In the book O'Shaughnessy explicitly ignores the cost to buy and sell the stocks in the portfolio. He also ignores market impact, which is a significant issue as a fund grows. Market impact takes place when the buying and selling of shares for the fund cause changes in the market price of a stock. Most fund managers, especially hedge fund managers, keep their techniques secret. The motivation for this secrecy is the fear that a successful portfolio strategy will be widely used, which will reduce its profitability.
Markets are dynamic systems, that are constantly effected by the actions of the market players.
This is a level of complexity that is ignored by What Works on Wall Street . At the time James O'Shaughnessy wrote What Works on Wall Street he ran O'Shaughnessy Capital Management , which sold mutual funds. Since the techniques described by O'Shaughnessy cannot be used by the average investor, this leaves the suspicion that the What Works on Wall Street was a way of marketing O'Shaughnessy funds, which presumably used the quantitative techniques outlined in the book. After the first three chapters, each chapter in What Works on Wall Street consists largely of a few pages of commentary followed by several pages of tables and graphs. Most readers will read the short commentary, look at the graphs and skip the tables and bar charts.