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I am trying to calculate a Sharpe Ratio for a hedge fund with results from Jan 1995 through the present, and would like to know the correct value to use for risk free rate of return. At inception Jan 1995 the 90 day T-Bill rate was 5.84%. The average from Jan 1995-Nov 2003 was 4.09%. The current rate is .091%. What is the proper method? Is there a commonly accepted method? Rolling 3 yr avg? Avg since inception? I hate Sharpe and prefer annualized std dev/annual return, but people are asking for Sharpe for comparison purposes...
TIA,
Seth
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