To the point below... two things to add. Screens like YEY developed that long ago have been through numerous changes in composition from their original setup just because of market evolution over all that time. MLPs. ETFs. Low-fee index funds. Growth/momentum over value or dividend yield. High volume trading/index arb. etc etc etc.

Which meant that with many of these screens, including YEY, especially on the SI / small cap side, we're really discussing psychology. A screen with month after month after month of drawdowns/going out of favor or 1 stock out of 3 or 5 blowing up and tanking the performance makes it very difficult for people to "stick with the screen". We all know how this goes - "when do we throw in the towel? Am I wrong?"

The 12 month opportunity cost of a screen losing (again) to the S&P500 is extremely difficult to just take, shrug and say "well the backtest is still good, so..."

As I get nearer to retirement, there's the standard advice to minimize "sequence of returns" risk. And looking back at it that's similar to what we faced with these screens. Some screen has a bad 6 month run in a good market and it's down 20 or 25% to the S&P. How hard to stay with it and believe that 10 years later it will have been worth it, vs cutting bait and going back to megacap tech to keep up? (the only thing that's easily "worked" for at least 11 years now.)