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).
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?