Lazard Global Correlations

LGI Fund

USD 15.55 0.10 0.64%

The current 90-days correlation between Lazard Global Total and Cohen Steers Closed is 0.41 (i.e., Very weak diversification). The correlation of Lazard Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Lazard Global Correlation With Market

Poor diversification

The correlation between Lazard Global Total and DJI is 0.63 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Global Total and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Lazard Global Total. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Lazard Fund

0.66	CSQ	Calamos Strategic Total	Pair Corr
0.82	STFGX	State Farm Growth	Pair Corr
0.73	BKMIX	Blackrock Multi Asset	Pair Corr
0.87	SAAAX	Simt Multi Asset	Pair Corr
0.66	NBHEX	Neuberger Berman Equity	Pair Corr
0.85	JABKX	John Hancock Funds	Pair Corr
0.9	AABJX	American Century One	Pair Corr
0.63	SHYAX	Simt High Yield	Pair Corr
0.63	OSCIX	Oppenheimer Intl Small	Pair Corr

Related Correlations Analysis

	FOF	AEF	NIE	EVF	BCAT	HIX	HIO	HYI	DSU	WDI
FOF		0.46	0.78	0.66	0.35	-0.24	-0.48	0.02	0.36	0.19	FOF
AEF	0.46		0.78	0.7	0.5	0.16	-0.27	0.38	0.53	0.53	AEF
NIE	0.78	0.78		0.89	0.44	-0.09	-0.58	0.15	0.47	0.31	NIE
EVF	0.66	0.7	0.89		0.57	0.11	-0.45	0.36	0.51	0.49	EVF
BCAT	0.35	0.5	0.44	0.57		0.65	0.19	0.75	0.65	0.8	BCAT
HIX	-0.24	0.16	-0.09	0.11	0.65		0.67	0.85	0.5	0.77	HIX
HIO	-0.48	-0.27	-0.58	-0.45	0.19	0.67		0.55	0.2	0.44	HIO
HYI	0.02	0.38	0.15	0.36	0.75	0.85	0.55		0.62	0.93	HYI
DSU	0.36	0.53	0.47	0.51	0.65	0.5	0.2	0.62		0.65	DSU
WDI	0.19	0.53	0.31	0.49	0.8	0.77	0.44	0.93	0.65		WDI
	FOF	AEF	NIE	EVF	BCAT	HIX	HIO	HYI	DSU	WDI

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

WDI	+ 0.93	HYI
EVF	+ 0.89	NIE
HYI	+ 0.85	HIX
WDI	+ 0.8	BCAT
NIE	+ 0.78	FOF
NIE	+ 0.78	AEF

High negative correlations

HIO	- 0.58	NIE
HIO	- 0.48	FOF
HIO	- 0.45	EVF
HIO	- 0.27	AEF
HIX	- 0.24	FOF
HIX	- 0.09	NIE

Risk-Adjusted Indicators

There is a big difference between Lazard Fund performing well and Lazard Global Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Lazard Global's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
FOF	0.54	0.00	0.00	(0.06)	0.00	0.00	0.99	(1.41)	3.96
AEF	0.91	(0.02)	0.00	(0.11)	0.00	0.00	1.56	(2.29)	5.70
NIE	0.87	(0.05)	0.00	(0.14)	0.00	0.00	1.51	(2.46)	7.23
EVF	0.33	(0.06)	0.00	(0.69)	0.00	0.00	0.66	(0.82)	1.98
BCAT	0.62	(0.03)	0.00	(0.13)	0.00	0.00	1.14	(1.46)	4.22
HIX	0.50	(0.03)	0.00	4.80	0.00	0.00	0.95	(1.14)	2.91
HIO	0.46	0.10	0.25	0.25	0.35	(0.65)	1.04	(0.76)	4.34
HYI	0.38	0.02	0.13	(0.01)	0.46	(0.38)	0.67	(0.77)	1.61
DSU	0.36	0.00	0.00	(0.08)	0.00	0.00	0.86	(0.75)	2.39
WDI	0.46	0.03	0.10	0.01	0.68	(0.46)	0.86	(1.02)	2.70

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