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In order to calculate the Sharpe Ratio, I need the risk-free rate. What is the most convenient proxy for the risk-free rate? And how do I transform the yearly risk free rate to a weekly risk free rate?

Best, memecon

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A lot of work in asset pricing relies on continuously compounded rate of returns in which case if $r_{fw}$ is the weekly rate of return, then the gross return over a year would be given by $\exp(r_{fy}) = \exp(r_{fw} \times 52)$ which implies $r_{fw} = r_{fy}/52$.

However, suppose you have to work with interest rates that compound at discrete point in time, then you could work by using $(1+r_{fy}) = (1 + r_{fw})^{52}$. This asks what would be the weekly compounded rate that gives you exactly the right yearly rate.

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