7 Comments
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Michael Bennett's avatar

Really interesting article! Thank you!

P K's avatar

Thank you for this wonderful piece and for the book and substack recommendations!

John Schulz's avatar

Is there a fund that employs this strategy?

Market Sentiment's avatar

O'Shaughnessy has a fund that does custom indexing but not sure if it's open to the public - it has $7.5B in AUM

https://www.osam.com/

Russell Miller's avatar

Thank you for the good work you do. This is intriguing. On using his strategies, combine the Market Leaders and the P/E ratio one or use them separately? Again, you do a wonderful job!

Jyqhgbf's avatar

So what fund is “market leaders”?

Preston Yadegar's avatar

Interesting finding. So basically momentum (using size as a proxy) + value outperform the index.

Would be interesting to see how O’Shaughnessy handled rebalancing (i.e., at what frequency) and how much of an impact that would have on the results.