Sharpe ratio on a matched rate series against one fixed rate
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-14, from Risk-free rate in the Sharpe ratio.
| horizon | sharpe_matched_rf | sharpe_fixed_rf | abs_gap |
|---|---|---|---|
| 1-year | 1.55 | 1.62 | 0.07 |
| 3-year | 0.26 | 0.24 | 0.01 |
| 5-year | 0.61 | 0.51 | 0.1 |
| 10-year | 0.64 | 0.48 | 0.16 |
| 20-year | 0.49 | 0.32 | 0.18 |
- Rows × columns
- 5 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
horizon |
text | 5 distinct values (1-year, 10-year, 20-year…) | |
sharpe_matched_rf |
number | 0.26 to 1.55 | |
sharpe_fixed_rf |
number | 0.24 to 1.62 | |
abs_gap |
number | 0.01 to 0.18 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH
monthly_px AS
(
SELECT
toStartOfMonth(date) AS m,
argMax(toFloat64(close), date) AS month_close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2004-12-01'
AND date < '2025-01-01'
GROUP BY m
),
prior_px AS
(
SELECT
addMonths(m, 1) AS m,
month_close AS prev_close
FROM monthly_px
),
monthly_rf AS
(
SELECT
toStartOfMonth(date) AS m,
pow(1 + avg(toFloat64(yield_3_month)) / 100, 1.0 / 12) - 1 AS rf_month
FROM global_markets.treasury_yields
WHERE date >= '2004-12-01'
AND date < '2025-01-01'
AND yield_3_month IS NOT NULL
GROUP BY m
),
excess AS
(
SELECT
cur.m AS m,
cur.month_close / prv.prev_close - 1 AS ret,
rf.rf_month AS rf_month
FROM monthly_px AS cur
INNER JOIN prior_px AS prv ON prv.m = cur.m
INNER JOIN monthly_rf AS rf ON rf.m = cur.m
)
SELECT
concat(toString(intDiv(count(), 12)), '-year') AS horizon,
round(sqrt(12) * avg(ret - rf_month) / stddevSamp(ret - rf_month), 2) AS sharpe_matched_rf,
round(sqrt(12) * avg(ret - rf_fixed) / stddevSamp(ret - rf_fixed), 2) AS sharpe_fixed_rf,
round(abs(sqrt(12) * avg(ret - rf_month) / stddevSamp(ret - rf_month)
- sqrt(12) * avg(ret - rf_fixed) / stddevSamp(ret - rf_fixed)), 2) AS abs_gap
FROM excess
CROSS JOIN
(
SELECT pow(1 + avg(toFloat64(yield_3_month)) / 100, 1.0 / 12) - 1 AS rf_fixed
FROM global_markets.treasury_yields
WHERE date >= '2024-12-01'
AND date < '2025-01-01'
AND yield_3_month IS NOT NULL
) AS fixed_rate
CROSS JOIN (SELECT arrayJoin([1, 3, 5, 10, 20]) AS years) AS hz
WHERE m >= subtractYears(toDate('2025-01-01'), years)
GROUP BY years
ORDER BY years
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