Otten, R.

performance return portfolio model factor fund performance result investment market stock index difference canadian 4- factor model fund returns journal fund portfolio evidence multifactor finance cap portfolio regression equity table coefficient fund performance debate bauer ratio sample study value company estimate style value-weighted market proxy research nortel sample period month information spread 3- factor model rit rft period proxy level return difference single-factor measure report t-bill rate sharpe ratio equity index canada multifactor models information variables time variation loading strategy addition business growth jantzi paper variable return spread performance measurement month t investment organization sharpe multifactor model momentum factor maastricht university momentum t-bill asset single-factor model factor loadings approach table reports