Subject: Re: YEY Failure Analysis
Seems like there are three main possibilities to explain these observations about screen performance:
- fooled by randomness
- post discovery or herd effect
- conditions at certain times favor a strategy and at other times they don't

I think it's a combination of all three. A screen may be fundamentally sound, but the random variability of returns over periods of one year or even five years, or more, is greater than what we tend to believe. And conditions may change, but you can only see such changes in hindsight, and they will not be predictive of the next change.

Elan