Mutual Fund Performance
Traditionally, mutual fund performance is evaluated with different measures that include Treynor measure, Sharpe measure, information ratio, etc. These measures express the portfolio returns as ratios of risk. One common factor in these measures is the use of a single measure of the risk factor. Another group of measures includes asset pricing models that use one or more than one risk factors to find risk-adjusted returns. These models include:
Capital asset pricing model
Carhart four-factor model
Fama and French three-factor model
Fama and French five-factor model
Our Stata Code
We have developed easy to use yet robust codes for estimating risk-adjusted returns of portfolios or mutual funds. The codes need just a basic understanding of Stata. Further, our comments on each line of code will surely help you to not only apply the code but also understand the process more clearly.
The code is available with three options, see the table below.