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 Quality Factor fund managed by Lazard. Over the past 5 years, LZFIX returned 4.69%/yr vs 1.74%/yr for ICMPX. Their 0.68 correlation means they have sometimes moved together and sometimes differently. 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 5.14% return, which is significantly higher than ICMPX's 0.59% return.
LZFIX
- 1D
- -2.07%
- 1M
- 6.92%
- 6M
- 7.07%
- YTD
- 5.14%
- 1Y
- -0.37%
- 3Y*
- 2.77%
- 5Y*
- 4.69%
- 10Y*
- —
- ALL TIME*
- 6.93%
ICMPX
- 1D
- 0.41%
- 1M
- 3.25%
- 6M
- -0.75%
- YTD
- 0.59%
- 1Y
- 3.41%
- 3Y*
- 6.95%
- 5Y*
- 1.74%
- 10Y*
- —
- ALL TIME*
- 9.76%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
LZFIX vs. ICMPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
LZFIX Lazard Equity Franchise Portfolio | 5.14% | 4.09% | -3.09% | 18.84% | -5.29% | 22.88% | 1.15% | 9.25% |
ICMPX Lazard International Quality Growth Portfolio | 0.59% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 23.95% | 14.50% |
Correlation
The correlation between LZFIX and ICMPX is 0.61, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.61 |
Correlation (3Y) Balances recent behavior with more history. | 0.65 |
Correlation (5Y) Shows whether the relationship held over a longer 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 0.61 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 | -0.28 | ||
| Sortino ratioReturn per unit of downside risk | -0.38 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.03 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | -0.13 | 0.12 | -0.25 |
| Martin ratioReturn relative to average drawdown | -0.22 | 0.29 | -0.52 |
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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 | -19.87% | -15.45% | -4.42% |
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 | -7.45% | -3.48% | -3.97% |
Average DrawdownAverage peak-to-trough decline | -7.15% | -8.75% | +1.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.65% | 6.05% | +5.60% |
Volatility
LZFIX vs. ICMPX - Volatility Comparison
Lazard Equity Franchise Portfolio (LZFIX) has a higher volatility of 7.71% compared to Lazard International Quality Growth Portfolio (ICMPX) at 4.07%. This indicates that LZFIX's price experiences larger fluctuations and is considered to be riskier than ICMPX based on this measure. 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 | 7.71% | 4.07% | +3.64% |
Volatility (6M)Calculated over the trailing 6-month period | 13.18% | 11.52% | +1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.60% | 14.24% | +2.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.10% | 16.46% | +1.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.12% | 17.57% | +3.55% |
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 19.85%, more than ICMPX's 4.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | 4.32% | 4.35% | 2.92% | 0.62% | 1.07% | 2.04% | 0.87% | 2.47% |
LZFIX Lazard Equity Franchise Portfolio | 19.85% | 20.87% | 14.95% | 8.68% | 12.81% | 15.59% | 1.12% | 5.78% |
Frequently Asked Questions
LZFIX and ICMPX have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LZFIX has higher volatility (7.71%) compared to ICMPX (4.07%). In terms of maximum drawdown, LZFIX dropped -41.91% vs ICMPX's -34.70%.
ICMPX currently has the higher Sharpe Ratio (0.13 vs -0.16), 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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