Good afternoof to everyone. I would like to create a portfolio following a multifactorial approach (I have been writing my master's thesis). As I would like to calculate a series of ratios (e.g. Sharpe ratio), I need a risk-free rate for the US market and I would like to use SOFR as an alternative to LIBOR. Now, I have downloaded the time series of the WEEKLY prices, how should I consider the SOFR? It is currently 0.09% but does it mean daily? Or is it yearly / monthly?
Thanks for your help!