ICMPX vs. GIOTX

Last updated Jul 14, 2026

ICMPX (Lazard International Quality Growth Portfolio) and GIOTX (GMO International Developed Equity Allocation Fund) are both Foreign Large Cap Equities funds. Over the past 5 years, ICMPX returned 1.45%/yr vs 14.46%/yr for GIOTX. Their correlation of 0.82 suggests significant overlap in exposure. ICMPX charges 0.85%/yr vs 0.00%/yr for GIOTX.

Performance

ICMPX vs. GIOTX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard International Quality Growth Portfolio (ICMPX) and GMO International Developed Equity Allocation Fund (GIOTX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ICMPX achieves a -2.40% return, which is significantly lower than GIOTX's 18.20% return.

ICMPX

• 1D: 0.12%
• 1M: 0.91%
• 6M: -6.03%
• YTD: -2.40%
• 1Y: -1.97%
• 3Y*: 6.90%
• 5Y*: 1.45%
• 10Y*: —

GIOTX

• 1D: 0.72%
• 1M: -0.14%
• 6M: 14.30%
• YTD: 18.20%
• 1Y: 38.74%
• 3Y*: 26.68%
• 5Y*: 14.46%
• 10Y*: 12.05%

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

ICMPX vs. GIOTX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
ICMPX Lazard International Quality Growth Portfolio	-2.40%	11.70%	5.62%	17.84%	-20.11%	10.02%	23.95%	32.86%
GIOTX GMO International Developed Equity Allocation Fund	18.20%	43.70%	10.66%	21.03%	-12.41%	11.14%	7.43%	25.10%

Correlation

The correlation between ICMPX and GIOTX is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.82

The correlation between ICMPX and GIOTX has been stable across timeframes, ranging from 0.73 to 0.82 - a consistent structural relationship.

Return for Risk

ICMPX vs. GIOTX — Risk / Return Rank

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

ICMPX

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

GIOTX

GIOTX Risk / Return Rank: 87
GIOTX Sharpe Ratio Rank: 88
GIOTX Sortino Ratio Rank: 84
GIOTX Omega Ratio Rank: 83
GIOTX Calmar Ratio Rank: 89
GIOTX Martin Ratio Rank: 90

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.

ICMPX vs. GIOTX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and GMO International Developed Equity Allocation Fund (GIOTX). 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	GIOTX	Difference
Sharpe ratio: Return per unit of total volatility	-0.22	2.35	-2.57
Sortino ratio: Return per unit of downside risk	-0.21	3.23	-3.44
Omega ratio: Gain probability vs. loss probability	0.98	1.43	-0.45
Calmar ratio: Return relative to maximum drawdown	-0.20	3.54	-3.74
Martin ratio: Return relative to average drawdown	-0.51	13.70	-14.21

ICMPX vs. GIOTX - Sharpe Ratio Comparison

The current ICMPX Sharpe Ratio is -0.22, which is lower than the GIOTX Sharpe Ratio of 2.35. The chart below compares the historical Sharpe Ratios of ICMPX and GIOTX, 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

ICMPX vs. GIOTX - Drawdown Comparison

The maximum ICMPX drawdown since its inception was -34.70%, smaller than the maximum GIOTX drawdown of -56.51%. Use the drawdown chart below to compare losses from any high point for ICMPX and GIOTX.

Drawdown Indicators

	ICMPX	GIOTX	Difference
Max Drawdown Largest peak-to-trough decline	-34.70%	-56.51%	+21.81%
Max Drawdown (1Y) Largest decline over 1 year	-15.45%	-10.66%	-4.79%
Max Drawdown (3Y) Largest decline over 3 years	-15.45%	-13.40%	-2.05%
Max Drawdown (5Y) Largest decline over 5 years	-34.70%	-28.34%	-6.36%
Max Drawdown (10Y) Largest decline over 10 years	—	-39.29%	—
Current Drawdown Current decline from peak	-6.35%	-1.16%	-5.19%
Average Drawdown Average peak-to-trough decline	-8.77%	-14.17%	+5.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.91%	2.76%	+3.15%

Volatility

ICMPX vs. GIOTX - Volatility Comparison

The current volatility for Lazard International Quality Growth Portfolio (ICMPX) is 3.43%, while GMO International Developed Equity Allocation Fund (GIOTX) has a volatility of 5.59%. This indicates that ICMPX experiences smaller price fluctuations and is considered to be less risky than GIOTX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ICMPX	GIOTX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.43%	5.59%	-2.16%
Volatility (6M) Calculated over the trailing 6-month period	11.45%	13.20%	-1.75%
Volatility (1Y) Calculated over the trailing 1-year period	13.99%	16.05%	-2.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.42%	15.51%	+0.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.59%	16.13%	+1.46%

ICMPX vs. GIOTX - Expense Ratio Comparison

ICMPX has a 0.85% expense ratio, which is higher than GIOTX's 0.00% expense ratio.

Dividends

ICMPX vs. GIOTX - Dividend Comparison

ICMPX's dividend yield for the trailing twelve months is around 4.46%, less than GIOTX's 8.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GIOTX GMO International Developed Equity Allocation Fund	8.62%	8.04%	5.07%	6.54%	4.45%	6.67%	4.48%	3.74%	3.90%	3.15%	4.04%	3.39%
ICMPX Lazard International Quality Growth Portfolio	4.46%	4.35%	2.92%	0.62%	1.07%	2.04%	0.87%	2.47%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ICMPX and GIOTX in my portfolio?

ICMPX and GIOTX have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ICMPX or GIOTX?

GIOTX has higher volatility (5.59%) compared to ICMPX (3.43%). In terms of maximum drawdown, ICMPX dropped -34.70% vs GIOTX's -56.51%.

Which has better risk-adjusted returns?

GIOTX currently has the higher Sharpe Ratio (2.35 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.