ICMPX vs. FQITX
ICMPX (Lazard International Quality Growth Portfolio) and FQITX (Fidelity SAI International Quality Index Fund) are both Quality Factor funds. Over the past 5 years, ICMPX returned 1.42%/yr vs 5.54%/yr for FQITX. Their correlation of 0.91 means they have usually moved in the same direction. ICMPX charges 0.85%/yr vs 0.19%/yr for FQITX.
Performance
ICMPX vs. FQITX - Performance Comparison
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Returns By Period
In the year-to-date period, ICMPX achieves a -1.00% return, which is significantly lower than FQITX's 10.38% return.
ICMPX
- 1D
- -1.57%
- 1M
- 1.62%
- 6M
- -2.82%
- YTD
- -1.00%
- 1Y
- 1.79%
- 3Y*
- 6.65%
- 5Y*
- 1.42%
- 10Y*
- —
- ALL TIME*
- 9.53%
FQITX
- 1D
- -1.02%
- 1M
- 0.52%
- 6M
- 5.65%
- YTD
- 10.38%
- 1Y
- 19.36%
- 3Y*
- 11.07%
- 5Y*
- 5.54%
- 10Y*
- —
- ALL TIME*
- 10.81%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
ICMPX vs. FQITX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | -1.00% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 39.19% |
FQITX Fidelity SAI International Quality Index Fund | 10.38% | 17.04% | 1.04% | 18.44% | -17.12% | 14.00% | 29.60% |
Correlation
The correlation between ICMPX and FQITX is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.89 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.91 |
Correlation (All Time) Calculated using the full available price history since May 12, 2020 | 0.91 |
The correlation between ICMPX and FQITX has been stable across timeframes, ranging from 0.87 to 0.91 - a consistent structural relationship.
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Return for Risk
ICMPX vs. FQITX — Risk / Return Rank
ICMPX
FQITX
ICMPX vs. FQITX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and Fidelity SAI International Quality Index Fund (FQITX). 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.
| ICMPX | FQITX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.09 | ||
| Sortino ratioReturn per unit of downside risk | -1.51 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.21 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 0.08 | 1.52 | -1.43 |
| Martin ratioReturn relative to average drawdown | 0.21 | 5.48 | -5.27 |
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Drawdowns
ICMPX vs. FQITX - Drawdown Comparison
The maximum ICMPX drawdown since its inception was -34.70%, which is greater than FQITX's maximum drawdown of -31.39%. Use the drawdown chart below to compare losses from any high point for ICMPX and FQITX.
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Drawdown Indicators
| ICMPX | FQITX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.70% | -31.39% | -3.31% |
Max Drawdown (1Y)Largest decline over 1 year | -15.45% | -12.89% | -2.56% |
Max Drawdown (3Y)Largest decline over 3 years | -15.45% | -15.68% | +0.23% |
Max Drawdown (5Y)Largest decline over 5 years | -34.70% | -31.39% | -3.31% |
Current DrawdownCurrent decline from peak | -5.00% | -1.02% | -3.98% |
Average DrawdownAverage peak-to-trough decline | -8.75% | -6.69% | -2.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.06% | 3.56% | +2.50% |
Volatility
ICMPX vs. FQITX - Volatility Comparison
Lazard International Quality Growth Portfolio (ICMPX) has a higher volatility of 4.44% compared to Fidelity SAI International Quality Index Fund (FQITX) at 3.87%. This indicates that ICMPX's price experiences larger fluctuations and is considered to be riskier than FQITX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ICMPX | FQITX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 3.87% | +0.57% |
Volatility (6M)Calculated over the trailing 6-month period | 11.60% | 13.88% | -2.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.26% | 16.62% | -2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.47% | 16.81% | -0.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.58% | 16.41% | +1.17% |
ICMPX vs. FQITX - Expense Ratio Comparison
ICMPX has a 0.85% expense ratio, which is higher than FQITX's 0.19% expense ratio.
Dividends
ICMPX vs. FQITX - Dividend Comparison
ICMPX's dividend yield for the trailing twelve months is around 4.39%, more than FQITX's 1.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
FQITX Fidelity SAI International Quality Index Fund | 1.85% | 2.04% | 1.60% | 2.54% | 3.13% | 11.07% | 0.00% | 0.00% |
ICMPX Lazard International Quality Growth Portfolio | 4.39% | 4.35% | 2.92% | 0.62% | 1.07% | 2.04% | 0.87% | 2.47% |
Frequently Asked Questions
ICMPX and FQITX have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ICMPX has higher volatility (4.44%) compared to FQITX (3.87%). In terms of maximum drawdown, ICMPX dropped -34.70% vs FQITX's -31.39%.
FQITX currently has the higher Sharpe Ratio (1.18 vs 0.09), 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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