Collider bias: why momentum and value fight inside your screen
In the full universe of stocks, a name's momentum score and its value score are essentially uncorrelated. But among the stocks that pass your screen, which admits a stock if it has high momentum OR cheap valuation, the two scores show a clear negative correlation. A teammate wants to build a model that uses this negative relationship.
Explain why selecting on the screen manufactures a negative correlation between two independent variables, and why building on it is a mistake.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.