Mean reversion analysis

Based on mean reversion analysis, my guess would be to sell the bond with the lowest spreads deviation from its mean, which is A?
The other bonds with more deviation will see their spreads come back down to their mean, which results in their prices going up - so why would you sell them if their prices will go up more, compared to the one that’s sitting around its mean?
 
Sorry for anybody who didn’t see the trick, thought it was obvious that it was inverted: the higher the credit spread the cheapest the bond.
 
Sorry for anybody who didn’t see the trick, thought it was obvious that it was inverted: the higher the credit spread the cheapest the bond.
 
Sorry for anybody who didn’t see the trick, thought it was obvious that it was inverted: the higher the credit spread the cheapest the bond.
 
Sorry for anybody who didn’t see the trick, thought it was obvious that it was inverted: the higher the credit spread the cheapest the bond.
 
Sorry for anybody who didn’t see the trick, thought it was obvious that it was inverted: the higher the credit spread the cheapest the bond.
 
using standard deviation in spread analysis is stupid.
getting that out of the way, BUY B, SELL A.
 
You must log in or register to reply here.
Back
Top