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Primary Article

Nonstationarity Tests of Managed Futures

Greg N. Gregoriou, Fabrice Rouah and Komlan Sedzro
The Journal of Wealth Management Fall 2002, 5 (2) 54-58; DOI: https://doi.org/10.3905/jwm.2002.320444
Greg N. Gregoriou
A Ph.D. candidate at the University of Quebec at Montreal and the Institut de Finance Mathématique de Montréal Scholar, Montreal, Canada.
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  • For correspondence: gregoriou.gregory@courrier.uqam.ca
Fabrice Rouah
A faculty lecturer in the Department of Mathematics and Statistics at McGill University in Montreal, Canada.
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  • For correspondence: rouah@math.mcgill.ca
Komlan Sedzro
A professor of finance and director, Master's Program in Applied Finance, at the University of Quebec in Montreal, Canada.
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  • For correspondence: sedzro.k@uqam.ca
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Abstract

This article examines whether the net asset values (NAVs) of managed futures follow random walks. Monthly data from January 1990 to December 2000 are tested for nonstationarity and random walk with drift, using the Augmented Dickey-Fuller test. All of the managed futures classifications are nonstationary, but on the other hand, none are found to behave as random walks. Even when random walk behavior is allowed, evidence of positive drift parameters ensures that the NAVs contain discernable trends. The authors conclude that historical NAVs can be used to create reliable predictive models of managed futures.

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Vol. 5, Issue 2
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Nonstationarity Tests of Managed Futures
Greg N. Gregoriou, Fabrice Rouah, Komlan Sedzro
The Journal of Wealth Management Jul 2002, 5 (2) 54-58; DOI: 10.3905/jwm.2002.320444

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Nonstationarity Tests of Managed Futures
Greg N. Gregoriou, Fabrice Rouah, Komlan Sedzro
The Journal of Wealth Management Jul 2002, 5 (2) 54-58; DOI: 10.3905/jwm.2002.320444
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