为什么hedge fund 和 distressed security 的sharpe ratio 会被高估？

同学你好，hedge fund和distressed security我们在之前讲过非常容易被高估，主要有以下几个原因：

Illiquid holdings bias the Sharpe ratio upward. 流动性差会高估sharpe ratio
Sharpe ratios are overestimated when investment returns are serially correlated (i.e., when returns trend), which causes a lower estimate of the standard deviation. This occurs with certain hedge fund strategies that may have a problem with stale pricing or illiquidity. Distressed and emerging market securities may be examples. 如果是自相关的收益分布，那么方差会小，也容易高估。

并且，sharpe ratio容易被操纵，讲到的几种方法也都是显示Sharpe ratio会被高估。