ICMPX vs. LZFIX
ICMPX (Lazard International Quality Growth Portfolio) and LZFIX (Lazard Equity Franchise Portfolio) are both mutual funds - ICMPX is a Quality Factor fund managed by Lazard, while LZFIX is a Large Cap Value Equities fund managed by Lazard. Over the past 5 years, ICMPX returned 1.74%/yr vs 4.69%/yr for LZFIX. Their 0.68 correlation means they have sometimes moved together and sometimes differently. ICMPX charges 0.85%/yr vs 0.99%/yr for LZFIX.
Performance
ICMPX vs. LZFIX - Performance Comparison
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Returns By Period
In the year-to-date period, ICMPX achieves a 0.59% return, which is significantly lower than LZFIX's 5.14% return.
ICMPX
- 1D
- 0.41%
- 1M
- 3.25%
- 6M
- -0.75%
- YTD
- 0.59%
- 1Y
- 3.41%
- 3Y*
- 6.95%
- 5Y*
- 1.74%
- 10Y*
- —
- ALL TIME*
- 9.76%
LZFIX
- 1D
- -2.07%
- 1M
- 6.92%
- 6M
- 7.07%
- YTD
- 5.14%
- 1Y
- -0.37%
- 3Y*
- 2.77%
- 5Y*
- 4.69%
- 10Y*
- —
- ALL TIME*
- 6.93%
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. LZFIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | 0.59% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 23.95% | 14.50% |
LZFIX Lazard Equity Franchise Portfolio | 5.14% | 4.09% | -3.09% | 18.84% | -5.29% | 22.88% | 1.15% | 9.25% |
Correlation
The correlation between ICMPX and LZFIX is 0.61, 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. | 0.61 |
Correlation (3Y) Balances recent behavior with more history. | 0.65 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.70 |
Correlation (All Time) Calculated using the full available price history since May 14, 2019 | 0.68 |
The correlation between ICMPX and LZFIX has been stable across timeframes, ranging from 0.61 to 0.70 - a consistent structural relationship.
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Return for Risk
ICMPX vs. LZFIX — Risk / Return Rank
ICMPX
LZFIX
ICMPX vs. LZFIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and Lazard Equity Franchise Portfolio (LZFIX). 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 | LZFIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.28 | ||
| Sortino ratioReturn per unit of downside risk | +0.38 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 0.99 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 0.12 | -0.13 | +0.25 |
| Martin ratioReturn relative to average drawdown | 0.29 | -0.22 | +0.52 |
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Drawdowns
ICMPX vs. LZFIX - Drawdown Comparison
The maximum ICMPX drawdown since its inception was -34.70%, smaller than the maximum LZFIX drawdown of -41.91%. Use the drawdown chart below to compare losses from any high point for ICMPX and LZFIX.
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Drawdown Indicators
| ICMPX | LZFIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.70% | -41.91% | +7.21% |
Max Drawdown (1Y)Largest decline over 1 year | -15.45% | -19.87% | +4.42% |
Max Drawdown (3Y)Largest decline over 3 years | -15.45% | -21.51% | +6.06% |
Max Drawdown (5Y)Largest decline over 5 years | -34.70% | -21.69% | -13.01% |
Current DrawdownCurrent decline from peak | -3.48% | -7.45% | +3.97% |
Average DrawdownAverage peak-to-trough decline | -8.75% | -7.15% | -1.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.05% | 11.65% | -5.60% |
Volatility
ICMPX vs. LZFIX - Volatility Comparison
The current volatility for Lazard International Quality Growth Portfolio (ICMPX) is 4.07%, while Lazard Equity Franchise Portfolio (LZFIX) has a volatility of 7.71%. This indicates that ICMPX experiences smaller price fluctuations and is considered to be less risky than LZFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ICMPX | LZFIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.07% | 7.71% | -3.64% |
Volatility (6M)Calculated over the trailing 6-month period | 11.52% | 13.18% | -1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.24% | 16.60% | -2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.46% | 18.10% | -1.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.57% | 21.12% | -3.55% |
ICMPX vs. LZFIX - Expense Ratio Comparison
ICMPX has a 0.85% expense ratio, which is lower than LZFIX's 0.99% expense ratio.
Dividends
ICMPX vs. LZFIX - Dividend Comparison
ICMPX's dividend yield for the trailing twelve months is around 4.32%, less than LZFIX's 19.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | 4.32% | 4.35% | 2.92% | 0.62% | 1.07% | 2.04% | 0.87% | 2.47% |
LZFIX Lazard Equity Franchise Portfolio | 19.85% | 20.87% | 14.95% | 8.68% | 12.81% | 15.59% | 1.12% | 5.78% |
Frequently Asked Questions
ICMPX and LZFIX have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LZFIX has higher volatility (7.71%) compared to ICMPX (4.07%). In terms of maximum drawdown, ICMPX dropped -34.70% vs LZFIX's -41.91%.
ICMPX currently has the higher Sharpe Ratio (0.13 vs -0.16), 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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