Lazard Small Correlations

LZSCX Fund

USD 14.00 0.03 0.21%

The current 90-days correlation between Lazard Small Mid and Forum Real Estate is 0.03 (i.e., Significant diversification). The correlation of Lazard Small 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 Small Correlation With Market

Very poor diversification

The correlation between Lazard Small Mid Cap and DJI is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Small Mid Cap 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 Small Mid Cap. 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 main economic indicators.

Moving together with Lazard Mutual Fund

1.0	LZCOX	Lazard Small Mid	Pair Corr
0.65	LZHYX	Lazard Corporate Income	Pair Corr
0.62	LZHOX	Lazard Corporate Income	Pair Corr
0.64	GESOX	Lazard Global Equity	Pair Corr
0.94	LZUOX	Lazard Strategic Equity	Pair Corr
0.86	LZUSX	Lazard Strategic Equity	Pair Corr
0.9	SUSTX	Lazard Sustainable Equity	Pair Corr
0.82	SUSLX	Lazard Sustainable Equity	Pair Corr
0.92	RUSRX	Lazard Systematic Small	Pair Corr

Moving against Lazard Mutual Fund

0.55	LZISX	Lazard International	Pair Corr
0.55	LZSMX	Lazard International	Pair Corr
0.47	LZESX	Lazard International	Pair Corr
0.45	LZSIX	Lazard International	Pair Corr
0.42	LZFOX	Lazard Equity Franchise	Pair Corr
0.42	LZFIX	Lazard Equity Franchise	Pair Corr
0.41	LZIOX	Lazard International	Pair Corr
0.4	LZIEX	Lazard International	Pair Corr
0.4	LISOX	Lazard International	Pair Corr
0.39	UMNOX	Lazard Short Duration	Pair Corr
0.37	LISIX	Lazard International	Pair Corr
0.36	UMNIX	Lazard Short Duration	Pair Corr
0.42	RLIEX	Lazard International	Pair Corr
0.39	RLITX	Lazard International	Pair Corr

Related Correlations Analysis

	FORFX	PHRAX	FIKMX	SRPIX	FREAX	CNREX	IVRSX	SEIRX
FORFX		0.19	-0.49	0.55	-0.38	-0.04	-0.49	0.27	FORFX
PHRAX	0.19		0.42	-0.69	0.64	0.61	0.57	0.99	PHRAX
FIKMX	-0.49	0.42		-0.68	0.87	0.65	0.9	0.41	FIKMX
SRPIX	0.55	-0.69	-0.68		-0.78	-0.57	-0.82	-0.62	SRPIX
FREAX	-0.38	0.64	0.87	-0.78		0.53	0.97	0.59	FREAX
CNREX	-0.04	0.61	0.65	-0.57	0.53		0.59	0.63	CNREX
IVRSX	-0.49	0.57	0.9	-0.82	0.97	0.59		0.52	IVRSX
SEIRX	0.27	0.99	0.41	-0.62	0.59	0.63	0.52		SEIRX
	FORFX	PHRAX	FIKMX	SRPIX	FREAX	CNREX	IVRSX	SEIRX

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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

SEIRX	+ 0.99	PHRAX
IVRSX	+ 0.97	FREAX
IVRSX	+ 0.9	FIKMX
FREAX	+ 0.87	FIKMX
CNREX	+ 0.65	FIKMX
FREAX	+ 0.64	PHRAX

High negative correlations

IVRSX	- 0.82	SRPIX
FREAX	- 0.78	SRPIX
SRPIX	- 0.69	PHRAX
SRPIX	- 0.68	FIKMX
SEIRX	- 0.62	SRPIX
CNREX	- 0.57	SRPIX

Risk-Adjusted Indicators

There is a big difference between Lazard Mutual Fund performing well and Lazard Small 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 Small'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
FORFX	0.06	0.00	0.00	0.00	0.00	0.00	0.11	0.00	0.93
PHRAX	0.68	(0.01)	(0.11)	0.06	0.84	(0.77)	1.23	(1.70)	3.69
FIKMX	0.21	(0.01)	(0.37)	0.03	0.23	(0.24)	0.49	(0.41)	1.22
SRPIX	0.74	0.04	(0.09)	(1.16)	0.78	(0.86)	1.65	(1.27)	4.28
FREAX	0.67	(0.02)	(0.13)	0.02	0.80	(0.70)	1.22	(1.37)	3.32
CNREX	0.61	0.01	(0.08)	0.14	0.81	(0.60)	1.22	(1.53)	3.86
IVRSX	0.66	(0.02)	(0.13)	(0.02)	0.86	(0.65)	1.19	(1.40)	3.20
SEIRX	0.69	0.00	(0.10)	0.11	0.84	(0.72)	1.27	(1.35)	3.65

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