The method of periodic projections consists in iterating projections onto m closed convex subsets of a Hilbert space according to a periodic sweeping strategy. In the presence of m⩾3 sets, a long-standing question going back to the 1960s is whether the limit cycles obtained by such a process can be characterized as the minimizers of a certain functional. In this paper we answer this question in the negative. Projection algorithms for minimizing smooth convex functions over a product of convex sets are also discussed.