Your rate of return on an investment is the earnings (of a stock, say) divided by the price you paid. If lots of people get into the market, this drives up prices, thus diminishing future returns. Basically, the earnings yield of a stock is the reciprocal of the P/E. During periods of euphoria, the P/E gets bid way up, so the yield goes down.
A classic example is Legg Mason. That fund beat the S&P 500 for something like 15 years straight, but the only people who made money were the ones who bought that fund very early on. Ditto for anything you might have bought during latter part of the 90s.