LZEMX vs. EAEMX

Last updated Jun 26, 2026

LZEMX (Lazard Emerging Markets Equity Portfolio) and EAEMX (Parametric Emerging Markets Fund) are both Emerging Markets Diversified funds. Over the past 10 years, LZEMX returned 10.74%/yr vs 7.07%/yr for EAEMX. Their correlation of 0.93 suggests significant overlap in exposure. LZEMX charges 1.06%/yr vs 1.58%/yr for EAEMX.

Performance

LZEMX vs. EAEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard Emerging Markets Equity Portfolio (LZEMX) and Parametric Emerging Markets Fund (EAEMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LZEMX achieves a 20.84% return, which is significantly higher than EAEMX's 8.84% return. Over the past 10 years, LZEMX has outperformed EAEMX with an annualized return of 10.74%, while EAEMX has yielded a comparatively lower 7.07% annualized return.

LZEMX

• 1D: -1.06%
• 1M: -1.83%
• YTD: 20.84%
• 6M: 21.67%
• 1Y: 43.09%
• 3Y*: 26.03%
• 5Y*: 12.42%
• 10Y*: 10.74%

EAEMX

• 1D: -0.26%
• 1M: -2.13%
• YTD: 8.84%
• 6M: 8.72%
• 1Y: 24.13%
• 3Y*: 15.17%
• 5Y*: 6.14%
• 10Y*: 7.07%

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

LZEMX vs. EAEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LZEMX Lazard Emerging Markets Equity Portfolio	20.84%	41.35%	7.60%	22.44%	-14.86%	5.37%	-0.07%	18.06%	-18.11%	28.02%
EAEMX Parametric Emerging Markets Fund	8.84%	27.16%	5.39%	9.46%	-11.27%	4.19%	2.65%	12.32%	-14.02%	27.03%

Correlation

The correlation between LZEMX and EAEMX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.89
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Jun 30, 2006	0.93

The correlation between LZEMX and EAEMX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.

Return for Risk

LZEMX vs. EAEMX — Risk / Return Rank

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

LZEMX

LZEMX Risk / Return Rank: 91
LZEMX Sharpe Ratio Rank: 96
LZEMX Sortino Ratio Rank: 90
LZEMX Omega Ratio Rank: 89
LZEMX Calmar Ratio Rank: 91
LZEMX Martin Ratio Rank: 89

EAEMX

EAEMX Risk / Return Rank: 60
EAEMX Sharpe Ratio Rank: 66
EAEMX Sortino Ratio Rank: 59
EAEMX Omega Ratio Rank: 71
EAEMX Calmar Ratio Rank: 55
EAEMX Martin Ratio Rank: 50

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.

LZEMX vs. EAEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard Emerging Markets Equity Portfolio (LZEMX) and Parametric Emerging Markets Fund (EAEMX). 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.

	LZEMX	EAEMX	Difference
Sharpe ratio: Return per unit of total volatility	3.04	1.96	+1.08
Sortino ratio: Return per unit of downside risk	3.89	2.64	+1.25
Omega ratio: Gain probability vs. loss probability	1.56	1.39	+0.17
Calmar ratio: Return relative to maximum drawdown	4.16	2.46	+1.69
Martin ratio: Return relative to average drawdown	14.77	8.80	+5.97

LZEMX vs. EAEMX - Sharpe Ratio Comparison

The current LZEMX Sharpe Ratio is 3.04, which is higher than the EAEMX Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of LZEMX and EAEMX, 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

LZEMX vs. EAEMX - Drawdown Comparison

The maximum LZEMX drawdown since its inception was -60.08%, roughly equal to the maximum EAEMX drawdown of -62.70%. Use the drawdown chart below to compare losses from any high point for LZEMX and EAEMX.

Drawdown Indicators

	LZEMX	EAEMX	Difference
Max Drawdown Largest peak-to-trough decline	-60.08%	-62.70%	+2.62%
Max Drawdown (1Y) Largest decline over 1 year	-10.42%	-9.90%	-0.52%
Max Drawdown (3Y) Largest decline over 3 years	-14.27%	-11.74%	-2.53%
Max Drawdown (5Y) Largest decline over 5 years	-29.29%	-24.73%	-4.56%
Max Drawdown (10Y) Largest decline over 10 years	-44.08%	-44.16%	+0.08%
Current Drawdown Current decline from peak	-4.83%	-3.88%	-0.95%
Average Drawdown Average peak-to-trough decline	-16.60%	-13.44%	-3.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.93%	2.77%	+0.16%

Volatility

LZEMX vs. EAEMX - Volatility Comparison

Lazard Emerging Markets Equity Portfolio (LZEMX) has a higher volatility of 6.20% compared to Parametric Emerging Markets Fund (EAEMX) at 5.68%. This indicates that LZEMX's price experiences larger fluctuations and is considered to be riskier than EAEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LZEMX	EAEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.20%	5.68%	+0.52%
Volatility (6M) Calculated over the trailing 6-month period	12.21%	11.11%	+1.10%
Volatility (1Y) Calculated over the trailing 1-year period	14.40%	12.58%	+1.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.50%	11.80%	+2.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.37%	13.41%	+2.96%

LZEMX vs. EAEMX - Expense Ratio Comparison

LZEMX has a 1.06% expense ratio, which is lower than EAEMX's 1.58% expense ratio.

Dividends

LZEMX vs. EAEMX - Dividend Comparison

LZEMX's dividend yield for the trailing twelve months is around 1.70%, less than EAEMX's 2.60% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EAEMX Parametric Emerging Markets Fund	2.60%	2.83%	3.00%	2.71%	4.40%	1.64%	1.08%	2.48%	2.14%	2.31%	1.52%	1.68%
LZEMX Lazard Emerging Markets Equity Portfolio	1.70%	2.05%	3.11%	3.76%	5.92%	4.89%	2.11%	2.45%	2.10%	1.99%	1.48%	2.14%

Frequently Asked Questions

Can I hold both LZEMX and EAEMX in my portfolio?

With a correlation of 0.90, LZEMX and EAEMX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, LZEMX or EAEMX?

LZEMX has higher volatility (6.20%) compared to EAEMX (5.68%). In terms of maximum drawdown, LZEMX dropped -60.08% vs EAEMX's -62.70%.

Which has better risk-adjusted returns?

LZEMX currently has the higher Sharpe Ratio (3.04 vs 1.96), 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.