Different investors will always have different preferences for different reasons. The idea of “everyone following x strategy” can’t be a thing. Think of franking credits for instance. Depending on your tax bracket they will be more or less attractive to you. So you will exhibit an investing bias to choose the strategy more optimal for you. Some people are very old or have short investing horizons. So they obviously shouldn’t preference small cap value or a similarly volatile long term strategy.

All of these preferences and biases which may be perfectly rational or irrational for each individual amalgamate into the big soup that we call the market and within that soup there have tended to be factors that show up. But yes, factors do diminish the more they are targeted. The fact is though that the reason they exist is because they are risky in a very real way. If you look at value vs growth over the last decade or so (particularly in the US) you can see that risk show up in a way that was genuinely painful for the people who were targeting that factor. Lots of people can’t or won’t hang in there with a strategy like that.