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I am not sure if am correctly using SharpeRatio.annualized function. I am passing following parameters (dailyRet, dailyRF, scale = 252), where dailyRet is an XTS type for daily returns, dailyRF is an proxy calculated based on formula (1+Rm)^1/20 = 1+Rd (Rm is 1 mo Risk Free rate). I read through documentation but could not find example using daily risk free rate. Thank you for help.

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Looks like the way you are using this function is correct.

the way the function SharpeRatio works is that it computes the mean of your input time series, in your case mean(dailyRet). It deducts the rate, and then divides it by the standard deviation (or other risk measure which you can select as parameter), i.e.

(mean(dailyRet) - rate) / stdev(dailyRet)

In this context rate is a input number, for example (1+monthlyRate)^1/20 like you computed.

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