Page 49 - FINAL CFA II SLIDES JUNE 2019 DAY 3

LOS 9.f: Explain mean reversion and READING 9: TIME SERIES ANALYSIS
calculate a Mean-Reverting Level (MRT).

Tendency for a time series to move (‘’revert’’) toward its mean, declining when the current value is
above the mean and rising when it is below the mean.

For this,
bo = 0, b1= 1
If true,

0?
0
>

<