skfolio.measures
.mean_absolute_deviation#
- skfolio.measures.mean_absolute_deviation(returns, min_acceptable_return=None)[source]#
Compute the mean absolute deviation (MAD).
- Parameters:
- returnsndarray of shape (n_observations,)
Vector of returns.
- min_acceptable_returnfloat, optional
Minimum acceptable return. It is the return target to distinguish “downside” and “upside” returns. The default (
None
) is to use the returns’ mean.
- Returns:
- valuefloat
Mean absolute deviation.