LZHYX vs. ICMPX
LZHYX (Lazard US Corporate Income Portfolio) and ICMPX (Lazard International Quality Growth Portfolio) are both mutual funds - LZHYX is a High Yield Bonds fund managed by Lazard, while ICMPX is a Foreign Large Cap Equities fund managed by Lazard. Over the past 5 years, LZHYX returned 3.48%/yr vs 1.44%/yr for ICMPX. A 0.56 correlation means they provide meaningful diversification when combined. LZHYX charges 0.70%/yr vs 0.85%/yr for ICMPX.
Performance
LZHYX vs. ICMPX - Performance Comparison
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Returns By Period
In the year-to-date period, LZHYX achieves a 1.32% return, which is significantly higher than ICMPX's -4.10% return.
LZHYX
- 1D
- 0.00%
- 1M
- 0.54%
- YTD
- 1.32%
- 6M
- 2.01%
- 1Y
- 7.14%
- 3Y*
- 7.90%
- 5Y*
- 3.48%
- 10Y*
- 4.33%
ICMPX
- 1D
- 0.24%
- 1M
- -1.38%
- YTD
- -4.10%
- 6M
- -4.04%
- 1Y
- -0.54%
- 3Y*
- 5.29%
- 5Y*
- 1.44%
- 10Y*
- —
LZHYX vs. ICMPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
LZHYX Lazard US Corporate Income Portfolio | 1.32% | 10.49% | 5.34% | 10.22% | -10.18% | 2.53% | 4.88% | 13.11% |
ICMPX Lazard International Quality Growth Portfolio | -4.10% | 11.70% | 5.62% | 17.84% | -20.11% | 10.02% | 23.95% | 32.86% |
Correlation
The correlation between LZHYX and ICMPX is 0.57, 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 | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019 | 0.56 |
The correlation between LZHYX and ICMPX has been stable across timeframes, ranging from 0.55 to 0.58 - a consistent structural relationship.
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Return for Risk
LZHYX vs. ICMPX — Risk / Return Rank
LZHYX
ICMPX
LZHYX vs. ICMPX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Lazard US Corporate Income Portfolio (LZHYX) 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.
| LZHYX | ICMPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.51 | ||
| Sortino ratioReturn per unit of downside risk | +4.28 | ||
| Omega ratioGain probability vs. loss probability | 1.53 | 0.99 | +0.54 |
| Calmar ratioReturn relative to maximum drawdown | 3.16 | -0.12 | +3.28 |
| Martin ratioReturn relative to average drawdown | 15.25 | -0.32 | +15.57 |
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Drawdowns
LZHYX vs. ICMPX - Drawdown Comparison
The maximum LZHYX drawdown since its inception was -32.30%, smaller than the maximum ICMPX drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for LZHYX and ICMPX.
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Drawdown Indicators
| LZHYX | ICMPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.30% | -34.70% | +2.40% |
Max Drawdown (1Y)Largest decline over 1 year | -2.28% | -15.45% | +13.17% |
Max Drawdown (3Y)Largest decline over 3 years | -4.00% | -15.45% | +11.45% |
Max Drawdown (5Y)Largest decline over 5 years | -14.43% | -34.70% | +20.27% |
Max Drawdown (10Y)Largest decline over 10 years | -17.80% | — | — |
Current DrawdownCurrent decline from peak | -0.27% | -7.98% | +7.71% |
Average DrawdownAverage peak-to-trough decline | -4.28% | -8.78% | +4.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.47% | 5.62% | -5.15% |
Volatility
LZHYX vs. ICMPX - Volatility Comparison
The current volatility for Lazard US Corporate Income Portfolio (LZHYX) is 0.84%, while Lazard International Quality Growth Portfolio (ICMPX) has a volatility of 4.08%. This indicates that LZHYX experiences smaller price fluctuations and is considered to be less risky 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
| LZHYX | ICMPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.84% | 4.08% | -3.24% |
Volatility (6M)Calculated over the trailing 6-month period | 2.32% | 11.37% | -9.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.04% | 14.03% | -10.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.94% | 16.42% | -11.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.09% | 17.63% | -12.54% |
LZHYX vs. ICMPX - Expense Ratio Comparison
LZHYX has a 0.70% expense ratio, which is lower than ICMPX's 0.85% expense ratio.
Dividends
LZHYX vs. ICMPX - Dividend Comparison
LZHYX's dividend yield for the trailing twelve months is around 5.14%, more than ICMPX's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ICMPX Lazard International Quality Growth Portfolio | 4.54% | 4.35% | 2.92% | 0.62% | 1.07% | 2.04% | 0.87% | 2.47% | 0.00% | 0.00% | 0.00% | 0.00% |
LZHYX Lazard US Corporate Income Portfolio | 5.14% | 5.49% | 5.07% | 3.87% | 4.19% | 3.37% | 3.98% | 4.42% | 4.85% | 4.84% | 4.70% | 5.20% |
Frequently Asked Questions
LZHYX and ICMPX have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ICMPX has higher volatility (4.08%) compared to LZHYX (0.84%). In terms of maximum drawdown, LZHYX dropped -32.30% vs ICMPX's -34.70%.
LZHYX currently has the higher Sharpe Ratio (2.38 vs -0.13), 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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