To understand better. Lets take the following deviations from mean in series A&B. A: 2, 1, 3, 1, 2 B: 4, 1, 2, 1, 1 MAD(A) = 9/5 = 1.8 STD(A) = sqrt(21/5) =

To understand better. Lets take the following deviations from mean in series A&B. A: 2, 1, 3, 1, 2 B: 4, 1, 2, 1, 1 MAD(A) = 9/5 = 1.8 STD(A) = sqrt(21/5) = sqrt(4.2) = 2.05 MAD(B) = 9/5 = 1.8 STD(B) = sqrt(23/5) = 2.14 So it clearly shows that STD penalizes any significant error. It weights any deviation by itself (Sqare). So the message is all the values in a series should be in a close range. If you look at its applications. https://en.wikipedia.org/wiki/Standard_deviation#Interpretation_and_application https://en.wikipedia.org/wiki/Standard_deviation#Interpretat... "a small standard deviation indicates that they are clustered closely around the mean" The answers in this stack exchange (regarding RMSE, same thing, as Taleb also notes), also point to this: http://stats.stackexchange.com/questions/118/why-square-the-difference-instead-of-taking-the-absolute-value-in-standard-devia http://stats.stackexchange.com/questions/118/why-square-the-... Also as per this wiki, its mainly used to compare models against each other: https://en.wikipedia.org/wiki/Root-mean-square_deviation#Applications https://en.wikipedia.org/wiki/Root-mean-square_deviation#App... One comment on HN says that its M is for Median in MAD. Taleb's note itself makes it clear by the temperature example that it is Mean average deviation. Also, whats with the Taleb bashing on HN in these past two articles. The man may be arrogant or he may be not. So what? Bringing that aspect of someone's personality in technical discussions is bringing them to a very low level, apart from being Ad hominem. I think, even in this post he is speaking from a point of view of a practitioner, who has seen a tool abused a lot. And he may not have all the time to utter out his full knowledge about a subject. Just by that mention of Karl Pearson, it is obvious he knows compeletly what he is talking about, as that person seems to be the first who gave the term 'standard deviation' to 'root mean square error (As per wiki on STD).