Mutual Funds performance | Carhart model | Treynor Measure vs. Sharpe Measure | Stata


Mutual Fund Performance in the Crisis period

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 for $ 100/model, plus a $50 for raw data processing (in case the data is not in Stata format and variables are not already constructed). For further details, please contact us at:


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