I am working on a project that includes risk/return characteristics for a certain strategy and its benchmark (SPX). Included on the outputs is a sensitivity table, which may be showing signs of overfitting. I tested sharpe ratio with varying risk-free rates, and while the table does show a worse sharpe for higher rates, to be expected, it also shows a worse sharpe for lower rates which I don't believe makes sense. I am currently calculating a daily risk-free rate (effective fed funds% + 1)^(1/252)-1, then finding the spread (daily return - daily rf), taking the average of that spread, and dividing by standard deviation of returns, * sqrt(252) While originally I thought this was a strategy specific issue, I am getting the same result of a lower sharpe on the SP500 using a lower risk free rate. Is there a better way to calculate rf rates and/or sharpe over long time periods?