The Globe and Mail reports in its Thursday edition Roger Ibbotson has made a compelling argument for a strategy where the individual investor can beat the institution. Guest columnist Robert Tattersall writes Mr. Ibbotson co-authored a definitive study of rates of return on stocks, bonds, bills and inflation from 1926 to 1976. Now he heads Zebra Capital. He believes that a focus on illiquid, or thinly traded, stocks will provide even more value than small-cap or value stocks alone. His studies suggest that investors place such a high priority on liquidity (the ability to exit a position quickly and with low transaction costs), that they underprice illiquid securities, leading to higher rates of return. If you are truly a long-term investor, his point is "don't pay for liquidity you don't need." The reward for owning illiquid stocks is not confined to the small-cap sector, although that is where the greatest return advantage is seen -- approaching 7 per cent. The TSX Venture Exchange is heavily populated with small and microcap illiquid stocks. The Globe found half a dozen stocks on the TSX-V that are illiquid, microcap and appear to be value picks (based on a price-to-book ratio of less than one).