ICMPX vs. GQETX
ICMPX (Lazard International Quality Growth Portfolio) and GQETX (GMO Quality Fund) are both Quality Factor funds. Over the past 5 years, ICMPX returned 1.42%/yr vs 12.74%/yr for GQETX. Their correlation of 0.80 means they have usually moved in the same direction. ICMPX charges 0.85%/yr vs 0.49%/yr for GQETX.
Performance
ICMPX vs. GQETX - 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 GQETX's 7.37% 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%
GQETX
- 1D
- 0.80%
- 1M
- 0.69%
- 6M
- 4.85%
- YTD
- 7.37%
- 1Y
- 22.56%
- 3Y*
- 16.24%
- 5Y*
- 12.74%
- 10Y*
- 15.89%
- ALL TIME*
- 11.71%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
GQETX GMO Quality Fund | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
ICMPX vs. GQETX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | -1.00% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 23.95% | 32.86% |
GQETX GMO Quality Fund | 7.37% | 19.61% | 17.76% | 28.94% | -15.33% | 31.67% | 18.33% | 32.16% |
Correlation
The correlation between ICMPX and GQETX is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.79 |
Correlation (3Y) Balances recent behavior with more history. | 0.78 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019 | 0.80 |
The correlation between ICMPX and GQETX has been stable across timeframes, ranging from 0.78 to 0.81 - a consistent structural relationship.
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Return for Risk
ICMPX vs. GQETX — Risk / Return Rank
ICMPX
GQETX
ICMPX vs. GQETX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and GMO Quality Fund (GQETX). 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 | GQETX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.57 | ||
| Sortino ratioReturn per unit of downside risk | -2.10 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.29 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | 0.08 | 1.66 | -1.58 |
| Martin ratioReturn relative to average drawdown | 0.21 | 6.56 | -6.35 |
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Drawdowns
ICMPX vs. GQETX - Drawdown Comparison
The maximum ICMPX drawdown since its inception was -34.70%, smaller than the maximum GQETX drawdown of -39.99%. Use the drawdown chart below to compare losses from any high point for ICMPX and GQETX.
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Drawdown Indicators
| ICMPX | GQETX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.70% | -39.99% | +5.29% |
Max Drawdown (1Y)Largest decline over 1 year | -15.45% | -12.76% | -2.69% |
Max Drawdown (3Y)Largest decline over 3 years | -15.45% | -15.54% | +0.09% |
Max Drawdown (5Y)Largest decline over 5 years | -34.70% | -24.22% | -10.48% |
Max Drawdown (10Y)Largest decline over 10 years | — | -30.44% | — |
Current DrawdownCurrent decline from peak | -5.00% | 0.00% | -5.00% |
Average DrawdownAverage peak-to-trough decline | -8.75% | -4.97% | -3.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.06% | 3.23% | +2.83% |
Volatility
ICMPX vs. GQETX - Volatility Comparison
Lazard International Quality Growth Portfolio (ICMPX) has a higher volatility of 4.44% compared to GMO Quality Fund (GQETX) at 3.19%. This indicates that ICMPX's price experiences larger fluctuations and is considered to be riskier than GQETX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ICMPX | GQETX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 3.19% | +1.25% |
Volatility (6M)Calculated over the trailing 6-month period | 11.60% | 10.18% | +1.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.26% | 12.83% | +1.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.47% | 15.93% | +0.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.58% | 17.06% | +0.52% |
ICMPX vs. GQETX - Expense Ratio Comparison
ICMPX has a 0.85% expense ratio, which is higher than GQETX's 0.49% expense ratio.
Dividends
ICMPX vs. GQETX - Dividend Comparison
ICMPX's dividend yield for the trailing twelve months is around 4.39%, less than GQETX's 11.15% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GQETX GMO Quality Fund | 11.15% | 11.16% | 3.91% | 3.43% | 11.85% | 10.19% | 13.61% | 8.08% | 21.66% | 8.10% | 3.56% | 17.25% |
ICMPX Lazard International Quality Growth Portfolio | 4.39% | 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
ICMPX and GQETX have a correlation of 0.79, 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 GQETX (3.19%). In terms of maximum drawdown, ICMPX dropped -34.70% vs GQETX's -39.99%.
GQETX currently has the higher Sharpe Ratio (1.66 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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