Lazard Capital Allocator Fund Market Value
| LCAOX Fund | USD 10.10 0.02 0.20% |
| Symbol | Lazard |
Lazard Capital 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Lazard Capital's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Lazard Capital.
| 10/21/2023 |
| 04/18/2024 |
If you would invest 0.00 in Lazard Capital on October 21, 2023 and sell it all today you would earn a total of 0.00 from holding Lazard Capital Allocator or generate 0.0% return on investment in Lazard Capital over 180 days. Lazard Capital is related to or competes with Lazard Capital, Cullen International, Cullen High, Lazard International, and Arbitrage Event. The fund utilizes an asset allocation strategy to invest in a global portfolio of uncorrelated assets that can include e... More
Lazard Capital Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Lazard Capital's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Lazard Capital Allocator upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6837 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.81 | |||
| Value At Risk | (1.15) | |||
| Potential Upside | 0.8662 |
Lazard Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lazard Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lazard Capital's standard deviation. In reality, there are many statistical measures that can use Lazard Capital historical prices to predict the future Lazard Capital's volatility.| Risk Adjusted Performance | 0.0245 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0157 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lazard Capital's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Lazard Capital Allocator Backtested Returns
We consider Lazard Capital very steady. Lazard Capital Allocator has Sharpe Ratio of 0.0334, which conveys that the entity had a 0.0334% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Lazard Capital, which you can use to evaluate the volatility of the fund. Please verify Lazard Capital's Risk Adjusted Performance of 0.0245, downside deviation of 0.6837, and Mean Deviation of 0.5096 to check out if the risk estimate we provide is consistent with the expected return of 0.0209%. The fund secures a Beta (Market Risk) of 0.93, which conveys possible diversification benefits within a given portfolio. Lazard Capital returns are very sensitive to returns on the market. As the market goes up or down, Lazard Capital is expected to follow.
Auto-correlation | 0.85 |
Very good predictability
Lazard Capital Allocator has very good predictability. Overlapping area represents the amount of predictability between Lazard Capital time series from 21st of October 2023 to 19th of January 2024 and 19th of January 2024 to 18th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Lazard Capital Allocator price movement. The serial correlation of 0.85 indicates that around 85.0% of current Lazard Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Lazard Capital Allocator lagged returns against current returns
Autocorrelation, which is Lazard Capital mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Lazard Capital's mutual fund expected returns. We can calculate the autocorrelation of Lazard Capital returns to help us make a trade decision. For example, suppose you find that Lazard Capital has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Lazard Capital regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Lazard Capital mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lazard Capital mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lazard Capital mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Lazard Capital Lagged Returns
When evaluating Lazard Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lazard Capital mutual fund have on its future price. Lazard Capital autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Lazard Capital autocorrelation shows the relationship between Lazard Capital mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Lazard Capital Allocator.
Regressed Prices |
| Timeline |
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Lazard Capital technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.