Warren Buffett has famously said that he could generate 50% annual returns if he was working with small sums of money. (He cannot move the needle enough now with large amounts of capital). Perhaps two reasons could explain this, holding his skill level fixed, 1) there are just more smaller companies and therefore more opportunities available and 2) smaller companies are less closely covered and likely subject to mispricing. This all makes sense under a value investing assumption. Given his 50% claim, this sort of mispricing seems extreme.
Are there are any extreme inefficiencies (exploitable on the magnitude of 30%+ annual) using a quant trading viewpoint that are available to those with skill but small sums of money but closed to those with a lot of capital? What sort of examples are there? What is the evidence?