His point has always been to cut off the tails. The MAD actually allows you to cut off the tails sooner, and that moves outside of your chosen confidence interv

His point has always been to cut off the tails. The MAD actually allows you to cut off the tails sooner, and that moves outside of your chosen confidence interval will be seen as tail risk much sooner than if you use STD. For example, think about the following example of normal returns versus S&P returns: http://managed-futures-blog.attaincapital.com/wp-content/uploads/2012/05/SP-vs-Normal-Distribution.png http://managed-futures-blog.attaincapital.com/wp-content/upl... A distribution built from MAD will more closely resemble the reality of the S&P returns, and will create more robust models. There are many examples of this.