Thanks for the comments Peter.
To be clear, I am not a complete believer in efficient markets. I spent way too many years trying to advise CEOs and CIOs of large companies, only to see them invest in completely backwards ideas, waste their capital, etc. I also invented and back tested an investment model in college that predicted outperforming companies with a 95% confidence interval, in an era when few used computers to predict stocks in the way I was applying. I was too stupid to start a fund though, and the minicomputers I was using were university property :-)
Passive indexing is just a good bet. Perhaps the best one to make. It is still gambling, however, thinking you have a system with positive odds. I get that.
I also can see how playing the odds on the craps table (with the house edge), is also not a sure thing either. I see momentum as an effort to rationalize riding a hot table. Perhaps in truth luck exists. Perhaps research even proves it. Certainly a hot table will increase the number of players. I think that is what momentum research measures. Anyone who has seen the end of a hot roll, knows the house rakes in a huge pile on that final craps. People leave the table. Behavioral investing errors could create premiums.
But how to capture this? I don't see a simple formula as working, at least not one published. My method of picking stock winners had a secret sauce that explored a hidden 'tell' like in poker gambling. Since momentum is not hidden, it seems very unlikely to me to be exploitable.
In other threads I have posted that ones pursuit of wealth should really focus on growing all your assets, as MMM shows. If we take our energy and get another job, build our construction skills, sharpen our critical thinking and brain power by reading/learning, create and nurture good relationships with our business partners, etc. These are proven exploitable wealth creators that I would recommend for those wanting an edge in retirement.
For my stash, I personally try to diversify my assets, so I have some index funds and some assets I think will outperform in terms of risk/reward (mostly for my own ego's sake). So I get the urge to explore this opportunity to its fullest. Not for me though. Narrative is too weak.
If momentum investing adds joy to your life, go for it. It is like that Japanese book on tidying. Look at each investment. If it sparks joy, keep it. If it does nothing for you and serves no useful purpose , then give it up.
P.S. Very good point about the risk of corporate earnings not growing, resulting in passive indexing in stocks becoming a poor performing asset class. I see this possibility as a very real risk to retirement portfolios. Future wealth creation, I believe, will require a civil society and continued technology driven innovation to sustain the success of our capital markets. The risk this does not happen is one reason I am personally quite uber conservative with my own retirement plans. For example, I believe the possibility of politics to tank the economy is very real. If we saw the emergence of a religious, social policy focused, anti technology, anti-government investment or trade isolationist government, I would expect falling profits and a totally tanking market. How have Afghan or Iranian companies done over the last 20 years or so?