Before revision:  We implement our methodology using as our securities two sets of portfolios constructed by Fama and French : the 48 industry portfolios and 100 portfolios formed on size and book-to-market. In addition to their excellent performance, these portfolios have only a small number of active positions, a desirable feature for small investors, for whom the fixed overhead portion of the transaction cost is not negligible .
After revision:  We implement our methodology using as our securities two sets of portfolios constructed by Fama and French . 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 naive evenly-weighted portfolio which constitutes, as shown in recent literature, a very tough benchmark .