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We compute sharpe ratios depending on the choice of currency to report returns, assuming that for the 'risk-free' asset for any given investor is the domestic 3-month risk-free asset. A Sharpe Ratio based on local currency returns and risk-free rates is also computed using local currency excess returns, as described here.
We also compute an Adjusted Sharpe ratio to account for the skewness and excess kurtosis in the returns distribution
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AdjSR_{T} = SR_{T} \times [ 1 + \frac {S} {6} \times SR_{T} - \frac {(K - 3)} {24} \times SR_{T}^2] |
where:
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