It’s shocking how Nobel Prize winning economists have relied on what’s been proven to be naive assumptions. Harry Markowitz  assumed that good months (outperformance) would tend to be followed only by good months and bad months (underperformance) by bad months. Was Markowitz correct in making such an assumption? No, he was wrong. Good months are not just followed by good months. “Mr. Markowitz, sometimes good months are actually in reality followed by bad months too.”
The history of investing concerning the term ‘Value’ is subjective as it lost its statistical roots and acquired its current narrow fundamental definition. The divergence between different definitions of ‘Value’ is the reason why a generation of economists has missed the big picture failing to understand market behavior and consequently basing their models on incorrect assumptions. A wrong assumption could have been ignored if it was just any model. But, if the model forms the basis of Modern Portfolio Theory, the assumption cannot be ignored. Could Markowitz’s assumption be the reason his efficient portfolio does not work?
Apart from the good month assumption, historically, price behavior has been studied only as a single asset price series. Even great discoveries like reversion, diversion, duration, linear assumptions, random walk etc. have been studied and treated individually. As a result, group behavior was under researched leading to naïve assumptions. In 1990 Nobel Prize Winners Harry Markowitz wrote that good months would tend to be followed only by good months and bad months by bad months. Good months can be followed not only by good months but by bad months as well and this statement can only be understood if we consider ‘Value’ as a statistical idea before packaging it into its fundamental marketing box.
 Markowitz, H. M., Merton H. M., Sharpe W. F. The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1990.