Yes, definitely. The big issue there is that intraday intervals vs daily closes vs monthly prices all require very different kinds of analyses and features as they target different scales of behavior. For example, you could exploit order book models for intraday which make little sense for longer time frames. In the same way, portfolio theory on intraday intervals tends to not hold as well as it does on longer timeframes.
Yes! There is a number of widely known inefficiencies (low vol, mid cap stocks, the trend following anomaly, long volatility oriented strategies...) that consistently produce better risk-adjusted returns. Some of them aren't really popular enough to stand out and reach their full capacity, others (trend following especially) are so counterintuitive that in practice almost no manager nor investor ends up being able to sustain the emotional pressure, eventually everybody cries uncle and there is no way the anomaly gets crowded enough to go away.
Most if not all of them. Especially during a downturn, all assets of all classes tend to correlate and produce negative returns. During big crises, stocks that before seemed uncorrelated/anti-correlated have a tendency to increase their correlation and go down together; at the extreme, even bonds cease to act as a diversifier against stocks plummeting.
You are not misunderstanding. While there is no doubt that there is a premium on taking more risk, ROI is also a very debatable metric to consider in a vacuum, though. If you only care about ROI then you either can afford to risk everything because you have cash/safer investments in place (so you are really taking less risk), or you are YOLOing.
> it could tank your investment, but if it doesn't and you make more money then you're criticizing something that never happened
This way of reasoning is basically survivorship bias in a nutshell, and per my direct experience as a financial professional has brought down many investors who were too confident about their "strategy".
To bring this argument to the extreme: if you cared only about ROI, you could just go long some penny stock with exaggerate leverage and make big money "unless proven otherwise". In practice, what happens is you get euphoric for a couple days while you see the money shoot up to the sky, and then lose all of it to a margin call at the opening the very next day. I've seen it happen with my own eyes.
The assumptions underlying Brownian motion of prices have been disputed for quite a while now: the normality hypothesis can be rejected on most if not all historical financial returns series, as it turns out that most returns are actually fat tailed processes with very significant (and variable over time) correlations between distinct assets, which makes research around portfolio theory even harder to conduct.
Addendum: the paper actually mentions the Sharpe ratio, which is a general, popular measure of risk adjusted returns, but which fails to take into account the non-normality of the distribution of returns; so, while my previous comment may be incorrect in a Gaussian world, I would be curious to see the results when the performances are evaluated under the assumption of fat tailed processes, which I presume would paint a very different picture.
This is widely known among practitioners, but there is a caveat -- a 1/N portfolio bears a much higher risk than, say, a cap-weighted portfolio or a risk-parity asset allocation. A 1/N portfolio receives an equal contribution in terms of volatility from each asset, meaning that very risky assets significantly increase the portfolio's volatility, while not necessarily contributing proportionally better returns, due to the nonlinearity and asymmetry of volatility's effects on prices. This way, 1/N ends up performing very poorly on a risk-adjusted basis while undoubtedly at the same time outperforming any other kind of allocation on the basis of return alone. This is rather unacceptable in a real world portfolio where the tail risks and emotions can lead an investor to ruin.
I worked in wealth management up until recently and can testify this exact behavioral bias was to be found in almost every single client, and sometimes in professionals as well, especially during market downturns. It's likely to be a mix of several factors, such as the fact that losses have a much stronger emotional impact than gains of similar entity, or the fact that most people aren't really trained to reason probabilistically in an intuitive manner. It is easy to be lured in by someone promising the moon when most people won't settle for anything less.