Sharpe Ratio

Discussion in 'General Discussion' started by Mark17, Sep 16, 2017.

  1. Mark17

    Mark17 Well-Known Member

    Hi all,

    I want to calculate the Sharpe Ratio for my portfolio. I started out here:

    What is [if one exists] the standard in the industry for "risk-free rate" and where can I find that data?

    Also, the website gives an example with annual returns. What would be the implications of using monthly or daily returns instead? If done that way then I'm guessing I would divide risk-free rate by 12 or 365?

  2. Rich S

    Rich S Member

    Hi Mark,

    I always use the T-bill rate for the risk-free rate. The other thing you can do is just use the Information Ratio which is just Sharpe not accounting for the risk-free rate. This works fine in a short back-test or live tracking where the risk-free rate is low. If you back-test back into the 80's then the risk-free rate of course becomes more important.

    Yes, you want to annualize the returns for the Sharpe/IR calculation.

    Regards, Rich
    Mark17 likes this.
  3. status1

    status1 Well-Known Member

    Thanks for the link
    I was interested in the risk free rate myself for other calculations
    I was wondering if there is a way to use RTD to somehow import the number into excel

Share This Page

  1. This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
    By continuing to use this site, you are consenting to our use of cookies.
    Dismiss Notice