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There's no single best risk-free rate but the 3-month US Treasury Bill is a good proxy for assets valued in USD.


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When you are working with monthly returns and you want to calculate monthly excess returns you could also use the U.K. 3-month T-Bill (annualized) rate as a proxy for the risk-free rate of U.K. equities and scale to 1 month. You can download the data via the Federal Reserve's website here. If you are using R, you could also use the quantmod package to ...


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