A great example of this was reported to me from a head of data science at a (UK) national newspaper. The business set a task of predicting subscriber numbers us

A great example of this was reported to me from a head of data science at a (UK) national newspaper. The business set a task of predicting subscriber numbers using online user behaviour from the previous month as features. But it turned out that most subscribers converted within three days of first hitting the site. The previous month of data was almost completely worthless. Like you say, the data just didn't contain the information that it 'should' have.