LISIX vs. GTMIX

Last updated Jun 23, 2026

LISIX (Lazard International Strategic Equity Portfolio R6) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, LISIX returned 7.87%/yr vs 10.27%/yr for GTMIX. Their correlation of 0.89 suggests significant overlap in exposure. LISIX charges 0.80%/yr vs 0.68%/yr for GTMIX.

Performance

LISIX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard International Strategic Equity Portfolio R6 (LISIX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with LISIX having a 13.87% return and GTMIX slightly lower at 13.42%. Over the past 10 years, LISIX has underperformed GTMIX with an annualized return of 7.87%, while GTMIX has yielded a comparatively higher 10.27% annualized return.

LISIX

• 1D: 1.49%
• 1M: 3.32%
• YTD: 13.87%
• 6M: 13.35%
• 1Y: 23.90%
• 3Y*: 13.41%
• 5Y*: 6.34%
• 10Y*: 7.87%

GTMIX

• 1D: -0.38%
• 1M: -0.54%
• YTD: 13.42%
• 6M: 14.89%
• 1Y: 39.10%
• 3Y*: 20.69%
• 5Y*: 11.56%
• 10Y*: 10.27%

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

LISIX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LISIX Lazard International Strategic Equity Portfolio R6	13.87%	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	13.42%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between LISIX and GTMIX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since Oct 31, 2005	0.89

The correlation between LISIX and GTMIX shifts across timeframes, from 0.78 (3 years) to 0.89 (all time), reflecting how their relationship changes across market environments.

Return for Risk

LISIX vs. GTMIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

LISIX

LISIX Risk / Return Rank: 32
LISIX Sharpe Ratio Rank: 31
LISIX Sortino Ratio Rank: 32
LISIX Omega Ratio Rank: 31
LISIX Calmar Ratio Rank: 30
LISIX Martin Ratio Rank: 37

GTMIX

GTMIX Risk / Return Rank: 91
GTMIX Sharpe Ratio Rank: 94
GTMIX Sortino Ratio Rank: 90
GTMIX Omega Ratio Rank: 85
GTMIX Calmar Ratio Rank: 93
GTMIX Martin Ratio Rank: 94

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

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.

	LISIX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.48	2.94	-1.46
Sortino ratio: Return per unit of downside risk	2.19	4.05	-1.86
Omega ratio: Gain probability vs. loss probability	1.27	1.53	-0.25
Calmar ratio: Return relative to maximum drawdown	1.94	4.85	-2.91
Martin ratio: Return relative to average drawdown	7.70	18.73	-11.03

LISIX vs. GTMIX - Sharpe Ratio Comparison

The current LISIX Sharpe Ratio is 1.48, which is lower than the GTMIX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of LISIX and GTMIX, 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

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.

Drawdown Indicators

	LISIX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-55.70%	-58.31%	+2.61%
Max Drawdown (1Y) Largest decline over 1 year	-12.28%	-7.90%	-4.38%
Max Drawdown (3Y) Largest decline over 3 years	-16.26%	-14.11%	-2.15%
Max Drawdown (5Y) Largest decline over 5 years	-32.52%	-27.34%	-5.18%
Max Drawdown (10Y) Largest decline over 10 years	-36.01%	-40.32%	+4.31%
Current Drawdown Current decline from peak	0.00%	-1.33%	+1.33%
Average Drawdown Average peak-to-trough decline	-10.47%	-12.66%	+2.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.08%	2.04%	+1.04%

Volatility

LISIX vs. GTMIX - Volatility Comparison

Lazard International Strategic Equity Portfolio R6 (LISIX) has a higher volatility of 6.86% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.61%. 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.

Volatility by Period

	LISIX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.86%	3.61%	+3.25%
Volatility (6M) Calculated over the trailing 6-month period	14.11%	9.95%	+4.16%
Volatility (1Y) Calculated over the trailing 1-year period	16.01%	13.00%	+3.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.77%	14.94%	+2.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.35%	16.03%	+1.32%

LISIX vs. GTMIX - Expense Ratio Comparison

LISIX has a 0.80% expense ratio, which is higher than GTMIX's 0.68% expense ratio.

Dividends

LISIX vs. GTMIX - Dividend Comparison

LISIX's dividend yield for the trailing twelve months is around 25.26%, more than GTMIX's 19.78% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTMIX GMO Tax-Managed International Equities Fund	19.78%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%
LISIX Lazard International Strategic Equity Portfolio R6	25.26%	28.77%	13.47%	1.46%	1.39%	8.82%	1.01%	1.85%	9.01%	1.30%	1.60%	1.16%

Frequently Asked Questions

Can I hold both LISIX and GTMIX in my portfolio?

LISIX and GTMIX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LISIX or GTMIX?

LISIX has higher volatility (6.86%) compared to GTMIX (3.61%). In terms of maximum drawdown, LISIX dropped -55.70% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (2.94 vs 1.48), 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.