Page 49 - FINAL CFA II SLIDES JUNE 2019 DAY 3
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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.
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