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As far as the "size" style is concerned, the paper doesn't disagree with you. On page 29, it says "There are two additional styles that readers may be familiar with that are not considered in our paper, namely size and illiquidity. The size style has not proven as robust as the four styles we...

That MDD is only for the Value style. What the paper recommends is to combine the 4 styles into 1 portfolio in order to benefit from diversification and the uncorrelated nature of the 4 styles. The portfolio that combines the 4 styles has a MDD of 18.5% (Table 6A).

Thanks for your response. I agree that the main work here involves collecting and then preparing the data for the back-test. The Python code shouldn't be too difficult to write. My problem is that I don't have the time or expertise to do either the data collection and preparation or writing the...

I did, but couldn't find any fund that replicates the strategy mentioned in the article. Do you know of one?

I just read this paper: https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/JOIM-Investing-With-Style.pdf from AQR. The article claims a 17.4% annual excess return with a Sharpe ratio of 1.69 and volatility of around 10%. I would like to hire someone to do the following: 1...