The Cross-Section of Risk and Returns
研究发现按特征排序构建的投资组合会同时包含定价和未定价风险，提出用历史收益协方差信息剔除未定价风险的方法，应用于Fama-French五特征组合后，最优组合的平方夏普比率从1.17提升至2.13。
Abstract A common practice in the finance literature is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resultant portfolios are likely to capture not only the priced risk associated with the characteristic but also unpriced risk. We develop a procedure to remove this unpriced risk using covariance information estimated from past returns. We apply our methodology to the five Fama-French characteristic portfolios. The squared Sharpe ratio of the optimal combination of the resultant characteristic-efficient portfolios is 2.13, compared with 1.17 for the original characteristic portfolios.