Step 1: Calculate the mean return

First, we need to calculate the arithmetic mean of the returns:

Mean = (-20.60 + 15.00 + 0.50 + 9.80 + 4.60) / 5 Mean = (9.30) / 5 = 1.86%

Step 2: Calculate absolute deviations from the mean

For each return, calculate the absolute difference from the mean (1.86%):

1. |-20.60 - 1.86| = |-22.46| = 22.46%
2. |15.00 - 1.86| = |13.14| = 13.14%
3. |0.50 - 1.86| = |-1.36| = 1.36%
4. |9.80 - 1.86| = |7.94| = 7.94%
5. |4.60 - 1.86| = |2.74| = 2.74%

Step 3: Calculate the mean of absolute deviations

MAD = (22.46 + 13.14 + 1.36 + 7.94 + 2.74) / 5 MAD = 47.64 / 5 = 9.528%

Step 4: Compare with options

9.528% is closest to 9.53% (Option A).

Verification:

• Option B (11.91%) is too high
• Option C (13.69%) is even higher

Therefore, the correct answer is A. 9.53%.