“And if it isn’t significant, it may well matter a lot.”
Great food for thought. Too much faked statistical significance is frequently mis-/used for marketing “smart” factor investments for outperformance.

Thus, rational investors prefer simple indexing with untilted broad equity market cap investments. With them they can avoid the uncompensated risk of large cyclical factor swings and decay for up to several decades, usually not accounted for properly.

However, many investors have more emotional and/or expressive needs for risk taking. They may prefer certain investment styles, no matter if statistically significant or not. The fit to their risk profiles and investor personalities matters a lot more to them, e.g., as value or growth investors. According to behavioral finance, appropriate factor investments raises their chances significantly to stay invested during good and bad times.

By the way, Damodaran has an interesting point for those, who take value for granted:
“Even those people who believe they’re value players are far more dependent on momentum than they realize, because ultimately, for them to make money, the price has to move to its value.”

“…the biggest factor in pricing is what other people are doing. Investing has always been a momentum game…”

Accordingly, the simple combination of pure traditional indexing and time-series momentum with managed futures is the best approach to benefit from all market regimes, boom, bust or normal. This approach can exploit the most significant return potentials of both non-correlated markets for convergent and divergent risk taking, respectively, tail risk protection included. Interestingly, this seems to matter least.