EAEMX vs. LZEMX
EAEMX (Parametric Emerging Markets Fund) and LZEMX (Lazard Emerging Markets Equity Portfolio) are both Emerging Markets Diversified funds. Over the past 10 years, EAEMX returned 6.27%/yr vs 10.02%/yr for LZEMX. Their correlation of 0.93 suggests significant overlap in exposure. EAEMX charges 1.58%/yr vs 1.06%/yr for LZEMX.
Performance
EAEMX vs. LZEMX - Performance Comparison
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Returns By Period
In the year-to-date period, EAEMX achieves a 8.32% return, which is significantly lower than LZEMX's 22.81% return. Over the past 10 years, EAEMX has underperformed LZEMX with an annualized return of 6.27%, while LZEMX has yielded a comparatively higher 10.02% annualized return.
EAEMX
- 1D
- -1.32%
- 1M
- -2.45%
- 6M
- 4.05%
- YTD
- 8.32%
- 1Y
- 20.59%
- 3Y*
- 13.48%
- 5Y*
- 6.57%
- 10Y*
- 6.27%
LZEMX
- 1D
- -1.90%
- 1M
- -1.26%
- 6M
- 17.74%
- YTD
- 22.81%
- 1Y
- 42.70%
- 3Y*
- 25.47%
- 5Y*
- 13.55%
- 10Y*
- 10.02%
EAEMX vs. LZEMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAEMX Parametric Emerging Markets Fund | 8.32% | 27.16% | 5.39% | 9.46% | -11.27% | 4.19% | 2.65% | 12.32% | -14.02% | 27.03% |
LZEMX Lazard Emerging Markets Equity Portfolio | 22.81% | 41.35% | 7.60% | 22.44% | -14.86% | 5.37% | -0.07% | 18.06% | -18.11% | 28.02% |
Correlation
The correlation between EAEMX and LZEMX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2006 | 0.93 |
The correlation between EAEMX and LZEMX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.
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Return for Risk
EAEMX vs. LZEMX — Risk / Return Rank
EAEMX
LZEMX
EAEMX vs. LZEMX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Emerging Markets Fund (EAEMX) and Lazard Emerging Markets Equity Portfolio (LZEMX). 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.
| EAEMX | LZEMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.31 | ||
| Sortino ratioReturn per unit of downside risk | -1.55 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.54 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 2.11 | 4.13 | -2.02 |
| Martin ratioReturn relative to average drawdown | 7.25 | 14.24 | -7.00 |
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Drawdowns
EAEMX vs. LZEMX - Drawdown Comparison
The maximum EAEMX drawdown since its inception was -62.70%, roughly equal to the maximum LZEMX drawdown of -60.08%. Use the drawdown chart below to compare losses from any high point for EAEMX and LZEMX.
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Drawdown Indicators
| EAEMX | LZEMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.70% | -60.08% | -2.62% |
Max Drawdown (1Y)Largest decline over 1 year | -9.90% | -10.42% | +0.52% |
Max Drawdown (3Y)Largest decline over 3 years | -11.74% | -14.27% | +2.53% |
Max Drawdown (5Y)Largest decline over 5 years | -24.73% | -29.13% | +4.40% |
Max Drawdown (10Y)Largest decline over 10 years | -44.16% | -44.08% | -0.08% |
Current DrawdownCurrent decline from peak | -4.34% | -3.27% | -1.07% |
Average DrawdownAverage peak-to-trough decline | -13.42% | -16.58% | +3.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.88% | 3.01% | -0.13% |
Volatility
EAEMX vs. LZEMX - Volatility Comparison
The current volatility for Parametric Emerging Markets Fund (EAEMX) is 4.97%, while Lazard Emerging Markets Equity Portfolio (LZEMX) has a volatility of 5.61%. This indicates that EAEMX experiences smaller price fluctuations and is considered to be less risky than LZEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EAEMX | LZEMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.97% | 5.61% | -0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 11.34% | 12.60% | -1.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.66% | 14.53% | -1.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.84% | 14.55% | -2.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.38% | 16.34% | -2.96% |
EAEMX vs. LZEMX - Expense Ratio Comparison
EAEMX has a 1.58% expense ratio, which is higher than LZEMX's 1.06% expense ratio.
Dividends
EAEMX vs. LZEMX - Dividend Comparison
EAEMX's dividend yield for the trailing twelve months is around 2.61%, more than LZEMX's 1.67% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EAEMX Parametric Emerging Markets Fund | 2.61% | 2.83% | 3.00% | 2.71% | 4.40% | 1.64% | 1.08% | 2.48% | 2.14% | 2.31% | 1.52% | 1.68% |
LZEMX Lazard Emerging Markets Equity Portfolio | 1.67% | 2.05% | 3.11% | 3.76% | 5.92% | 4.89% | 2.11% | 2.45% | 2.10% | 1.99% | 1.48% | 2.14% |
Frequently Asked Questions
With a correlation of 0.91, EAEMX and LZEMX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
LZEMX has higher volatility (5.61%) compared to EAEMX (4.97%). In terms of maximum drawdown, EAEMX dropped -62.70% vs LZEMX's -60.08%.
LZEMX currently has the higher Sharpe Ratio (2.97 vs 1.65), 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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