Lazard Global Correlations

LGI Fund

USD 16.85 0.36 2.18%

The current 90-days correlation between Lazard Global Total and Cohen Steers Closed is 0.37 (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.

Lazard Global Correlation With Market

Weak diversification

The correlation between Lazard Global Total and DJI is 0.36 (i.e., Weak 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

0.61

BRUFX

Bruce Fund Bruce

Pair Corr

Moving against Lazard Fund

0.58	XGEIX	Guggenheim Energy Income	Pair Corr
0.32	CLM	Cornerstone Strategic	Pair Corr

Related Correlations Analysis

	FOF	AEF	NIE	EVF	BCAT	HIX	HIO	HYI	DSU	WDI
FOF		0.59	0.86	0.62	0.76	0.85	0.82	0.72	0.75	0.33	FOF
AEF	0.59		0.34	-0.03	0.27	0.59	0.62	0.68	0.51	0.68	AEF
NIE	0.86	0.34		0.77	0.8	0.74	0.64	0.62	0.65	-0.02	NIE
EVF	0.62	-0.03	0.77		0.61	0.42	0.33	0.25	0.36	-0.37	EVF
BCAT	0.76	0.27	0.8	0.61		0.63	0.6	0.55	0.7	0.16	BCAT
HIX	0.85	0.59	0.74	0.42	0.63		0.9	0.82	0.76	0.42	HIX
HIO	0.82	0.62	0.64	0.33	0.6	0.9		0.81	0.76	0.6	HIO
HYI	0.72	0.68	0.62	0.25	0.55	0.82	0.81		0.78	0.53	HYI
DSU	0.75	0.51	0.65	0.36	0.7	0.76	0.76	0.78		0.49	DSU
WDI	0.33	0.68	-0.02	-0.37	0.16	0.42	0.6	0.53	0.49		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

HIO	+ 0.9	HIX
NIE	+ 0.86	FOF
HIX	+ 0.85	FOF
HIO	+ 0.82	FOF
HYI	+ 0.82	HIX
HYI	+ 0.81	HIO

High negative correlations

WDI	- 0.37	EVF
EVF	- 0.03	AEF
WDI	- 0.02	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	0.53	0.06	0.00	0.25	0.45	(0.59)	1.64	(1.07)	3.14
AEF	0.95	(0.04)	(0.09)	0.03	1.13	(1.14)	2.52	(2.08)	6.33
NIE	0.55	0.05	0.01	0.19	0.59	(0.59)	1.44	(1.52)	4.02
EVF	0.31	0.03	(0.20)	0.51	0.30	(0.37)	0.66	(0.65)	2.24
BCAT	0.47	0.00	(0.12)	0.12	0.48	(0.54)	1.10	(0.76)	2.93
HIX	0.39	0.05	(0.11)	0.59	0.29	(0.52)	0.92	(0.68)	2.52
HIO	0.41	0.02	(0.11)	0.22	0.41	(0.58)	1.28	(1.01)	2.84
HYI	0.44	0.03	(0.13)	0.37	0.46	(0.51)	1.18	(0.93)	2.55
DSU	0.43	0.04	(0.12)	0.44	0.43	(0.52)	0.93	(0.83)	2.42
WDI	0.43	(0.01)	(0.17)	0.01	0.64	(0.44)	0.83	(0.92)	2.86

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