我的理解是：破产公司证券，一般价格都比较低、收益比较低、风险比较高，在这种情况下，sharpe ratio应该会被低估，为什么会被高估呢？难道是看以后么？是因为如果公司重组成功，return会比较高，risk会比较低？
韩韩_品职助教 · 2019年05月13日
同学你好，下次提问记得把题号带着哈，这样可以方便定位。
对于distressed securities, 之所以sharpe ratio容易被高估是因为它的风险通常会被低估。分母被低估，导致sharpe ratio整个被高估。这也是从历史的数据当中观察而来的。
Exhibit 35 shows that for the same period, distressed securities underperformed stock and bond investments, albeit with a lower standard deviation than the S&P 500 and high-yield bonds. The mean return-to-volatility ratio for the HRFX Distressed/Restructuring Index is 0.33, which is lower than the ratios for all the other assets. While the maximum drawdown of the distressed index is better than that of the S&P 500, it is worse than either of the bond indexes. Low correlation with stock and bond investments suggests that adding distressed securities to a portfolio of stocks and bonds might provide significant diversification benefits. Because returns of distressed securities display negative skewness and high kurtosis (see Exhibit 34), however, risk as represented by standard deviation is probably understated.