RT Journal Article SR Electronic T1 Nonstationarity Tests of Managed Futures JF The Journal of Wealth Management FD Institutional Investor Journals SP 54 OP 58 DO 10.3905/jwm.2002.320444 VO 5 IS 2 A1 Greg N. Gregoriou A1 Fabrice Rouah A1 Komlan Sedzro YR 2002 UL https://pm-research.com/content/5/2/54.abstract AB 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.