LZEMX vs. WAEMX

Last updated Jun 25, 2026

LZEMX (Lazard Emerging Markets Equity Portfolio) and WAEMX (Wasatch Emerging Markets Small Cap Fund) are both Emerging Markets Diversified funds. Over the past 10 years, LZEMX returned 10.86%/yr vs 8.64%/yr for WAEMX. A 0.75 correlation means they provide meaningful diversification when combined. LZEMX charges 1.06%/yr vs 1.91%/yr for WAEMX.

Performance

LZEMX vs. WAEMX - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with LZEMX having a 22.13% return and WAEMX slightly higher at 22.94%. Over the past 10 years, LZEMX has outperformed WAEMX with an annualized return of 10.86%, while WAEMX has yielded a comparatively lower 8.64% annualized return.

LZEMX

• 1D: -2.67%
• 1M: 0.90%
• YTD: 22.13%
• 6M: 22.97%
• 1Y: 44.62%
• 3Y*: 26.47%
• 5Y*: 12.79%
• 10Y*: 10.86%

WAEMX

• 1D: -3.24%
• 1M: -0.95%
• YTD: 22.94%
• 6M: 22.22%
• 1Y: 29.67%
• 3Y*: 12.34%
• 5Y*: 1.27%
• 10Y*: 8.64%

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

LZEMX vs. WAEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LZEMX Lazard Emerging Markets Equity Portfolio	22.13%	41.35%	7.60%	22.44%	-14.86%	5.37%	-0.07%	18.06%	-18.11%	28.02%
WAEMX Wasatch Emerging Markets Small Cap Fund	22.94%	5.85%	-2.21%	21.20%	-38.76%	30.16%	32.79%	27.45%	-18.97%	38.20%

Correlation

The correlation between LZEMX and WAEMX is 0.67, 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	0.67
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.69
Correlation (All Time) Calculated using the full available price history since Sep 28, 2007	0.75

The correlation between LZEMX and WAEMX shifts across timeframes, from 0.61 (3 years) to 0.75 (all time), reflecting how their relationship changes across market environments.

Return for Risk

LZEMX vs. WAEMX — Risk / Return Rank

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

LZEMX

LZEMX Risk / Return Rank: 93
LZEMX Sharpe Ratio Rank: 97
LZEMX Sortino Ratio Rank: 92
LZEMX Omega Ratio Rank: 91
LZEMX Calmar Ratio Rank: 92
LZEMX Martin Ratio Rank: 90

WAEMX

WAEMX Risk / Return Rank: 59
WAEMX Sharpe Ratio Rank: 45
WAEMX Sortino Ratio Rank: 47
WAEMX Omega Ratio Rank: 43
WAEMX Calmar Ratio Rank: 89
WAEMX Martin Ratio Rank: 69

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. WAEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard Emerging Markets Equity Portfolio (LZEMX) and Wasatch Emerging Markets Small Cap Fund (WAEMX). 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	WAEMX	Difference
Sharpe ratio: Return per unit of total volatility	3.36	1.76	+1.60
Sortino ratio: Return per unit of downside risk	4.27	2.55	+1.72
Omega ratio: Gain probability vs. loss probability	1.62	1.32	+0.30
Calmar ratio: Return relative to maximum drawdown	4.63	4.14	+0.49
Martin ratio: Return relative to average drawdown	16.55	12.13	+4.41

LZEMX vs. WAEMX - Sharpe Ratio Comparison

The current LZEMX Sharpe Ratio is 3.36, which is higher than the WAEMX Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of LZEMX and WAEMX, 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. WAEMX - Drawdown Comparison

The maximum LZEMX drawdown since its inception was -60.08%, smaller than the maximum WAEMX drawdown of -66.35%. Use the drawdown chart below to compare losses from any high point for LZEMX and WAEMX.

Drawdown Indicators

	LZEMX	WAEMX	Difference
Max Drawdown Largest peak-to-trough decline	-60.08%	-66.35%	+6.27%
Max Drawdown (1Y) Largest decline over 1 year	-10.42%	-7.89%	-2.53%
Max Drawdown (3Y) Largest decline over 3 years	-14.27%	-25.56%	+11.29%
Max Drawdown (5Y) Largest decline over 5 years	-29.29%	-44.88%	+15.59%
Max Drawdown (10Y) Largest decline over 10 years	-44.08%	-44.88%	+0.80%
Current Drawdown Current decline from peak	-3.81%	-9.05%	+5.24%
Average Drawdown Average peak-to-trough decline	-16.60%	-16.78%	+0.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.91%	2.69%	+0.22%

Volatility

LZEMX vs. WAEMX - Volatility Comparison

The current volatility for Lazard Emerging Markets Equity Portfolio (LZEMX) is 6.12%, while Wasatch Emerging Markets Small Cap Fund (WAEMX) has a volatility of 8.04%. This indicates that LZEMX experiences smaller price fluctuations and is considered to be less risky than WAEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LZEMX	WAEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.12%	8.04%	-1.92%
Volatility (6M) Calculated over the trailing 6-month period	12.15%	15.83%	-3.68%
Volatility (1Y) Calculated over the trailing 1-year period	14.35%	18.58%	-4.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.49%	17.98%	-3.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.37%	18.27%	-1.90%

LZEMX vs. WAEMX - Expense Ratio Comparison

LZEMX has a 1.06% expense ratio, which is lower than WAEMX's 1.91% expense ratio.

Dividends

LZEMX vs. WAEMX - Dividend Comparison

LZEMX's dividend yield for the trailing twelve months is around 1.68%, less than WAEMX's 57.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LZEMX Lazard Emerging Markets Equity Portfolio	1.68%	2.05%	3.11%	3.76%	5.92%	4.89%	2.11%	2.45%	2.10%	1.99%	1.48%	2.14%
WAEMX Wasatch Emerging Markets Small Cap Fund	57.26%	70.40%	6.49%	0.00%	3.32%	6.03%	7.15%	5.82%	12.81%	0.00%	0.00%	0.02%

Frequently Asked Questions

Can I hold both LZEMX and WAEMX in my portfolio?

LZEMX and WAEMX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LZEMX or WAEMX?

WAEMX has higher volatility (8.04%) compared to LZEMX (6.12%). In terms of maximum drawdown, LZEMX dropped -60.08% vs WAEMX's -66.35%.

Which has better risk-adjusted returns?

LZEMX currently has the higher Sharpe Ratio (3.36 vs 1.76), 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.