# Tag Info

There are two ways I could think of to answer this question. First, and I think this is what you are asking, "what is the covariance structure of two assets under the Fama-French 3-factor model?" Consider two assets $i$ and $j$. Let's start with their returns under the Fama-French factor model:  r_{i,t} = \alpha_{i} + \beta_{1,i} MKT_{t} + \beta_{2,i} ...