The core of every portfolio should consist of low-cost, tax-efficient, broad-based index funds. If you do want to take a chance that some risk factors will generate improved risk-adjusted returns in the future, you can do so most prudently if the core of your portfolio consists of capitalization-weighted broad-based index funds. And if you do want to add additional risk factors in the pursuit of extra return, I recommend a low-expense multifactor offering rather than a fund concentrating on one risk factor.
