Deflated Sharpe and PBO

Why must the Sharpe ratios in the DSR formula be daily rather than annualised, when the returns are daily?

• Annualised numbers are too large for the normal table
• The formula works in the data's own frequency, with T counting those same returns
• Daily Sharpe ratios are always more accurate

A winner's returns have negative skew and fat tails. Compared with normal returns, what happens to its DSR?

• It falls, because the standard error term in the denominator grows
• It rises, because fat tails mean bigger wins
• Nothing, DSR ignores the shape of returns