Limitation of Sharpe Ratio?

Knowing 4 will be enough, I think.

assumes normality

assumes liquidity

assumes serieally uncorrelated returns

i have still to revise equity portfolio+corpgovernance…but i remember the limitations of the sharpe ratio being quite exhaustive in the hedgefund reading…

[1]Time dependent ->rises with square root of time

[2] inappropriate for normally distributed returns

[3]illiquid holdings bias ratio upwards

[4]serial correlation biases ratio upwards

[5]no predicitive capability for hf

[6] does not account for correlations across other assets

[7]Can be gamed

[2] inappropriate for normally distributed returns

shouldn’t this read as ONLY appropriate for Normally distributed returns?

oops…NON normally dist!