Lazard Global Correlations

GLFOX Fund

USD 16.32 0.11 0.68%

The current 90-days correlation between Lazard Global Listed and International Fund International is 0.39 (i.e., 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Lazard Global Correlation With Market

Weak diversification

The correlation between Lazard Global Listed and DJI is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Global Listed and DJI in the same portfolio, assuming nothing else is changed.

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

Moving together with Lazard Mutual Fund

0.7	LZFOX	Lazard Equity Franchise	Pair Corr
0.7	LZFIX	Lazard Equity Franchise	Pair Corr
0.66	UMNIX	Lazard Short Duration	Pair Corr
0.69	UMNOX	Lazard Short Duration	Pair Corr
1.0	GLIFX	Lazard Global Listed	Pair Corr

Moving against Lazard Mutual Fund

0.42	RUSRX	Lazard Systematic Small	Pair Corr
0.42	LUSIX	Lazard Funds	Pair Corr
0.42	LUSOX	Lazard Funds	Pair Corr

Related Correlations Analysis

	FMIJX	GLIFX	GTLLX	CFVLX	PARWX
FMIJX		0.28	0.28	0.3	0.34	FMIJX
GLIFX	0.28		-0.41	-0.12	-0.09	GLIFX
GTLLX	0.28	-0.41		0.91	0.91	GTLLX
CFVLX	0.3	-0.12	0.91		0.98	CFVLX
PARWX	0.34	-0.09	0.91	0.98		PARWX
	FMIJX	GLIFX	GTLLX	CFVLX	PARWX

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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

PARWX	+ 0.98	CFVLX
CFVLX	+ 0.91	GTLLX
PARWX	+ 0.91	GTLLX
PARWX	+ 0.34	FMIJX
CFVLX	+ 0.3	FMIJX
GLIFX	+ 0.28	FMIJX

High negative correlations

GTLLX	- 0.41	GLIFX
CFVLX	- 0.12	GLIFX
PARWX	- 0.09	GLIFX

Risk-Adjusted Indicators

There is a big difference between Lazard Mutual Fund performing well and Lazard Global Mutual 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
FMIJX	0.56	(0.07)	(0.16)	0.02	0.61	(0.65)	1.14	(0.99)	3.05
GLIFX	0.51	0.00	(0.15)	0.12	0.51	(0.55)	1.00	(0.91)	2.24
GTLLX	0.73	(0.02)	(0.02)	0.10	0.90	(0.76)	1.39	(1.74)	4.39
CFVLX	0.53	0.00	(0.03)	0.12	0.38	(0.63)	1.11	(0.89)	3.37
PARWX	0.57	0.00	(0.03)	0.13	0.50	(0.60)	1.17	(1.00)	2.88

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