Model of economic cycles consistent with efficient market hypothesis
The EMH applies to assets, not just stocks, and its implications are more relevant for investors who own part of the market - not the entire thing.  This is important, because it's the difference between looking at a closed system versus an open one, and between populations versus samples.  People make money all the time by cycling between stocks, bonds, precious metals, real estate, etc.  Flights to "safe havens" occur all the time, rightly and wrongly.  Someone buying SNC Lavalin stock three months ago and selling it a few weeks after the Canadian election would have made some fairly predictable money.

The apparent issue you're running into here stems from the erroneous assumption that non-stock assets are "safe".  In fact, they have their own risks and cycles, which are (anti-)correlated with the stock market in various ways.  The "Risk-free rate" in the Fama-French model isn't constant, and is fundamentally no more predictable than any individual stock price.