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Probably not a surprise, but this also applies to value investing.

If you construct a perfect portfolio using god-like knowledge of a company's performance as measured by future free cashflow then you will also have drawdowns and down years.

Makes you think about how the market has mutated from its original purpose over time.

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And obviously you would have those years: unconstrained optimization for future free cashflow differs in general from any kind of optimization that introduce the constraint that you can't have down years.

(There are only a few instances where optimizing for two different things, eg maximum flow in a network and looking for the minimum cut, produces the same answer. And those cases are mathematically significant.)

I'm making the point that these two optimizations should be fairly similar, but they are not.

Perhaps similar, but not exactly the same. So with a bit of datamining, you should see arbitrary differences.

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