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?
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.