In a subclass of pandas objects, pickling an object doesn't serialize properties of an instance of that subclass, even if the attribute has been added to _metadata. It would be hard to override this behavior entirely in the subclass, because it will require updates to __getstate__ and __setstate__, and probably also an addition or subclass of BlockManager. It would be nice if the _metadata serialization was handled in the base pandas class.

Example:

class SubDataFrame(DataFrame):

    _metadata = ['my_data']

    @property
    def _constructor(self):
        return SubDataFrame

sdf = SubDataFrame()
sdf.my_data = 'foo'
sdf.to_pickle('tmp.pkl')
new_sdf = read_pickle('tmp.pkl')
new_sdf.my_data

raises AttributeError: 'SubDataFrame' object has no attribute 'my_data'

(edited original example for correctness)