Joachim,
Great post. We wrote a paper in the JPM http://www.iijournals.com/doi/abs/10.3905/jpm.2012.39.1.112 that made this point as well. Sorting stocks on forward E/P actually underperforms the market, on average. And yet, nobody seems to pay attention, as most "value" based index methodologies include some form of forward looking price/fundamental. Crazy.