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I have returns from the last 12 months on a portfolio, and i have risk free rate for the latest year, on daily basis.

I have annualized the risk free rate, and i am using log returns for the period.

I use the standard deviation function in excel but i cant get the real sharpe ratio.

I am currently using this formula:

$(R^A_T-Rf_T)/\sigma_T$

$R^A_T$ = Annualized log returns

$Rf_T$ = risk free

$\sigma$ = std dev for returns

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  • $\begingroup$ The standard deviation function in Excel will not give you portfolio volatility. If that's what you are using, your denominator is wrong. $\endgroup$ – amdopt Jan 29 '20 at 14:38
  • $\begingroup$ I use excel function, but like this: standard dev excel function times squareroot(12) $\endgroup$ – mbih Jan 29 '20 at 14:42
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    $\begingroup$ Perhaps show some data, calculation steps, the Sharpe that your data is supposed to produce, etc. There are many people on this SE that could help you, but not without a bit more information. $\endgroup$ – amdopt Jan 29 '20 at 14:54

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