Before revision:  We implement this methodology using the Fama and French 48 industry portfolios as our securities . Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the na\"{i .
After revision:  We implement our methodology using as our securities . Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the na\"{i .