In his book "Asset Pricing" chapter 20, Cochrane said
For example, suppose that average returns were higher for stocks whose ticker symbols start later in the alphabet. (Maybe investors search for stocks alphabetically, so the later stocks are “over- looked.”) This need not trouble us if Z stocks happened to have higher betas. If not – if letter of the alphabet were a CAPM anomaly like book to market – however, it would not necessar- ily follow that letter based stock portfolios move together. Adding A-L and M-Z portfolios to the right hand side of a regression of the 26 A,B,C, etc. portfolios on the market portfolio need not (and probably does not) increase the R 2 at all.
I am having trouble understanding this example. He is trying to illustrate why forming HML and SMB the way Fama and French did to explain the 25 Size/Book to Market Portfolio is not tautology.