Let's share some peer-reviewed academic research about asset pricing and how it relates to portfolio construction. What does your portfolio look like? Do you buy low-cost index funds or are you investing in factors like value and momentum or something else?

I'll begin by highlighting some research about momentum.

Intermediate-term momentum (6-12 months) works:
>Jegadeesh, N., and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, 48, pp. 65-91.

Short-term momentum (1-month) does not work:
>Lehman, B. N., 1990, Fads, Martingales, and Market Efficiency, The Quarterly Journal of Economics, 105, pp. 1-28.
>Jegadeesh, N., 1990, Evidence of Predictable Behavior of Security Returns, The Journal of Finance, 45, pp. 881-898.

Long-term momentum (3 to 5 years) does not work:
>DeBondt, W. F., and R. Thaler, 1985, Does the Stock Market Overreact?, The Journal of Finance, 40, pp. 793-805.

A smoother return path leads to larger returns:
>Da, Z., U. G. Gurun, and M. Warachka, 2014, Frog in the Pan: Continuous Information and Momentum, Review of Financial Studies, pp. 1-48.

Seasonality matters for momentum:
>Sias, R., 2007, Causes and Seasonality of Momentum Profits, Financial Analyst Journal, 63, pp. 48-54.

Eugene Fama, the 2014 co-recipient of the Nobel Prize in Economics and father of the
efficient market hypothesis, has summarized the academic research on momentum as follows:
>The premier anomaly is momentum.

Financial data:
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

About diversification:
https://icfs.com/financial-knowledge-center/systematic-and-unsystematic-risk

Combining strategies with low correlation is good, e.g. value and momentum:
https://alphaarchitect.com/2015/03/26/the-best-way-to-combine-value-and-momentum-investing-strategies/