Mean absolute deviation of the return distribution
To calculate Mean absolute deviation we take the sum of the absolute value of the difference between the returns and the mean of the returns and we divide it by the number of returns.
MeanAbsoluteDeviation(R, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
MeanAbsoluteDeviation = sum(|r-mean(r)|)/n
where n is the number of observations of the entire series, r_i is the return in month i and \overline{r} is the mean return
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.62
data(portfolio_bacon) print(MeanAbsoluteDeviation(portfolio_bacon[,1])) #expected 0.0310 data(managers) print(MeanAbsoluteDeviation(managers['1996'])) print(MeanAbsoluteDeviation(managers['1996',1]))
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.