DMO vs. LGI
DMO (Dimensional Multi-Asset Fund) and LGI (Lazard Global Total Return and Income Fund) are both Global Allocation funds. Over the past 10 years, DMO returned 3.75%/yr vs 12.96%/yr for LGI. Their 0.23 correlation means their historical movements had little consistent relationship. DMO charges 0.04%/yr vs 0.02%/yr for LGI.
Performance
DMO vs. LGI - Performance Comparison
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Returns By Period
In the year-to-date period, DMO achieves a 0.98% return, which is significantly lower than LGI's 10.22% return. Over the past 10 years, DMO has underperformed LGI with an annualized return of 3.75%, while LGI has yielded a comparatively higher 12.96% annualized return.
DMO
- 1D
- -0.10%
- 1M
- -2.44%
- 6M
- 0.79%
- YTD
- 0.98%
- 1Y
- -0.66%
- 3Y*
- 11.17%
- 5Y*
- 4.03%
- 10Y*
- 3.75%
- ALL TIME*
- 8.24%
LGI
- 1D
- 0.22%
- 1M
- -1.94%
- 6M
- 4.25%
- YTD
- 10.22%
- 1Y
- 20.25%
- 3Y*
- 15.74%
- 5Y*
- 6.89%
- 10Y*
- 12.96%
- ALL TIME*
- 8.35%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $406.77K | $422.33K | $418.75K | |
| $635.58K | $624.93K | $658.03K |
DMO vs. LGI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 0.98% | 6.95% | 20.24% | 16.79% | -21.64% | 17.12% | -22.32% | 9.10% | -2.04% | 23.46% |
LGI Lazard Global Total Return and Income Fund | 10.22% | 21.36% | 14.00% | 12.89% | -20.57% | 25.28% | 17.04% | 30.25% | -10.51% | 39.37% |
Correlation
The correlation between DMO and LGI is 0.23, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.23 |
Correlation (3Y) Balances recent behavior with more history. | 0.22 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.27 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.26 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2010 | 0.23 |
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Return for Risk
DMO vs. LGI — Risk / Return Rank
DMO
LGI
DMO vs. LGI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Multi-Asset Fund (DMO) and Lazard Global Total Return and Income Fund (LGI). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DMO | LGI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.16 | ||
| Sortino ratioReturn per unit of downside risk | -1.53 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.22 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | -0.05 | 0.87 | -0.93 |
| Martin ratioReturn relative to average drawdown | -0.12 | 3.04 | -3.16 |
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Drawdowns
DMO vs. LGI - Drawdown Comparison
The maximum DMO drawdown since its inception was -49.16%, smaller than the maximum LGI drawdown of -63.34%. Use the drawdown chart below to compare losses from any high point for DMO and LGI.
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Drawdown Indicators
| DMO | LGI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.16% | -63.34% | +14.18% |
Max Drawdown (1Y)Largest decline over 1 year | -8.37% | -21.25% | +12.88% |
Max Drawdown (3Y)Largest decline over 3 years | -9.04% | -21.95% | +12.91% |
Max Drawdown (5Y)Largest decline over 5 years | -29.04% | -32.84% | +3.80% |
Max Drawdown (10Y)Largest decline over 10 years | -49.16% | -42.94% | -6.22% |
Current DrawdownCurrent decline from peak | -5.13% | -4.76% | -0.37% |
Average DrawdownAverage peak-to-trough decline | -9.55% | -10.90% | +1.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.58% | 6.09% | -2.51% |
Volatility
DMO vs. LGI - Volatility Comparison
The current volatility for Dimensional Multi-Asset Fund (DMO) is 1.47%, while Lazard Global Total Return and Income Fund (LGI) has a volatility of 4.07%. This indicates that DMO experiences smaller price fluctuations and is considered to be less risky than LGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DMO | LGI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.47% | 4.07% | -2.60% |
Volatility (6M)Calculated over the trailing 6-month period | 7.76% | 14.79% | -7.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.06% | 16.66% | -6.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.64% | 19.35% | -6.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.91% | 20.00% | -0.09% |
DMO vs. LGI - Expense Ratio Comparison
DMO has a 0.04% expense ratio, which is higher than LGI's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
DMO vs. LGI - Dividend Comparison
DMO's dividend yield for the trailing twelve months is around 14.31%, more than LGI's 9.98% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 14.31% | 14.01% | 12.92% | 11.46% | 11.51% | 8.88% | 10.95% | 9.63% | 18.93% | 13.30% | 13.19% | 14.09% |
LGI Lazard Global Total Return and Income Fund | 9.98% | 10.08% | 9.19% | 7.32% | 10.22% | 9.77% | 7.17% | 6.44% | 19.88% | 5.46% | 6.94% | 8.52% |
Frequently Asked Questions
DMO and LGI have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LGI has higher volatility (4.07%) compared to DMO (1.47%). In terms of maximum drawdown, DMO dropped -49.16% vs LGI's -63.34%.
LGI currently has the higher Sharpe Ratio (1.11 vs -0.04), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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