LISIX vs. GTMIX
Compare and contrast key facts about Lazard International Strategic Equity Portfolio R6 (LISIX) and GMO Tax-Managed International Equities Fund (GTMIX).
LISIX is managed by Lazard. It was launched on Oct 31, 2005. GTMIX is managed by GMO. It was launched on Jul 28, 1998.
Performance
LISIX vs. GTMIX - Performance Comparison
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LISIX vs. GTMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LISIX Lazard International Strategic Equity Portfolio R6 | -2.06% | 25.70% | -1.42% | 17.08% | -16.89% | 6.07% | 10.58% | 21.56% | -10.48% | 27.87% |
GTMIX GMO Tax-Managed International Equities Fund | 8.42% | 46.17% | 1.54% | 14.96% | -10.13% | 10.71% | 7.50% | 23.35% | -21.23% | 28.45% |
Returns By Period
In the year-to-date period, LISIX achieves a -2.06% return, which is significantly lower than GTMIX's 8.42% return. Over the past 10 years, LISIX has underperformed GTMIX with an annualized return of 6.33%, while GTMIX has yielded a comparatively higher 9.87% annualized return.
LISIX
- 1D
- 2.80%
- 1M
- -7.75%
- YTD
- -2.06%
- 6M
- -1.93%
- 1Y
- 16.86%
- 3Y*
- 9.63%
- 5Y*
- 3.82%
- 10Y*
- 6.33%
GTMIX
- 1D
- 2.48%
- 1M
- -3.58%
- YTD
- 8.42%
- 6M
- 17.91%
- 1Y
- 41.17%
- 3Y*
- 20.26%
- 5Y*
- 11.29%
- 10Y*
- 9.87%
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LISIX vs. GTMIX - Expense Ratio Comparison
LISIX has a 0.80% expense ratio, which is higher than GTMIX's 0.68% expense ratio.
Return for Risk
LISIX vs. GTMIX — Risk / Return Rank
LISIX
GTMIX
LISIX vs. GTMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard International Strategic Equity Portfolio R6 (LISIX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.
| LISIX | GTMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.11 | 2.67 | -1.55 |
Sortino ratioReturn per unit of downside risk | 1.53 | 3.40 | -1.87 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.52 | -0.31 |
Calmar ratioReturn relative to maximum drawdown | 1.29 | 3.54 | -2.26 |
Martin ratioReturn relative to average drawdown | 5.24 | 16.76 | -11.52 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| LISIX | GTMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.11 | 2.67 | -1.55 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.22 | 0.76 | -0.54 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.37 | 0.62 | -0.25 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.32 | 0.40 | -0.08 |
Correlation
The correlation between LISIX and GTMIX is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
LISIX vs. GTMIX - Dividend Comparison
LISIX's dividend yield for the trailing twelve months is around 29.37%, more than GTMIX's 20.69% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LISIX Lazard International Strategic Equity Portfolio R6 | 29.37% | 28.77% | 13.47% | 1.46% | 1.39% | 8.82% | 1.01% | 1.85% | 9.01% | 1.30% | 1.60% | 1.16% |
GTMIX GMO Tax-Managed International Equities Fund | 20.69% | 22.43% | 5.94% | 0.36% | 5.44% | 16.55% | 2.25% | 4.13% | 7.25% | 2.96% | 4.05% | 3.26% |
Drawdowns
LISIX vs. GTMIX - Drawdown Comparison
The maximum LISIX drawdown since its inception was -55.70%, roughly equal to the maximum GTMIX drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for LISIX and GTMIX.
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Drawdown Indicators
| LISIX | GTMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.70% | -58.31% | +2.61% |
Max Drawdown (1Y)Largest decline over 1 year | -12.28% | -11.24% | -1.04% |
Max Drawdown (5Y)Largest decline over 5 years | -32.52% | -28.81% | -3.71% |
Max Drawdown (10Y)Largest decline over 10 years | -36.01% | -40.32% | +4.31% |
Current DrawdownCurrent decline from peak | -9.82% | -4.51% | -5.31% |
Average DrawdownAverage peak-to-trough decline | -10.56% | -12.75% | +2.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 2.38% | +0.64% |
Volatility
LISIX vs. GTMIX - Volatility Comparison
Lazard International Strategic Equity Portfolio R6 (LISIX) has a higher volatility of 7.48% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 5.97%. This indicates that LISIX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LISIX | GTMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.48% | 5.97% | +1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.45% | 9.56% | +0.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.51% | 15.56% | -0.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.27% | 14.91% | +2.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.12% | 16.06% | +1.06% |