HGLB vs. LGI

Last updated Jun 26, 2026

HGLB (Highland Global Allocation Fund) and LGI (Lazard Global Total Return and Income Fund) are both Global Allocation funds. Over the past 5 years, HGLB returned 7.57%/yr vs 6.79%/yr for LGI. At a 0.33 correlation, their price movements are largely independent. HGLB charges 0.02%/yr vs 0.02%/yr for LGI.

Performance

HGLB vs. LGI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Highland Global Allocation Fund (HGLB) and Lazard Global Total Return and Income Fund (LGI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HGLB achieves a -14.07% return, which is significantly lower than LGI's 9.38% return.

HGLB

• 1D: 0.41%
• 1M: -6.37%
• YTD: -14.07%
• 6M: -14.91%
• 1Y: -4.68%
• 3Y*: 8.18%
• 5Y*: 7.57%
• 10Y*: —

LGI

• 1D: 0.06%
• 1M: 0.58%
• YTD: 9.38%
• 6M: 8.45%
• 1Y: 21.47%
• 3Y*: 16.30%
• 5Y*: 6.79%
• 10Y*: 14.02%

*Multi-year figures are annualized to reflect compound growth (CAGR)

HGLB vs. LGI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
HGLB Highland Global Allocation Fund	-14.07%	51.74%	-1.52%	-6.15%	14.53%	53.22%	-17.98%	-31.46%
LGI Lazard Global Total Return and Income Fund	9.38%	21.36%	14.00%	12.89%	-20.57%	25.28%	17.04%	19.18%

Correlation

The correlation between HGLB and LGI is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.34
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.31
Correlation (All Time) Calculated using the full available price history since Feb 19, 2019	0.33

Return for Risk

HGLB vs. LGI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HGLB

HGLB Risk / Return Rank: 2
HGLB Sharpe Ratio Rank: 2
HGLB Sortino Ratio Rank: 2
HGLB Omega Ratio Rank: 2
HGLB Calmar Ratio Rank: 2
HGLB Martin Ratio Rank: 2

LGI

LGI Risk / Return Rank: 25
LGI Sharpe Ratio Rank: 31
LGI Sortino Ratio Rank: 27
LGI Omega Ratio Rank: 35
LGI Calmar Ratio Rank: 14
LGI Martin Ratio Rank: 17

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HGLB vs. LGI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Highland Global Allocation Fund (HGLB) 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.

	HGLB	LGI	Difference
Sharpe ratio: Return per unit of total volatility	-0.22	1.33	-1.55
Sortino ratio: Return per unit of downside risk	-0.18	1.81	-1.99
Omega ratio: Gain probability vs. loss probability	0.98	1.26	-0.28
Calmar ratio: Return relative to maximum drawdown	-0.20	1.02	-1.21
Martin ratio: Return relative to average drawdown	-0.39	3.61	-4.00

HGLB vs. LGI - Sharpe Ratio Comparison

The current HGLB Sharpe Ratio is -0.22, which is lower than the LGI Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of HGLB and LGI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HGLB vs. LGI - Drawdown Comparison

The maximum HGLB drawdown since its inception was -70.40%, which is greater than LGI's maximum drawdown of -63.34%. Use the drawdown chart below to compare losses from any high point for HGLB and LGI.

Drawdown Indicators

	HGLB	LGI	Difference
Max Drawdown Largest peak-to-trough decline	-70.40%	-63.34%	-7.06%
Max Drawdown (1Y) Largest decline over 1 year	-23.86%	-21.25%	-2.61%
Max Drawdown (3Y) Largest decline over 3 years	-23.86%	-21.95%	-1.91%
Max Drawdown (5Y) Largest decline over 5 years	-29.88%	-32.84%	+2.96%
Max Drawdown (10Y) Largest decline over 10 years	—	-42.94%	—
Current Drawdown Current decline from peak	-23.55%	-5.48%	-18.07%
Average Drawdown Average peak-to-trough decline	-18.20%	-10.93%	-7.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	12.05%	5.97%	+6.08%

Volatility

HGLB vs. LGI - Volatility Comparison

Highland Global Allocation Fund (HGLB) has a higher volatility of 6.03% compared to Lazard Global Total Return and Income Fund (LGI) at 3.73%. This indicates that HGLB's price experiences larger fluctuations and is considered to be riskier than LGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HGLB	LGI	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.03%	3.73%	+2.30%
Volatility (6M) Calculated over the trailing 6-month period	12.85%	14.39%	-1.54%
Volatility (1Y) Calculated over the trailing 1-year period	21.20%	16.28%	+4.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.12%	19.32%	+2.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.61%	20.02%	+7.59%

HGLB vs. LGI - Expense Ratio Comparison

HGLB has a 0.02% expense ratio, which is lower than LGI's 0.02% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

HGLB vs. LGI - Dividend Comparison

HGLB's dividend yield for the trailing twelve months is around 14.07%, more than LGI's 9.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HGLB Highland Global Allocation Fund	14.07%	11.57%	14.27%	12.82%	10.32%	9.39%	15.44%	11.35%	0.00%	0.00%	0.00%	0.00%
LGI Lazard Global Total Return and Income Fund	9.94%	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

Can I hold both HGLB and LGI in my portfolio?

HGLB and LGI have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HGLB or LGI?

HGLB has higher volatility (6.03%) compared to LGI (3.73%). In terms of maximum drawdown, HGLB dropped -70.40% vs LGI's -63.34%.

Which has better risk-adjusted returns?

LGI currently has the higher Sharpe Ratio (1.33 vs -0.22), 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.