Guru investor Joel Greenblatt—Columbia University professor and co-founder of Gotham Asset Management–has consistently made a strong case for value investing and created a series of hedge funds and mutual funds that would go long cheap stocks and short expensive stocks. However, in a recent interview with Barron’s, Greenblatt explains how underperformance and investor frustration led his firm to launch an index fund (Gotham Index Plus), which has been outperforming the S&P 500.

The reason? Investors don’t adhere to investment styles that underperform. “While value investing works over the long term, and in the vast majority of cases within two or three years, people’s time horizons are shrinking, and they keep chasing returns. They generally don’t know how to evaluate stocks.” While Greenblatt is not forfeiting his cornerstone value methodology, the new index fund allows his firm to use stock-picking expertise and “add that to the base S&P 500 index.”

Currently, Greenblatt argues, “the market is 12% to 13% more expensive than it has been traditionally.” However, he argues, even if the market were to drop by those same percentages in the near term, “we’re still expecting positive returns, just more muted. The intelligent strategy is to buy the cheapest things you can find and short the most expensive.”  He emphasizes that value investing “works like clockwork, but sometimes your clock has to be very slow.”