Statistical heterogeneity is a root cause of tension among accuracy, fairness, and robustness of federated learning (FL), and is key in paving a path forward. Personalized federated learning (PFL) is an approach that aims to reduce the impact of statistical heterogeneity by developing personalized models for individual users, while also inherently providing benefits in terms of fairness and robustness. However, existing PFL frameworks focus on improving the performance of personalized models while neglecting the global model. This results in PFL suffering from lower solution accuracy when clients have different kinds of heterogeneous data. Moreover, these frameworks typically achieve sublinear convergence rates and rely on strong assumptions. In this paper, we employ the Moreau envelope as a regularized loss function and propose FLAME, an optimization framework by utilizing the alternating direction method of multipliers (ADMM) to train personalized and global models. Due to the gradient-free nature of ADMM, FLAME alleviates the need for tuning the learning rate during training of the global model. We demonstrate that FLAME can generalize to the existing PFL and FL frameworks. Moreover, we propose a model selection strategy to improve performance in situations where clients have different types of heterogeneous data. Our theoretical analysis establishes the global convergence and two kinds of convergence rates for FLAME under mild assumptions. Specifically, under the assumption of gradient Lipschitz continuity, we obtain a sublinear convergence rate. Further assuming the loss function is lower semicontinuous, coercive, and either real analytic or semialgebraic, we can obtain constant, linear, and sublinear convergence rates under different conditions. We also theoretically demonstrate that FLAME is more robust and fair than the state-of-the-art methods on a class of linear problems. We thoroughly conduct experiments by utilizing six schemes to partition non-i.i.d. data, confirming the performance comparison among state-of-the-art methods. Our experimental findings show that FLAME outperforms state-ofthe-art methods in convergence and accuracy, and it achieves higher test accuracy under various attacks and performs more uniformly across clients in terms of robustness and fairness.