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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.

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  • $\begingroup$ 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

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