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I am currently writing a paper about the performance characteristics of alternative energy equity indexes and am therefore comparing them to their benchmark indexes (msci world, etc). To calculate the Sharpe Ratio i first take the logarithmic difference of monthly index returns and then subtract it by 1 month LIBOR USD rate over my complete dataset (starting 2002). Afterwards i simply take the monthly mean excess return (as above) divided by the STDEV of the index returns. To annualise the mean monthly excess return and the STDEV i use the following formulas respectively: MEAN*12 and STDEV*SQRT(12). Overview

My results are mostly negative Sharpe Ratios, now i am wondering if this has to do with the timeseries being affected by the 08 crisis and wether the 1 month LIBOR is the correct riskfree asset?

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I do not have access to the exact time-series of the MSCI world, but looking at the returns from the tracking ETF, since 2001 the average return is negative. Thus regardless of the risk-free you use you will get a negative sharpe ratio.

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