Ahh… ok, you are referring to long/short hedged portfolio.
So, first thing you do is choose to which equity factors you want to be exposed (RMRF, SMB, HML or WML). Then, when you have carefully chosen these factors, you see which stocks chosen perform best according to factors chose and which perform the worst. How you do that? You usually divide them in quantiles (from best to worst performing). In order to provide “best result” you want to buy top 10% or top 20% (usual convention) of best performing stocks (as you expect they will continue to perform well) and short 10% or 20% of worse performing stocks (as you expect them to continue to poorly perform). This way you would “hedge” yourself from poor returns, as you can can benefit from both, long and short positions - long positions gain in value when perform well, short positions perform well when performing poor.
However, there are couple of drawbacks which are explained further in the curriculum (e.g. shorting expensive or not possible, risk factor overlap or ignoring the information fror mid quantiles not taken in consideration).