LZEMX vs. EEM
LZEMX (Lazard Emerging Markets Equity Portfolio) and EEM (iShares MSCI Emerging Markets ETF) are both Emerging Markets Diversified funds. Over the past 10 years, LZEMX returned 10.86%/yr vs 8.84%/yr for EEM. Their correlation of 0.85 suggests significant overlap in exposure. LZEMX charges 1.06%/yr vs 0.72%/yr for EEM.
Performance
LZEMX vs. EEM - Performance Comparison
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Returns By Period
In the year-to-date period, LZEMX achieves a 25.03% return, which is significantly higher than EEM's 18.06% return. Over the past 10 years, LZEMX has outperformed EEM with an annualized return of 10.86%, while EEM has yielded a comparatively lower 8.84% annualized return.
LZEMX
- 1D
- -0.45%
- 1M
- 2.58%
- YTD
- 25.03%
- 6M
- 26.58%
- 1Y
- 53.36%
- 3Y*
- 28.47%
- 5Y*
- 12.90%
- 10Y*
- 10.86%
EEM
- 1D
- -6.53%
- 1M
- -4.30%
- YTD
- 18.06%
- 6M
- 19.68%
- 1Y
- 41.43%
- 3Y*
- 20.37%
- 5Y*
- 5.33%
- 10Y*
- 8.84%
LZEMX vs. EEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LZEMX Lazard Emerging Markets Equity Portfolio | 25.03% | 41.35% | 7.60% | 22.44% | -14.86% | 5.37% | -0.07% | 18.06% | -18.11% | 28.02% |
EEM iShares MSCI Emerging Markets ETF | 18.06% | 33.98% | 6.49% | 8.95% | -20.56% | -3.63% | 17.02% | 18.22% | -15.31% | 37.26% |
Correlation
The correlation between LZEMX and EEM is 0.82, 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 | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Apr 15, 2003 | 0.85 |
The correlation between LZEMX and EEM has been stable across timeframes, ranging from 0.82 to 0.86 - a consistent structural relationship.
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Return for Risk
LZEMX vs. EEM — Risk / Return Rank
LZEMX
EEM
LZEMX vs. EEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard Emerging Markets Equity Portfolio (LZEMX) and iShares MSCI Emerging Markets ETF (EEM). 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.
| LZEMX | EEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.07 | ||
| Sortino ratioReturn per unit of downside risk | +2.65 | ||
| Omega ratioGain probability vs. loss probability | 1.75 | 1.38 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 5.22 | 3.08 | +2.14 |
| Martin ratioReturn relative to average drawdown | 19.17 | 11.71 | +7.46 |
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
| LZEMX | EEM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.05 | 1.97 | +2.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.90 | 0.28 | +0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.66 | 0.43 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.37 | +0.04 |
Drawdowns
LZEMX vs. EEM - Drawdown Comparison
The maximum LZEMX drawdown since its inception was -60.08%, smaller than the maximum EEM drawdown of -66.43%. Use the drawdown chart below to compare losses from any high point for LZEMX and EEM.
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Drawdown Indicators
| LZEMX | EEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.08% | -66.43% | +6.35% |
Max Drawdown (1Y)Largest decline over 1 year | -10.42% | -13.52% | +3.10% |
Max Drawdown (3Y)Largest decline over 3 years | -14.27% | -17.29% | +3.02% |
Max Drawdown (5Y)Largest decline over 5 years | -30.55% | -37.49% | +6.94% |
Max Drawdown (10Y)Largest decline over 10 years | -44.08% | -39.82% | -4.26% |
Current DrawdownCurrent decline from peak | -1.52% | -8.77% | +7.25% |
Average DrawdownAverage peak-to-trough decline | -16.63% | -16.02% | -0.61% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.83% | 3.55% | -0.72% |
Volatility
LZEMX vs. EEM - Volatility Comparison
The current volatility for Lazard Emerging Markets Equity Portfolio (LZEMX) is 5.37%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 10.49%. This indicates that LZEMX experiences smaller price fluctuations and is considered to be less risky than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LZEMX | EEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.37% | 10.49% | -5.12% |
Volatility (6M)Calculated over the trailing 6-month period | 11.03% | 18.80% | -7.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.45% | 21.09% | -7.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.33% | 19.14% | -4.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.39% | 20.61% | -4.22% |
LZEMX vs. EEM - Expense Ratio Comparison
LZEMX has a 1.06% expense ratio, which is higher than EEM's 0.72% expense ratio.
Dividends
LZEMX vs. EEM - Dividend Comparison
LZEMX's dividend yield for the trailing twelve months is around 1.64%, less than EEM's 1.88% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 1.88% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
LZEMX Lazard Emerging Markets Equity Portfolio | 1.64% | 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
LZEMX and EEM have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EEM has higher volatility (10.49%) compared to LZEMX (5.37%). In terms of maximum drawdown, LZEMX dropped -60.08% vs EEM's -66.43%.
LZEMX currently has the higher Sharpe Ratio (4.05 vs 1.97), 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.
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