LZFIX vs. ICMPX
LZFIX (Lazard Equity Franchise Portfolio) and ICMPX (Lazard International Quality Growth Portfolio) are both mutual funds - LZFIX is a Large Cap Value Equities fund managed by Lazard, while ICMPX is a Foreign Large Cap Equities fund managed by Lazard. Over the past 5 years, LZFIX returned 1.66%/yr vs 1.16%/yr for ICMPX. A 0.68 correlation means they provide meaningful diversification when combined. LZFIX charges 0.99%/yr vs 0.85%/yr for ICMPX.
Performance
LZFIX vs. ICMPX - Performance Comparison
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Returns By Period
In the year-to-date period, LZFIX achieves a -8.61% return, which is significantly lower than ICMPX's -4.68% return.
LZFIX
- 1D
- -0.60%
- 1M
- -3.52%
- YTD
- -8.61%
- 6M
- -8.23%
- 1Y
- -16.15%
- 3Y*
- -0.65%
- 5Y*
- 1.66%
- 10Y*
- —
ICMPX
- 1D
- -0.61%
- 1M
- -1.99%
- YTD
- -4.68%
- 6M
- -5.13%
- 1Y
- -2.40%
- 3Y*
- 6.30%
- 5Y*
- 1.16%
- 10Y*
- —
LZFIX vs. ICMPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
LZFIX Lazard Equity Franchise Portfolio | -8.61% | 4.09% | -3.09% | 18.84% | -5.29% | 22.88% | 1.15% | 9.25% |
ICMPX Lazard International Quality Growth Portfolio | -4.68% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 23.95% | 14.50% |
Correlation
The correlation between LZFIX and ICMPX is 0.62, 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 | 0.62 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (All Time) Calculated using the full available price history since May 14, 2019 | 0.68 |
The correlation between LZFIX and ICMPX has been stable across timeframes, ranging from 0.62 to 0.70 - a consistent structural relationship.
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Return for Risk
LZFIX vs. ICMPX — Risk / Return Rank
LZFIX
ICMPX
LZFIX vs. ICMPX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard Equity Franchise Portfolio (LZFIX) and Lazard International Quality Growth Portfolio (ICMPX). 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.
| LZFIX | ICMPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.92 | ||
| Sortino ratioReturn per unit of downside risk | -1.32 | ||
| Omega ratioGain probability vs. loss probability | 0.85 | 1.00 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.70 | -0.07 | -0.63 |
| Martin ratioReturn relative to average drawdown | -1.20 | -0.20 | -1.00 |
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Drawdowns
LZFIX vs. ICMPX - Drawdown Comparison
The maximum LZFIX drawdown since its inception was -41.91%, which is greater than ICMPX's maximum drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for LZFIX and ICMPX.
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Drawdown Indicators
| LZFIX | ICMPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.91% | -34.70% | -7.21% |
Max Drawdown (1Y)Largest decline over 1 year | -21.51% | -15.45% | -6.06% |
Max Drawdown (3Y)Largest decline over 3 years | -21.51% | -15.45% | -6.06% |
Max Drawdown (5Y)Largest decline over 5 years | -21.69% | -34.70% | +13.01% |
Current DrawdownCurrent decline from peak | -19.55% | -8.54% | -11.01% |
Average DrawdownAverage peak-to-trough decline | -7.06% | -8.78% | +1.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.57% | 5.65% | +6.92% |
Volatility
LZFIX vs. ICMPX - Volatility Comparison
Lazard Equity Franchise Portfolio (LZFIX) and Lazard International Quality Growth Portfolio (ICMPX) have volatilities of 4.09% and 4.03%, 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.
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Volatility by Period
| LZFIX | ICMPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.09% | 4.03% | +0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 10.85% | 11.33% | -0.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.07% | 14.01% | +1.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.80% | 16.42% | +1.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.06% | 17.62% | +3.44% |
LZFIX vs. ICMPX - Expense Ratio Comparison
LZFIX has a 0.99% expense ratio, which is higher than ICMPX's 0.85% expense ratio.
Dividends
LZFIX vs. ICMPX - Dividend Comparison
LZFIX's dividend yield for the trailing twelve months is around 22.84%, more than ICMPX's 4.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | 4.56% | 4.35% | 2.92% | 0.62% | 1.07% | 2.04% | 0.87% | 2.47% |
LZFIX Lazard Equity Franchise Portfolio | 22.84% | 20.87% | 14.95% | 8.68% | 12.81% | 15.59% | 1.12% | 5.78% |
Frequently Asked Questions
LZFIX and ICMPX have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LZFIX has higher volatility (4.09%) compared to ICMPX (4.03%). In terms of maximum drawdown, LZFIX dropped -41.91% vs ICMPX's -34.70%.
ICMPX currently has the higher Sharpe Ratio (-0.08 vs -1.01), 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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