Lazard Short Correlations

UMNOX Fund

USD 9.63 0.01 0.10%

The current 90-days correlation between Lazard Short Duration and Lazard International Quality is -0.1 (i.e., Good diversification). The correlation of Lazard Short 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 Short Correlation With Market

Average diversification

The correlation between Lazard Short Duration and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Short Duration and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Lazard Short Duration. 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 producer price index.

Moving together with Lazard Mutual Fund

0.64	LZEMX	Lazard Emerging Markets	Pair Corr
0.66	LZIEX	Lazard International	Pair Corr
0.66	LZIOX	Lazard International	Pair Corr
0.71	LZSMX	Lazard International	Pair Corr
0.64	UMNIX	Lazard Short Duration	Pair Corr

Related Correlations Analysis

	OCMPX	LZCOX	LZFOX	LZEMX	LZESX	LZFIX	LZHYX	LZIEX	LZIOX	LZHOX
OCMPX		0.5	0.47	0.43	0.28	0.32	0.21	0.45	0.45	0.26	OCMPX
LZCOX	0.5		0.4	0.75	0.41	0.26	0.4	0.51	0.51	0.46	LZCOX
LZFOX	0.47	0.4		0.12	0.18	0.86	-0.03	0.11	0.11	-0.04	LZFOX
LZEMX	0.43	0.75	0.12		0.7	0.13	0.6	0.87	0.87	0.73	LZEMX
LZESX	0.28	0.41	0.18	0.7		0.31	0.68	0.81	0.81	0.75	LZESX
LZFIX	0.32	0.26	0.86	0.13	0.31		-0.01	0.18	0.18	-0.01	LZFIX
LZHYX	0.21	0.4	-0.03	0.6	0.68	-0.01		0.64	0.64	0.87	LZHYX
LZIEX	0.45	0.51	0.11	0.87	0.81	0.18	0.64		1.0	0.71	LZIEX
LZIOX	0.45	0.51	0.11	0.87	0.81	0.18	0.64	1.0		0.71	LZIOX
LZHOX	0.26	0.46	-0.04	0.73	0.75	-0.01	0.87	0.71	0.71		LZHOX
	OCMPX	LZCOX	LZFOX	LZEMX	LZESX	LZFIX	LZHYX	LZIEX	LZIOX	LZHOX

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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

LZIOX	+ 1.0	LZIEX
LZIEX	+ 0.87	LZEMX
LZIOX	+ 0.87	LZEMX
LZHOX	+ 0.87	LZHYX
LZFIX	+ 0.86	LZFOX
LZIEX	+ 0.81	LZESX

High negative correlations

LZHOX	- 0.04	LZFOX
LZHYX	- 0.03	LZFOX
LZHOX	- 0.01	LZFIX
LZHYX	- 0.01	LZFIX

Risk-Adjusted Indicators

There is a big difference between Lazard Mutual Fund performing well and Lazard Short 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 Short'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
OCMPX	0.58	0.00	(0.12)	0.11	0.76	(0.57)	1.23	(1.30)	2.78
LZCOX	0.97	0.08	(0.03)	(1.04)	1.27	(0.99)	1.99	(1.90)	7.50
LZFOX	0.64	(0.02)	0.00	(0.10)	0.00	0.00	1.42	(1.51)	4.48
LZEMX	0.51	0.04	0.00	0.18	0.46	(0.59)	1.36	(1.09)	4.03
LZESX	0.56	0.05	(0.11)	(0.19)	0.62	(0.64)	1.34	(1.13)	3.56
LZFIX	0.65	(0.11)	(0.11)	0.00	0.93	(0.65)	1.42	(1.50)	4.36
LZHYX	0.11	0.03	(0.62)	0.41	0.00	(0.15)	0.28	(0.16)	0.82
LZIEX	0.59	(0.02)	(0.06)	0.09	0.60	(0.66)	1.17	(1.20)	3.67
LZIOX	0.59	(0.02)	(0.06)	0.08	0.60	(0.66)	1.15	(1.23)	3.56
LZHOX	0.10	0.03	(0.68)	1.06	0.00	(0.16)	0.32	(0.16)	0.76

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