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Cinlar} et al. [Z. Wahrscheinlichkeitstheor. Verw. Geb. 54, 161--219 (1980; Zbl 0443.60074)] to the non-Markovian setting. They show that if a function of a semimartingale remains a semimartingale, then under certain conditions the function must have intervals where it is a difference of two convex functions. Under suitable conditions this property also holds for random functions. As an application, they prove that the median process defined by \\textit{V. Prokaj} et al. [Ann. Inst. Henri Poincar\u00e9, Probab. Stat. 47, No. 2, 498--514 (2011; Zbl 1216.60048)] is not a semimartingale. This is defined as follows. Let \\((D_t(x))_{t\\geq 0}\\) be the solution of \\(d D_t(x) = \\sigma(D_t(x))dB_t\\), \\(D_0(x)=x\\in[0,1]\\), where \\(\\sigma(x)=x\\wedge(1-x)\\). The median process is \\((D^{-1}_t(1/2))_{t\\geq 0}\\). 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