LOCFX vs. NCZ

Last updated Jun 5, 2026

LOCFX (Lord Abbett Convertible Fund Class F3) and NCZ (Virtus Convertible and Income Fund II) are both Convertible Bonds funds. Over the past 5 years, LOCFX returned 7.16%/yr vs 6.53%/yr for NCZ. A 0.61 correlation means they provide meaningful diversification when combined. LOCFX charges 0.82%/yr vs 0.03%/yr for NCZ.

Performance

LOCFX vs. NCZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lord Abbett Convertible Fund Class F3 (LOCFX) and Virtus Convertible and Income Fund II (NCZ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LOCFX achieves a 21.12% return, which is significantly higher than NCZ's 19.07% return.

LOCFX

• 1D: -1.09%
• 1M: 3.12%
• YTD: 21.12%
• 6M: 20.56%
• 1Y: 39.99%
• 3Y*: 21.06%
• 5Y*: 7.16%
• 10Y*: —

NCZ

• 1D: 0.57%
• 1M: 3.06%
• YTD: 19.07%
• 6M: 18.29%
• 1Y: 42.32%
• 3Y*: 23.75%
• 5Y*: 6.53%
• 10Y*: 8.90%

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

LOCFX vs. NCZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LOCFX Lord Abbett Convertible Fund Class F3	21.12%	22.43%	14.00%	7.30%	-23.12%	1.40%	64.47%	25.07%	-6.42%	10.04%
NCZ Virtus Convertible and Income Fund II	19.07%	23.23%	18.40%	17.75%	-35.93%	9.24%	11.04%	27.19%	-18.66%	14.19%

Correlation

The correlation between LOCFX and NCZ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (All Time) Calculated using the full available price history since Apr 5, 2017	0.61

The correlation between LOCFX and NCZ has been stable across timeframes, ranging from 0.61 to 0.70 - a consistent structural relationship.

Return for Risk

LOCFX vs. NCZ — Risk / Return Rank

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

LOCFX

LOCFX Risk / Return Rank: 85
LOCFX Sharpe Ratio Rank: 86
LOCFX Sortino Ratio Rank: 76
LOCFX Omega Ratio Rank: 74
LOCFX Calmar Ratio Rank: 95
LOCFX Martin Ratio Rank: 95

NCZ

NCZ Risk / Return Rank: 78
NCZ Sharpe Ratio Rank: 81
NCZ Sortino Ratio Rank: 71
NCZ Omega Ratio Rank: 70
NCZ Calmar Ratio Rank: 80
NCZ Martin Ratio Rank: 87

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.

LOCFX vs. NCZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lord Abbett Convertible Fund Class F3 (LOCFX) and Virtus Convertible and Income Fund II (NCZ). 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.

	LOCFX	NCZ	Difference
Sharpe ratio: Return per unit of total volatility	2.77	2.62	+0.15
Sortino ratio: Return per unit of downside risk	3.62	3.46	+0.17
Omega ratio: Gain probability vs. loss probability	1.48	1.46	+0.02
Calmar ratio: Return relative to maximum drawdown	5.82	3.56	+2.26
Martin ratio: Return relative to average drawdown	21.78	16.02	+5.76
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LOCFX vs. NCZ - Sharpe Ratio Comparison

The current LOCFX Sharpe Ratio is 2.77, which is comparable to the NCZ Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of LOCFX and NCZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	LOCFX	NCZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.77	2.62	+0.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.31	+0.25
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.37	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.91	0.23	+0.68

Drawdowns

LOCFX vs. NCZ - Drawdown Comparison

The maximum LOCFX drawdown since its inception was -33.29%, smaller than the maximum NCZ drawdown of -79.48%. Use the drawdown chart below to compare losses from any high point for LOCFX and NCZ.

Drawdown Indicators

	LOCFX	NCZ	Difference
Max Drawdown Largest peak-to-trough decline	-33.29%	-79.48%	+46.19%
Max Drawdown (1Y) Largest decline over 1 year	-7.02%	-11.94%	+4.92%
Max Drawdown (3Y) Largest decline over 3 years	-12.09%	-19.54%	+7.45%
Max Drawdown (5Y) Largest decline over 5 years	-30.60%	-43.93%	+13.33%
Max Drawdown (10Y) Largest decline over 10 years	—	-56.08%	—
Current Drawdown Current decline from peak	-1.09%	-1.13%	+0.04%
Average Drawdown Average peak-to-trough decline	-11.21%	-14.35%	+3.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.87%	2.65%	-0.78%

Volatility

LOCFX vs. NCZ - Volatility Comparison

Lord Abbett Convertible Fund Class F3 (LOCFX) and Virtus Convertible and Income Fund II (NCZ) have volatilities of 5.53% and 5.42%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LOCFX	NCZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.53%	5.42%	+0.11%
Volatility (6M) Calculated over the trailing 6-month period	12.18%	12.68%	-0.50%
Volatility (1Y) Calculated over the trailing 1-year period	14.74%	16.21%	-1.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.97%	21.31%	-8.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.01%	24.27%	-10.26%

LOCFX vs. NCZ - Expense Ratio Comparison

LOCFX has a 0.82% expense ratio, which is higher than NCZ's 0.03% expense ratio.

Dividends

LOCFX vs. NCZ - Dividend Comparison

LOCFX's dividend yield for the trailing twelve months is around 1.28%, less than NCZ's 9.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LOCFX Lord Abbett Convertible Fund Class F3	1.28%	1.86%	2.29%	2.06%	2.72%	18.36%	16.20%	8.75%	5.02%	2.08%	0.00%	0.00%
NCZ Virtus Convertible and Income Fund II	9.14%	10.45%	11.50%	12.84%	15.62%	8.82%	9.28%	11.28%	15.33%	13.80%	12.08%	18.02%

Frequently Asked Questions

Can I hold both LOCFX and NCZ in my portfolio?

LOCFX and NCZ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LOCFX or NCZ?

LOCFX has higher volatility (5.53%) compared to NCZ (5.42%). In terms of maximum drawdown, LOCFX dropped -33.29% vs NCZ's -79.48%.

Which has better risk-adjusted returns?

LOCFX currently has the higher Sharpe Ratio (2.77 vs 2.62), 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.