Question about test portfolios

[twiecki]

Thanks for the paper, I thought it was really interesting. Also happy to see code posted alongside.

The only thing I didn't quite get was how exactly R was computed. In the paper it says to be a vector of length N where N is the number of test portfolios.

1. How exactly are returns of the test portfolios computed? E.g. for the case of the 140 factor zoo.
2. Why try to predict returns of another portfolio rather than just trying to predict forward stock returns directly?

[kelewilla]

请问这里贴的代码如何体现文中所说的可以用于不平衡面板数据？？代码中都提前设定每个时期都是1000家公司了。