Mutual Fund Performance

Traditionally, mutual fund performance is evaluated using various measures, including the Treynor measure, Sharpe measure, and information ratio. These measures express portfolio returns as ratios of risk, with a common factor being the use of a single measure of risk. Another group of measures includes asset pricing models, which utilize one or more risk factors to calculate 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 two options, see the table below.

  • Baseline Package: This package, priced at 99 GBP, includes the Stata code, an example dataset, code comments, and email support.
  • Baseline plus data preparation: This package is priced at 189 GBP and includes the Stata code, code comments, and data preparation. The data preparation process involves importing data into Stata, merging various datasets, cleaning the data, and creating the required variables before executing the code.


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How the code is delivered

Once you have completed the payment, please send us an email with the payment reference. We will send the code within 24 hours. However, if you have purchased the Baseline plus Data Management package, we will contact you directly.


  • 1. Carhart, Mark M, 1997. “On Persistence in Mutual Fund Performance,” Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  • 2. Fama, E.F. and French, K.R. (1993) Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, 3-56.
  • 3. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22.
  • 4. Sharpe, W.F. (1994) The Sharpe Ratio. The Journal of Portfolio Management, 21, 49-58.
  • 5. Treynor, J.L. (1965) How to Rate Management of Investment Funds. Harvard Business Review, 43, 63-75.