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  • Sharpe and Treynor ratio, Jensen alpha measurement

    I am doing the standard performance measurement of mutual fund. I can use ratio's formulation to get results in Excel. But, is there any better code to tell STATA please calculate by itself.

    Many thanks for any suggestions.

  • #2
    You didn't get a quick answer. You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output (fixed spacing fonts help), and sample data using dataex.

    Remember, most of us are not in your area of scholarship so referring to Jensen alpha doesn't help many of us. Alpha and so on are not hard to calculate, but someone may have programmed an answer. I'd google this (jensen alpha stata, etc.) to see if someone has done it for you.