I just want to add that James O'Shaughnessy has been doing well against his benchmarks with the three mutual funds he has available in Canada. If you go to the link below and click onMike wrote:It is my understanding that Jim started several mutual funds that implement his strategy. I don't think they have done 4 times as well as the S&P. The books are interesting though.
RBC O'Shaughnessy Canadian Equity, or Growth, or Value, you will see that he has done very well implementing his strategies.
http://makeashorterlink.com/?D58A138C9