I want to create optimised portfolios in five different countries and calculate if the inclusion of cryptocurrencies or other alternative assets contribute to the diversification. I want to use something as a proxy for the risk free-rate that will be comparable to all the economies to calculate metrics such as the sharpe or the sortino ratios. I thought about the T-Bills but each of these countries (US, UK, AUS, GER, CHI) have T-bills of different durations and for some of them I cannot even find data. Can someone share some advice? I use weekly frequency in my returns if that is helpful.

  • $\begingroup$ T-bills are more popular in English speaking countries (like your first three). International organizations like IMF, OECD keep track of Short Term interest rates for a large number of countries. They use T-bills or another rate that is more suitable for each country. You can find and download the OECD data here data.oecd.org/interest/short-term-interest-rates.htm Or try the IMF. $\endgroup$
    – nbbo2
    Jun 7, 2021 at 0:29
  • $\begingroup$ Consider interpolating the yields for tenor needed or use zero coupon curve from swap market. $\endgroup$
    – emot
    Jun 23, 2021 at 21:08


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.