Dimensional avoided an exact index-tracking strategy that would have left it little or no discretion over the content and timing of sales and purchases. Instead of being a customer, paying in order to trade, it successfully positioned itself as in effect a market maker, making money out of trading (Keim 1999; Cohen 2002). It encouraged other participants in the market for small stocks to offer it blocks of stock that they wanted to sell, so that it was able to buy at a discount rather than paying a premium.

Donald MacKenzie, An Engine, Not a Camera, loc. 443