Comparison of the Census X12 and Tramo

In this article, we have compared the census X12 and Tramo / Seats additive ARIMA(p,d,q) seasonal adjustment models applied to distressed securities and long/short equity hedge funds categories. We have applied two methodologies. The first one is developed by the US Bureau of the Census X12 ARIMA (p,d,q) seasonal adjustment method. The second methodology was developed by Gomez and Maravall, (1996), and is known as TRAMO/SEATS seasonal adjustment method. We have used the additive decomposition seasonal adjustment method. The natural logarithmic monthly market price returns of all hedge funds are not normally distributed. The best fit model has the highest log likelihood value, and the smallest error term in terms of the various criterion such as the AIC criterion, the Hannan Quinn criterion and the BIC criterion. Our objective is to find if that there are minor fluctuations of the monthly price returns of hedge funds after adjusting for the seasonal variations. The arbitrageurs will be able to craft their investment strategy concerning holding, buying or selling hedge funds shares