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Just use the what most finance research papers use, i.e. the risk-free rate from the Kenneth French data library. The rates are annual. So if you want log returns just take the log of $1+r^f_t$ and divide by 365.


First I thought about voting to close this question as it deals with Matlab synthax a lot. I ignore the Matlab stuff. You have 5-minutes data. So an estmator of volatility over any sample of size $N$ (e.g. 100) will be an estimator of the vol of your 5-min returns. Usually volatility is quotes as "per annum" or "pa". This means that using the square root of ...


To answer your first question: You need to make all sharpe ratios annual, or quartely, or monthly to be comparable. All of them must have the same periodicity. To answer your second question: From the year returns, you can compute the monthly returns by making $(1+R_{t+2})/(1+R_{t+1})$ and then compute the monthly sharpe ratio, or alternatively, just ...

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