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'Shaughnessy

Evidence Quote

I just love our microcap strategy. But it's adjusted for liquidity... Because the index itself is dog [ __ ]

Source

Surviving the Meme Stock Bubble | Cliff AsnessInfinite Loops
Created: 8/12/2026, 5:59:18 PM

My Notes

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