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Should a Sharpe Ratio be annualized?

I have a set of historical returns and risk-free rates and have arrived at the Sharpe Ratio. Should it then be annualized?

1 Answer

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  • ?
    Lv 6
    8 years ago
    Favorite Answer

    The returns and the risk free rate of return should be compared over the same time period. You can have a Sharpe Ratio for 1 year, 3 year, 5 year and 10 year periods.

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