ICMPX vs. LEOOX
ICMPX (Lazard International Quality Growth Portfolio) and LEOOX (Lazard Enhanced Opportunities Portfolio Open Shares) are both mutual funds - ICMPX is a Quality Factor fund managed by Lazard, while LEOOX is a Convertible Bonds fund actively managed by Lazard. Over the past 5 years, ICMPX returned 1.42%/yr vs 5.14%/yr for LEOOX. Their 0.20 correlation means their historical movements had little consistent relationship. ICMPX charges 0.85%/yr vs 1.50%/yr for LEOOX.
Performance
ICMPX vs. LEOOX - 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 LEOOX's 4.97% 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%
LEOOX
- 1D
- 0.40%
- 1M
- 0.40%
- 6M
- 3.44%
- YTD
- 4.97%
- 1Y
- 9.52%
- 3Y*
- 8.99%
- 5Y*
- 5.14%
- 10Y*
- 5.04%
- ALL TIME*
- 4.37%
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. LEOOX - 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% |
LEOOX Lazard Enhanced Opportunities Portfolio Open Shares | 4.97% | 10.90% | 10.62% | 6.63% | -7.89% | 6.79% | 9.60% | 7.33% |
Correlation
The correlation between ICMPX and LEOOX is 0.12, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.12 |
Correlation (3Y) Balances recent behavior with more history. | 0.03 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.13 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019 | 0.20 |
The correlation between ICMPX and LEOOX shifts across timeframes, from 0.03 (3 years) to 0.20 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ICMPX vs. LEOOX — Risk / Return Rank
ICMPX
LEOOX
ICMPX vs. LEOOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and Lazard Enhanced Opportunities Portfolio Open Shares (LEOOX). 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 | LEOOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.38 | ||
| Sortino ratioReturn per unit of downside risk | -1.99 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.80 | -0.78 |
| Calmar ratioReturn relative to maximum drawdown | 0.08 | 2.44 | -2.36 |
| Martin ratioReturn relative to average drawdown | 0.21 | 32.76 | -32.55 |
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Drawdowns
ICMPX vs. LEOOX - Drawdown Comparison
The maximum ICMPX drawdown since its inception was -34.70%, which is greater than LEOOX's maximum drawdown of -10.94%. Use the drawdown chart below to compare losses from any high point for ICMPX and LEOOX.
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Drawdown Indicators
| ICMPX | LEOOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.70% | -10.94% | -23.76% |
Max Drawdown (1Y)Largest decline over 1 year | -15.45% | -3.97% | -11.48% |
Max Drawdown (3Y)Largest decline over 3 years | -15.45% | -3.97% | -11.48% |
Max Drawdown (5Y)Largest decline over 5 years | -34.70% | -10.75% | -23.95% |
Max Drawdown (10Y)Largest decline over 10 years | — | -10.94% | — |
Current DrawdownCurrent decline from peak | -5.00% | -0.10% | -4.90% |
Average DrawdownAverage peak-to-trough decline | -8.75% | -1.98% | -6.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.06% | 0.30% | +5.76% |
Volatility
ICMPX vs. LEOOX - Volatility Comparison
Lazard International Quality Growth Portfolio (ICMPX) has a higher volatility of 4.44% compared to Lazard Enhanced Opportunities Portfolio Open Shares (LEOOX) at 0.61%. This indicates that ICMPX's price experiences larger fluctuations and is considered to be riskier than LEOOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ICMPX | LEOOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 0.61% | +3.83% |
Volatility (6M)Calculated over the trailing 6-month period | 11.60% | 6.49% | +5.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.26% | 6.60% | +7.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.47% | 4.48% | +11.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.58% | 4.12% | +13.46% |
ICMPX vs. LEOOX - Expense Ratio Comparison
ICMPX has a 0.85% expense ratio, which is lower than LEOOX's 1.50% expense ratio.
Dividends
ICMPX vs. LEOOX - Dividend Comparison
ICMPX's dividend yield for the trailing twelve months is around 4.39%, more than LEOOX's 0.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
LEOOX Lazard Enhanced Opportunities Portfolio Open Shares | 0.64% | 0.67% | 4.98% | 1.40% | 11.52% | 3.80% | 6.05% | 1.00% | 2.33% | 9.59% | 1.17% | 9.62% |
Frequently Asked Questions
ICMPX and LEOOX have a correlation of 0.12, 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 LEOOX (0.61%). In terms of maximum drawdown, ICMPX dropped -34.70% vs LEOOX's -10.94%.
LEOOX currently has the higher Sharpe Ratio (1.47 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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