Lazard Global Correlations

GESIX Fund

USD 20.20 0.11 0.55%

The current 90-days correlation between Lazard Global Equity and Western Asset Total is 0.46 (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. If the correlation is 0, the equities are not correlated; they are entirely random.

Lazard Global Correlation With Market

Significant diversification

The correlation between Lazard Global Equity and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Global Equity 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 Equity. 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 gross domestic product.

Moving together with Lazard Mutual Fund

0.65	LZHYX	Lazard Corporate Income	Pair Corr
0.64	LZHOX	Lazard Corporate Income	Pair Corr
0.87	GESOX	Lazard Global Equity	Pair Corr
0.69	LZUSX	Lazard Strategic Equity	Pair Corr
0.64	SUSTX	Lazard Sustainable Equity	Pair Corr
0.78	SUSLX	Lazard Sustainable Equity	Pair Corr

Related Correlations Analysis

	WAARX	GESSX	GESLX	PJGZX	ODVNX
WAARX		0.58	0.7	-0.27	0.06	WAARX
GESSX	0.58		0.31	0.08	0.3	GESSX
GESLX	0.7	0.31		-0.11	-0.33	GESLX
PJGZX	-0.27	0.08	-0.11		-0.34	PJGZX
ODVNX	0.06	0.3	-0.33	-0.34		ODVNX
	WAARX	GESSX	GESLX	PJGZX	ODVNX

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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

GESLX	+ 0.7	WAARX
GESSX	+ 0.58	WAARX
GESLX	+ 0.31	GESSX
ODVNX	+ 0.3	GESSX
PJGZX	+ 0.08	GESSX
ODVNX	+ 0.06	WAARX

High negative correlations

ODVNX	- 0.34	PJGZX
ODVNX	- 0.33	GESLX
PJGZX	- 0.27	WAARX
PJGZX	- 0.11	GESLX

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
WAARX	0.13	0.00	(0.54)	0.00	0.11	(0.18)	0.22	(0.33)	0.77
GESSX	0.81	0.02	(0.06)	0.19	0.94	(0.88)	1.64	(1.59)	4.28
GESLX	0.40	(0.03)	0.00	(0.25)	0.00	0.00	0.82	(0.79)	2.22
PJGZX	0.49	0.13	0.04	2.46	0.18	(0.59)	1.18	(0.69)	3.77
ODVNX	0.76	(0.01)	(0.11)	0.07	0.84	(0.86)	1.48	(1.59)	5.28

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