O'Shaughnessy ran a microcap strategy that adjusted for liquidity and was successful, distinguishing it from the index-level small cap effect because the strategy filtered for tradeable names and quality adjustments.
factualpending
Speaker
Jim O'ShaughnessyEvidence Quote
“I just love our microcap strategy. But it's adjusted for liquidity... Because the index itself is dog [ __ ]”
Created: 8/12/2026, 5:59:18 PM
My Notes
Loading notes...