Hello everyone!

I’m struggling with the question: how pyfolio estimates risk free rate?

The *plot_rolling_sharpe* get as input the returns and create a plot of the rolling Sharpe Ratio. According to the Sharpe Ratio definition:

to calculate the Sharpe Ratio we need the risk free rate (e.g. from the benchmark). However, the *plot_rolling_sharpe* method don’t get any related input.

How Sharpe Rate is estimated? Is it used the average portfolio return as risk free rate?

Thank you very much!