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ShooterMcCFA

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tT
发表于 2013-4-10 23:48 | 只看该作者

CFAI Program Curriculum, Volume 4, Page 101

following, standard
The answer to 18 on page 101 is Issue B which has the largest deviation above the mean (2.4 times the standard deviation). I thought it would be Issue A with the lowest deviation above the mean that could be purchased based on mean-reversion theory. Not sure if I am following the answer.
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Siddimaula

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发表于 2013-4-10 23:48 | 只看该作者
In the question it states that the manager believes that credit spreads are mean reverting.
The highest potential to revert can be seen from Issue B as its spread has moved far from the mean taking standard deviation into consideration. Standard deviation says 10bps and it has gone till 24bps. Thus most likely to fall back.

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