Macroaxis considers Lazard relatively not risky given 1 month investment horizon. Lazard Ltd
has Sharpe Ratio of 0.2 which conveys that Lazard Ltd
had 0.2% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for Lazard which you can use to evaluate future volatility of the firm. Please exercises Lazard Ltd Downside Deviation
of 1.31, Mean Deviation
of 0.7607 and Risk Adjusted Performance
of 0.096 to check out if our risk estimates are consistent with your expectations.
Projected Return Density against Market
Considering 30-days investment horizon, Lazard has beta of 0.62 indicating as returns on market go up, Lazard avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lazard Ltd will be expected to be much smaller as well. Moreover, Lazard Ltd has alpha of 0.1562 implying that it can potentially generate 0.1562% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of Lazard is 498.97. The daily returns are destributed with a variance of 1.11 and standard deviation of 1.05. The mean deviation of Lazard Ltd is currently at 0.76. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.45
Actual Return Volatility
Lazard Ltd has volatility of 1.05%
on return distribution over 30 days investment horizon. S&P 500 shows 0.45% volatility of returns over 30 trading days.