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A new do-it-yourself fund

James O'Shaughnessy, the author of the best-selling personal finance book "What Works on Wall Street," is rethinking what…

James O'Shaughnessy, the author of the best-selling personal finance book "What Works on Wall Street," is rethinking what works in the mutual fund business, and it ain't mutual funds.

In June, Mr. O'Shaughnessy sold his two mutual funds, which held a combined $250 million, to launch Manhattan-based

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