You observe an asset with returns that follow the following distribution:

Return of 15% about 40% of the time

Return of 1% about 20% of the time

Return of -15% about 40% of the time

The expected return of this distribution is 0.2% with a variance of 0.018

Looking at the return of 1%, it is extremely close to the mean relative to 15% and -15%. While this suggests that 1% should be the most frequent result, it currently accounts for the smallest proportion of returns.

Which of the following best reconciles this conflicting observation?

Group of answer choices

The variance here was calculated as a population variance, not a sample variance

The sample is too small for the mean and variance to be precise

None of these

The number of standard deviations from the mean is only meaningful when returns are normally distributed