The full performance record of the Mīzān selection rule, applied mechanically to the US universe every April for nearly three decades, at its primary five-to-seven-name concentration. Every figure on this page is computed directly from the research dataset. Structural limitations are disclosed in full below — read them carefully before interpreting any number.
A high-level walk-through of the filter architecture. The order of operations and the philosophy behind each layer are disclosed below. The exact thresholds, weights, and regime triggers are proprietary — the standard disclosure boundary for a private quantitative system.
Concentrated 5–7 name configuration, 1996–2024. The aggregate behaviour of the rule across 29 holding years and 181 individual picks. Risk-adjusted decomposition follows in § 04; intra-year path in § 03; capacity treatment in § 09.
The same 29-year window viewed at three time-scales. Annual bars frame the year-on-year shape. The daily equity curve is a 7,301-day reconstruction with shares fixed at each April 1 and drift between rebalances — the same accounting the live portfolio uses. The drawdown panel below the curve is the path metric annual frequency reporting cannot show.
The S&P 500 is the global default benchmark for US-listed equity strategies; total return is used throughout (dividends reinvested) and the comparison window is identical to Mīzān's holding period — 1 April to 1 April of the following year.
Logarithmic scale. $10,000 hypothetically invested at the start of 1996, compounded according to each strategy's annual returns. The final Mīzān figure is theoretical — capacity constraints at scale are discussed below.
Logarithmic scale. NAV samples at month-end across the full 1996-04 – 2025-03 window for each of the three rule configurations, plus the S&P 500 (SPY) on the same $10,000 base. Daily NAV is reconstructed from each year's picks held with shares fixed (equal weight at entry, drift between April rebalances) — the identical mechanic the live Concentrated portfolio uses. CAGR over the full 7,301-day series: 70.20% Concentrated, 51.22% Broad-20, 41.37% Broad-40, 9.46% S&P 500.
Benchmark construction. Pre-1999-11 the S&P 500 line uses monthly price-only index closes from a contributed historical series, anchored to the same $10,000 base on 1996-04-01; from 1999-11-01 onwards it switches to SPY adjusted close (total return) at daily resolution, scaled at the bridge so the line is continuous. The pre-1999-11 cumulative therefore understates true total return by roughly the period's average dividend yield (≈2% per annum). All SPY-relative ratios reported in § 04 (β, α, IR, TE, captures) use only the 1999-11-01 → 2025-03-31 daily overlap (6,391 trading days), which is the window where both the strategy NAV reconstruction and SPY adjusted close are simultaneously available.
Drawdown at any point in time is the percentage decline from the running peak NAV. Read this as the answer to the question: “If I had bought into the strategy at its high water mark on day X, what is the worst paper loss I would have lived through before recovery?” Peak-to-trough worst on the daily series: −52.77% Concentrated, −50.06% Broad-20, −45.06% Broad-40 — all attained 2020-03-18 in the COVID shock. The S&P 500 line shows its own deepest drawdowns on the same axis: −50.8% in the 2007–2009 GFC and −33.7% in the 2020 COVID episode. Long curve uses month-end sampling with the February-to-May 2020 window resolved at daily granularity so the worst drawdown shows at its true depth.
The largest drawdown episode on file, plotted at daily resolution and indexed to peak NAV = 100. Twenty-seven calendar days from peak to trough (2020-02-20 → 2020-03-18); sixty-one to recovery on the Concentrated configuration. Annual reporting shows perf-year 2020 closed at +394.5% — an entirely different number from what the path of the year felt like.
Read across each row. The peak-to-recovery window on the left is the S&P 500's full underwater stretch — the time an SPY investor entering at the prior high had to wait to be made whole. The right side reports what Mīzān was doing over that same window: the deepest intra-window drawdown and the cumulative return from SPY's peak date to SPY's recovery date. Drawdown depth on the strategy side is real; what differs from the index is duration. SPY required 6.6 years to recover from the dot-com bear and 4.9 years from the GFC. Mīzān's longest single underwater stretch over the same 1999-11 → 2025-03 window is 304 days.
| Episode | S&P 500 | Mīzān Concentrated | |||
|---|---|---|---|---|---|
| Max DD | Days underwater | Peak → trough → recovery | Max DD in window | Return over SPY window | |
| Dot-com bear 2000-03-24 → 2006-10-25 |
−47.5% | 2,406 d (6.6 yr) | 929 d → 1,477 d | −22.5% | +3,954% |
| Global Financial Crisis 2007-10-09 → 2012-08-15 |
−55.2% | 1,772 d (4.9 yr) | 517 d → 1,255 d | −33.1% | +683% |
| COVID shock 2020-02-19 → 2020-08-07 |
−33.7% | 170 d (5.6 mo) | 33 d → 137 d | −52.8% | +46.4% |
| 2022 Inflation bear 2022-01-03 → 2023-12-12 |
−24.5% | 708 d (1.9 yr) | 282 d → 426 d | −18.7% | +225% |
How to read. “Days underwater” is calendar days from SPY's prior all-time-high to its first new all-time-high; “Peak → trough → recovery” splits that into descent and ascent halves. “Max DD in window” is the deepest peak-to-trough Mīzān suffered inside the SPY window, measured from a running peak that resets at window start. “Return over SPY window” is the cumulative Mīzān Concentrated NAV return from SPY's peak date to SPY's recovery date — what compounded while the index was rebuilding.
The COVID asymmetry. COVID is the one episode where Mīzān went deeper than SPY (−52.8% vs −33.7%); it is also the episode where Mīzān recovered first. Mīzān total episode 88 days against SPY's 170; Mīzān back to all-time-highs 2020-05-15 vs SPY 2020-08-07.
Cross-reference. Aggregate path-shape metrics (% days at peak, average drawdown depth, longest single stretch, Calmar) for the full 1999-11 → 2025-03 overlap are reported in the Drawdown profile tier of § 04.
Central tendency, extremes, dispersion, and risk-adjusted measures across 29 holding-period observations. Sortino, Information Ratio, alpha, and regression statistics computed at runtime from the published series.
A 7,301-day NAV reconstruction unlocks measurements that annual reporting cannot produce: peak-to-trough drawdown, time-to-recovery, and risk-adjusted ratios on the daily series. Equal-weight at entry, drift between April rebalances — the same accounting the live portfolio uses.
Daily-frequency SPY-relative measurements computed across the 25.4-year overlap window where both the strategy NAV and SPY adjusted close are available at daily resolution. SPY data ingested from Alpha Vantage TIME_SERIES_DAILY_ADJUSTED. Strategy returns computed from the daily reconstructed NAV; SPY returns from adjusted close (total return). All ratios annualised from daily log returns, rf = 3%. Three columns — Concentrated 5-7 · Broad-20 · Broad-40.
Aggregate path-shape across the 6,391-day daily overlap window. These ratios capture the experience of holding the strategy through time — not just point-to-point CAGR. Three columns — Concentrated 5-7 · Broad-20 · Broad-40 — with the SPY benchmark reading reported in each cell description. Max DD identical to the values shown in the daily-frequency reconstruction tier above.
Every Apr-1 entry → next Apr-1 exit, all 29 vintages on file. The portfolio is equal-weighted at entry and drifts between rebalances; vintage start dates use the first trading day on or after April 1. Mīzān Concentrated outperformed SPY in 27 of 29 years — the two underperforming vintages were 1998 (+18.4% vs SPY +28.6%) and 2021 (+25.7% vs SPY +28.7%). The single negative year was 2008 (−0.57%); every Recovery-mode vintage closed positive (worst +26.5%, see § 05). Mode classification is rule-based and proprietary; the behavioural profile of each mode is disclosed in § 05.
| Vintage | Picks | Mīzān return | SPY return | Excess |
|---|---|---|---|---|
| Apr-96 → Mar-97 | 5 | +30.71% | +23.00% | +7.7 |
| Apr-97 → Mar-98 | 5 | +100.08% | +33.40% | +66.7 |
| Apr-98 → Mar-99 | 7 | +18.36% | +28.60% | −10.2 |
| Apr-99 → Mar-00 | 7 | +40.92% | +21.00% | +19.9 |
| Apr-00 → Mar-01 | 5 | +97.42% | −9.10% | +106.5 |
| Apr-01 → Mar-02 | 5 | +97.66% | −11.90% | +109.6 |
| Apr-02 → Mar-03 | 5 | +26.48% | −22.10% | +48.6 |
| Apr-03 → Mar-04 | 5 | +101.76% | +28.70% | +73.1 |
| Apr-04 → Mar-05 | 7 | +71.52% | +10.90% | +60.6 |
| Apr-05 → Mar-06 | 7 | +124.13% | +4.90% | +119.2 |
| Apr-06 → Mar-07 | 7 | +43.95% | +15.80% | +28.2 |
| Apr-07 → Mar-08 | 7 | +110.72% | +5.50% | +105.2 |
| Apr-08 → Mar-09 | 7 | −0.57% | −37.00% | +36.4 |
| Apr-09 → Mar-10 | 5 | +131.23% | +26.50% | +104.7 |
| Apr-10 → Mar-11 | 7 | +139.93% | +15.10% | +124.8 |
| Apr-11 → Mar-12 | 7 | +10.03% | +2.10% | +7.9 |
| Apr-12 → Mar-13 | 7 | +24.55% | +16.00% | +8.6 |
| Apr-13 → Mar-14 | 7 | +59.19% | +32.40% | +26.8 |
| Apr-14 → Mar-15 | 7 | +60.22% | +13.70% | +46.5 |
| Apr-15 → Mar-16 | 7 | +10.63% | +1.40% | +9.2 |
| Apr-16 → Mar-17 | 5 | +63.74% | +12.00% | +51.7 |
| Apr-17 → Mar-18 | 7 | +47.62% | +21.80% | +25.8 |
| Apr-18 → Mar-19 | 7 | +77.30% | −4.40% | +81.7 |
| Apr-19 → Mar-20 | 5 | +52.70% | +31.50% | +21.2 |
| Apr-20 → Mar-21 | 5 | +394.50% | +18.40% | +376.1 |
| Apr-21 → Mar-22 | 7 | +25.72% | +28.70% | −3.0 |
| Apr-22 → Mar-23 | 7 | +59.72% | −18.10% | +77.8 |
| Apr-23 → Mar-24 | 5 | +357.82% | +26.30% | +331.5 |
| Apr-24 → Mar-25 | 7 | +57.78% | +25.00% | +32.8 |
How to read. Each row is a single Apr-1 to next-Apr-1 holding period. “Mīzān return” is the equal-weight Concentrated portfolio's total return; “SPY return” is the S&P 500 ETF's total return over the matched window (locked Apr-Apr series, source mizan_sp500_apr_apr). “Excess” is Mīzān return minus SPY return in percentage points. The two highlighted rows (2020 and 2023 vintages) are the post-COVID and post-Inflation Recovery deployments — these triple-digit prints concentrate roughly 60% of the 29-year terminal NAV.
Overlapping 3-year, 5-year, and 10-year holding periods anchored at every fiscal-year endpoint. Range expressed as best-window CAGR / worst-window CAGR. In this backtest, the worst 10-year stretch on the 29-year record (+48.8% CAGR) sat above SPY's best 10-year stretch (+16.6% CAGR) over the windows measured.
348 monthly observations across 1996-04 → 2025-03 (plus the live partial period through 2025-Q1). Cell color saturates at ±15%; deeper green = stronger month; deeper red = weaker month. Scan vertically for seasonal patterns, horizontally for vintage patterns — the 2020-04 (+49.9%) and 2024-02 (+36.2%) cells are the two strongest months on record; 2020-03 (−26.3%) and 2018-10 (−21.9%) the two weakest.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|
Computation. Calendar-month returns derived from end-of-month NAV samples on the daily reconstruction (mizan_strategy_daily_nav, strategy_id = 1). April 1996 is partial (inception 1996-04-01); March 2025 is the latest closed month. Color encoding is linear in monthly return, capped at ±15% saturation.
Mīzān applies different filters depending on whether the prior calendar year was a broad drawdown. Specifics are proprietary; the behavioural profile of each mode is disclosed below. Across the eleven Recovery vintages on file, every single one closed positive — the worst at +26.5%. The single negative year in the entire 1996–2024 record was a Normal-mode vintage (2008, −0.57%).
Deployed after market downturns. Emphasis on forward earnings momentum, filtered by balance-sheet strength. Thesis: earnings recoveries are systematically mispriced after crises.
Default mode. Emphasis on the gap between intrinsic value and market price, among quality-filtered names. Thesis: mispricing of future cash flows in calmer markets.
The same selection logic can be deployed at different portfolio sizes. Each variant was backtested over the identical 29-year window with identical rules and universe. The concentrated 5–7 name configuration is the primary subject of this research and the one the author runs with personal capital. Broader configurations are shown for completeness and to illustrate how the rule scales.
The live configuration. Highest absolute return. Single-name risk is real — the safety filter exists for this reason.
Shown to demonstrate that the rule's edge does not vanish with diversification.
Lowest single-name risk. The edge persists even at this breadth.
Across 181 individual one-year holdings, the aggregate hit-rate and return profile at the pick level — followed by the top and bottom ten.
Click any row to expand the individual names held for that 1 April to 1 April period and their realised returns.
The 70.30% theoretical CAGR is computed in a frictionless world. In the real one, capacity is governed by two readings of the cohort’s realised dollar volume at rebalance: the strict equal-weight reading (constrained by the marginal pick) and the cohort-aggregate reading (constrained by total cohort liquidity at the same participation rules). The first is the conservative ceiling; the second is the higher ceiling implied when position sizes are allowed to track per-name liquidity. Across all three configurations, the cohort-aggregate ceiling at moderate participation runs from $5B (Concentrated·7) to $57B (Broad-40). What follows is the era progression of the universe floor, the Year One cohort baselines for all three configurations, the portfolio-construction rules used to derive both readings, and the resulting capacity bands. These are research properties of the rule’s liquidity — not an offer or an invitation to deploy capital.
Mīzān’s minimum market-cap floor steps up by era to track the natural growth of the listed universe. These floors are part of the published methodology — the ranking and selection mechanics that follow them are not.
Era progression reflects the listed universe getting larger, not the rule getting permissive. A “mid-cap” in 2024 is structurally different from a “mid-cap” in 1996.
The capacity arithmetic begins from real cohorts. Concentrated (7 names) is the deployed Year One book (1 April 2025); Broad-20 and Broad-40 are the most-recent backtest cohorts (1 April 2024 vintage), with all ADVs measured against the same 60-day pre-deployment window (Jan–Mar 2025) so the three configurations sit on a single, internally consistent liquidity reading. Two numbers per cohort matter: the marginal pick (smallest-by-ADV name — binds equal-weight capacity) and the cohort-aggregate ADV (sum across all names — binds capacity under ADV-proportional sizing).
Reading note. The Concentrated cohort is the live deployed book; Broad-20 and Broad-40 are backtest cohorts shown here at face value. All ADVs are computed against the same Jan–Mar 2025 window so the comparison is liquidity-consistent rather than vintage-consistent — a deliberate choice to answer the “what would deployment look like today?” question. The two AKO dual-class ADR positions in Broad-40 (Embotelladora Andina, total $0.2M combined ADV) fall below a $5M ADV liquidity floor and are substituted with the next-eligible candidates in any deployed configuration; the 38-name reading reflects that substitution.
The bands below are not picked from the air. They apply three standard liquidity constraints to the marginal pick’s realised volume. A reader can verify the arithmetic against any name in the cohort.
Equal-weight ceiling · max position = participation% × marginal-pick ADV × build_days · AUM = max position × N
Cohort-aggregate ceiling · AUM = participation% × Σ ADV × build_days · positions sized proportional to per-name ADV
Strict equal-weight reading: every name carries the same dollar position, so the entire portfolio is constrained by the smallest-ADV pick. This is the conservative ceiling — the AUM at which the marginal pick still fits inside the participation cap without lifting price. Concentrated benefits at this ceiling because its rank cut sits high in the universe; the broader configurations carry a lower marginal-pick ADV and therefore a lower equal-weight ceiling per name, partially offset by holding more names.
Liquidity-proportional reading: each name is sized within its own ADV-times-build participation cap, with the equal-weight target as a soft anchor. The implied capacity is then bounded by the cohort-aggregate dollar liquidity at the same regime parameters. The numbers below illustrate the scaling property of the rule: as the rank cut widens from 7 to 40 names, cohort dollar liquidity grows from $4.9B to $54.3B per day, and capacity scales linearly with that.
Logarithmic horizontal scale spanning $100M to $100B. Solid bars are the equal-weight ceiling (constrained by marginal pick); hatched extensions reach the cohort-aggregate ceiling (constrained by total cohort dollar liquidity). The gap between the two is the additional liquidity capacity that ADV-proportional sizing implies.
Reading. The equal-weight bars cluster between $230M and $365M — that is the rule run at strict simplicity, where every name carries the same dollar weight and the smallest pick caps the whole portfolio. The hatched extensions show the additional headroom that opens when each name is sized within its own ADV-times-build cap, summing across the cohort. Concentrated gains roughly 17×; Broad-20 gains roughly 190×; Broad-40 gains roughly 156×. These are the liquidity ceilings the rule implies at each reading; they describe a research property of the cohort, not a product on offer.
The figures on this page are reproducible from the dataset described below. Any number that cannot be reconciled to this provenance should be challenged.
The honest limitations of any backtest. Reading these is a prerequisite to interpreting the numbers above.
No backtest, however carefully constructed, is a substitute for live results. The following are the material structural limitations of this one, as fairly as I can state them.