For a conference I need to show the Sharpe ratio's of bitcoin portfolios using different trading strategies. To calculate the Sharpe ratio, I need the Bitcoin's risk-free rate. Risk-free rate for normal stock markets is usually taken from Treasury documents. But cryptocurrencies have no central government and are not affiliated to any country. So how to determine the risk-free rate for, for example, Bitcoin? Is it simply 0?
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Instead of looking at bitcoin like a currency, I think you should look at it like a regular stock. The "return" is the return of your fiat money (USD) that's investing in Bitcoin... so the risk free rate should be the risk free rate of your money, i.e. T-bill, etc.
