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 Asness— Infinite Loops
Created: 8/12/2026, 5:59:18 PM

My Notes

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