Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Portfolio performance measurement

From   Dawood Ashraf <>
To   "" <>
Subject   st: Portfolio performance measurement
Date   Mon, 30 May 2011 12:25:13 -0700 (PDT)

I am trying to do some standard performance measurement of mutual funds with some screens. My data is divided into two groups one with screen and the other is general group. Now I want to calculate the Sharpe ratio, Treynor ratio, Jensen�alpha, and information ratio. 
Sharpe ratio =  (mean group1 – rf)/standard deviation group 1 (same thing for group 2)
Treynor ratio = (mean group1 – rf)/beta of portfolio (same thing for group 2)
Beta can be obtained from OLS regression
Information ratio = (Rp-Ri)/(SDp-SDi)

I can simply do these calculation by picking up numbers from summarize command and regression output but I am sure there is some better way to do all this automatically rather than hand picking. If somebody can help with this.

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index