Sinquefield did not believe that the small-firm effect that had inspired Dimensional Fund Advisors was a market inefficiency. "I'm sort of the Ayatollah of efficient markets," he jokes, "pretty hard line." (Sinquefield interview) If investing in small-capitalization stocks brought enhanced returns, it must be because it also brought greater risk, though exactly what that risk consisted in remained unclear, even when elaborated into the Fama-French model discussed above. "There's no free lunch here."

Donald MacKenzie, An Engine, Not a Camera, loc. 439