Subject: Re: ROE_Cash & YEY Blend
Another possibility is that our timescales have been too short to see that screens don't work all the time.
We intuitively know that. But, we don't know how long periods of underperformance might last.
If a screen "works" for 10 years, then doesn't work for four years, then works again for three years, is it broke?...

True enough.

e.g., YldEarnYear got absolutely pasted in the pandemic crash.
But someone with perfect foresight would have decided to pile in just then.
Starting April 2020 to end 2023 (3.75 years), the standard screen 10 deep monthly beat the S&P by 22.8%/year. (CAGR 41.4% vs 18.6%)
Without holding any of the magnificent seven, that's quite an accomplishment.

Even at 25 stocks deep it beat SPY by 19%/year.

Jim