WeEvidence-based investing propose an easy-to-implement 3-portfolio strategy3-portfolio strategy to help investors resist common investment myths. Investors should follow an evidence-based approach by combining three sub-portfolios: (1) the global market portfolio, (2) the alpha portfolio, and (3) the risk-free asset. Investment mythsImplementation is as important as the strategy. Because each sub-portfolio has a specific purpose it can be evaluated by theoretical and empirical evidence. Evidence-based investing is not a one-size-fits-all approach. Investors differ in their preferences and risk tolerance. Evidence-based investing takes these investor-specific differences into account. However, evidence-based investing does not guarantee a specific investment performance. It is an attempt to invest in the best possible way, based on scientific evidence. New scientific evidence is discovered over time and accordingly, investment approaches should be adapted over time.