ICMPX vs. LZUSX

Last updated Aug 1, 2026

ICMPX (Lazard International Quality Growth Portfolio) and LZUSX (Lazard US Equity Focus Portfolio) are both mutual funds - ICMPX is a Quality Factor fund managed by Lazard, while LZUSX is a Large Cap Blend Equities fund managed by Lazard. Over the past 5 years, ICMPX returned 1.74%/yr vs 8.53%/yr for LZUSX. Their 0.76 correlation means they have sometimes moved together and sometimes differently. ICMPX charges 0.85%/yr vs 0.70%/yr for LZUSX.

Performance

ICMPX vs. LZUSX - Performance Comparison

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

Returns By Period

In the year-to-date period, ICMPX achieves a 0.59% return, which is significantly lower than LZUSX's 8.70% 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%

LZUSX

• 1D: 0.72%
• 1M: 0.84%
• 6M: 7.73%
• YTD: 8.70%
• 1Y: 20.23%
• 3Y*: 14.45%
• 5Y*: 8.53%
• 10Y*: 12.76%
• ALL TIME*: 9.21%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ICMPX Lazard International Quality Growth Portfolio	$0.00	$0.00	$0.00
LZUSX Lazard US Equity Focus Portfolio	$0.00	$0.00	$0.00

ICMPX vs. LZUSX - 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%	32.86%
LZUSX Lazard US Equity Focus Portfolio	8.70%	15.23%	14.20%	19.79%	-16.97%	27.40%	17.28%	31.71%

Correlation

The correlation between ICMPX and LZUSX is 0.74, 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.	0.74
Correlation (3Y) Balances recent behavior with more history.	0.72
Correlation (5Y) Shows whether the relationship held over a longer period.	0.76
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.76

The correlation between ICMPX and LZUSX has been stable across timeframes, ranging from 0.72 to 0.76 - a consistent structural relationship.

Return for Risk

ICMPX vs. LZUSX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ICMPX

ICMPX Risk / Return Rank: 6
ICMPX Sharpe Ratio Rank: 6
ICMPX Sortino Ratio Rank: 6
ICMPX Omega Ratio Rank: 6
ICMPX Calmar Ratio Rank: 6
ICMPX Martin Ratio Rank: 6

LZUSX

LZUSX Risk / Return Rank: 51
LZUSX Sharpe Ratio Rank: 59
LZUSX Sortino Ratio Rank: 56
LZUSX Omega Ratio Rank: 50
LZUSX Calmar Ratio Rank: 43
LZUSX Martin Ratio Rank: 49

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ICMPX vs. LZUSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard International Quality Growth Portfolio (ICMPX) and Lazard US Equity Focus Portfolio (LZUSX). 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	LZUSX	Difference
Sharpe ratio: Return per unit of total volatility	0.13	1.47	-1.34
Sortino ratio: Return per unit of downside risk	0.27	2.07	-1.80
Omega ratio: Gain probability vs. loss probability	1.03	1.25	-0.22
Calmar ratio: Return relative to maximum drawdown	0.12	1.72	-1.60
Martin ratio: Return relative to average drawdown	0.29	6.86	-6.56

ICMPX vs. LZUSX - Sharpe Ratio Comparison

The current ICMPX Sharpe Ratio is 0.13, which is lower than the LZUSX Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of ICMPX and LZUSX, 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. LZUSX - Drawdown Comparison

The maximum ICMPX drawdown since its inception was -34.70%, smaller than the maximum LZUSX drawdown of -55.40%. Use the drawdown chart below to compare losses from any high point for ICMPX and LZUSX.

Drawdown Indicators

	ICMPX	LZUSX	Difference
Max Drawdown Largest peak-to-trough decline	-34.70%	-55.40%	+20.70%
Max Drawdown (1Y) Largest decline over 1 year	-15.45%	-10.07%	-5.38%
Max Drawdown (3Y) Largest decline over 3 years	-15.45%	-19.18%	+3.73%
Max Drawdown (5Y) Largest decline over 5 years	-34.70%	-23.05%	-11.65%
Max Drawdown (10Y) Largest decline over 10 years	—	-35.12%	—
Current Drawdown Current decline from peak	-3.48%	-1.36%	-2.12%
Average Drawdown Average peak-to-trough decline	-8.75%	-7.80%	-0.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.05%	2.53%	+3.52%

Volatility

ICMPX vs. LZUSX - Volatility Comparison

Lazard International Quality Growth Portfolio (ICMPX) has a higher volatility of 4.07% compared to Lazard US Equity Focus Portfolio (LZUSX) at 3.19%. This indicates that ICMPX's price experiences larger fluctuations and is considered to be riskier than LZUSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ICMPX	LZUSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.07%	3.19%	+0.88%
Volatility (6M) Calculated over the trailing 6-month period	11.52%	8.99%	+2.53%
Volatility (1Y) Calculated over the trailing 1-year period	14.24%	11.80%	+2.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.46%	16.47%	-0.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.57%	17.64%	-0.07%

ICMPX vs. LZUSX - Expense Ratio Comparison

ICMPX has a 0.85% expense ratio, which is higher than LZUSX's 0.70% expense ratio.

Dividends

ICMPX vs. LZUSX - Dividend Comparison

ICMPX's dividend yield for the trailing twelve months is around 4.32%, less than LZUSX's 12.71% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ICMPX Lazard International Quality Growth Portfolio	4.32%	4.35%	2.92%	0.62%	1.07%	2.04%	0.87%	2.47%	0.00%	0.00%	0.00%	0.00%
LZUSX Lazard US Equity Focus Portfolio	12.71%	13.81%	6.61%	1.09%	2.77%	5.78%	5.28%	11.94%	17.57%	10.34%	3.41%	7.83%

Frequently Asked Questions

Can I hold both ICMPX and LZUSX in my portfolio?

ICMPX and LZUSX have a correlation of 0.74, 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 LZUSX?

ICMPX has higher volatility (4.07%) compared to LZUSX (3.19%). In terms of maximum drawdown, ICMPX dropped -34.70% vs LZUSX's -55.40%.

Which has better risk-adjusted returns?

LZUSX currently has the higher Sharpe Ratio (1.47 vs 0.13), 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.