Lazard Systematic Correlations

SYZ Etf

26.44 0.04 0.15%

The current 90-days correlation between Lazard Systematic Small and Redwood Investment Management is -0.2 (i.e., Good diversification). The correlation of Lazard Systematic 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 Systematic Correlation With Market

Poor diversification

The correlation between Lazard Systematic Small and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Systematic Small and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Lazard Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Lazard Systematic Small. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in manufacturing.

Moving together with Lazard Etf

0.92	VB	Vanguard Small Cap	Pair Corr
0.98	IJR	iShares Core SP	Pair Corr
0.96	IWM	iShares Russell 2000	Pair Corr
0.88	VRTIX	Vanguard Russell 2000	Pair Corr
0.96	VTWO	Vanguard Russell 2000	Pair Corr
0.94	FNDA	Schwab Fundamental Small	Pair Corr
0.98	SPSM	SPDR Portfolio SP	Pair Corr
0.99	DFAS	Dimensional Small Cap	Pair Corr
0.98	VIOO	Vanguard SP Small	Pair Corr
0.98	PRFZ	Invesco FTSE RAFI	Pair Corr
0.66	FNGU	MicroSectors FANG Index Symbol Change	Pair Corr
0.67	DFEN	Direxion Daily Aerospace	Pair Corr
0.85	DGP	DB Gold Double	Pair Corr
0.85	AGQ	ProShares Ultra Silver Trending	Pair Corr
0.81	SMH	VanEck Semiconductor ETF	Pair Corr
0.89	JEPI	JPMorgan Equity Premium	Pair Corr
0.85	WMT	Walmart Common Stock Sell-off Trend	Pair Corr
0.73	MRK	Merck Company	Pair Corr
0.66	BA	Boeing	Pair Corr
0.88	AA	Alcoa Corp Earnings Call This Week	Pair Corr
0.66	CAT	Caterpillar	Pair Corr
0.63	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.65	JNJ	Johnson Johnson Earnings Call This Week	Pair Corr

Moving against Lazard Etf

0.65

Procter Gamble Earnings Call This Week

Pair Corr

Related Correlations Analysis

	SQEW	PRXV	GMOV	FTHF	PPEM	NORW	AVEE	JPY	ISVL	DSCF
SQEW		0.64	0.73	0.58	0.15	0.21	-0.16	0.46	0.6	0.86	SQEW
PRXV	0.64		0.95	0.91	0.59	0.79	0.33	0.85	0.97	0.79	PRXV
GMOV	0.73	0.95		0.87	0.53	0.74	0.21	0.77	0.96	0.84	GMOV
FTHF	0.58	0.91	0.87		0.77	0.82	0.54	0.88	0.92	0.76	FTHF
PPEM	0.15	0.59	0.53	0.77		0.71	0.77	0.77	0.61	0.32	PPEM
NORW	0.21	0.79	0.74	0.82	0.71		0.6	0.77	0.86	0.45	NORW
AVEE	-0.16	0.33	0.21	0.54	0.77	0.6		0.67	0.36	-0.06	AVEE
JPY	0.46	0.85	0.77	0.88	0.77	0.77	0.67		0.84	0.53	JPY
ISVL	0.6	0.97	0.96	0.92	0.61	0.86	0.36	0.84		0.76	ISVL
DSCF	0.86	0.79	0.84	0.76	0.32	0.45	-0.06	0.53	0.76		DSCF
	SQEW	PRXV	GMOV	FTHF	PPEM	NORW	AVEE	JPY	ISVL	DSCF

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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

ISVL	+ 0.97	PRXV
ISVL	+ 0.96	GMOV
GMOV	+ 0.95	PRXV
ISVL	+ 0.92	FTHF
FTHF	+ 0.91	PRXV
JPY	+ 0.88	FTHF

High negative correlations

AVEE	- 0.16	SQEW
DSCF	- 0.06	AVEE

Lazard Systematic Constituents Risk-Adjusted Indicators

There is a big difference between Lazard Etf performing well and Lazard Systematic ETF 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 Systematic'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
SQEW	0.53	0.14	0.00	(0.38)	0.46	(0.71)	1.71	(0.74)	5.13
PRXV	0.52	0.02	(0.01)	0.14	0.41	(0.62)	1.05	(0.98)	2.52
GMOV	0.60	0.08	(0.02)	0.66	0.55	(0.70)	1.29	(1.00)	2.86
FTHF	0.90	0.23	0.20	0.37	0.73	(1.03)	2.02	(1.58)	6.06
PPEM	0.78	0.08	(0.02)	0.70	0.94	(0.83)	1.87	(1.44)	5.07
NORW	0.72	0.04	(0.01)	0.19	0.89	(0.72)	1.51	(1.41)	4.84
AVEE	0.57	0.01	(0.05)	0.13	0.63	(0.56)	1.30	(1.02)	4.21
JPY	0.72	0.07	0.05	0.20	0.69	(0.80)	1.77	(1.47)	3.84
ISVL	0.52	0.10	0.07	0.27	0.34	(0.56)	1.32	(1.06)	2.69
DSCF	0.21	0.04	(0.31)	(13.40)	0.00	(0.25)	0.46	(0.33)	1.30

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