,000	HKD 0
Expected annual return	8.96%	13.76%	+4.80%
Annual standard deviation risk	2.38%	3.10%	+0.72%

Interpretation

• The optimized portfolio is expected to deliver a higher return than equal-weight by about 4.80 percentage points per year.
• The trade-off is higher volatility by about 0.72 percentage points.
• In risk-adjusted terms, this is consistent with moving toward the higher Sharpe region indicated by the MPT chart.

Notes

This is a model-based comparison, not an investment recommendation. Realized outcomes can differ due to fees, taxes, transaction costs, liquidity constraints, and especially correlation dynamics that are not fully represented in this simplified setup.