LZISX vs. VFSNX

Last updated Jun 4, 2026

LZISX (Lazard International Small Cap Equity Portfolio) and VFSNX (Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares) are both Foreign Small & Mid Cap Equities funds. Over the past 10 years, LZISX returned 7.83%/yr vs 8.21%/yr for VFSNX. Their correlation of 0.90 suggests significant overlap in exposure. LZISX charges 1.14%/yr vs 0.11%/yr for VFSNX.

Performance

LZISX vs. VFSNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard International Small Cap Equity Portfolio (LZISX) and Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares (VFSNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LZISX achieves a 28.42% return, which is significantly higher than VFSNX's 11.76% return. Both investments have delivered pretty close results over the past 10 years, with LZISX having a 7.83% annualized return and VFSNX not far ahead at 8.21%.

LZISX

• 1D: 0.97%
• 1M: 5.51%
• YTD: 28.42%
• 6M: 29.66%
• 1Y: 43.35%
• 3Y*: 20.30%
• 5Y*: 6.56%
• 10Y*: 7.83%

VFSNX

• 1D: 0.05%
• 1M: 1.81%
• YTD: 11.76%
• 6M: 14.55%
• 1Y: 28.61%
• 3Y*: 17.18%
• 5Y*: 6.19%
• 10Y*: 8.21%

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

LZISX vs. VFSNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LZISX Lazard International Small Cap Equity Portfolio	28.42%	35.95%	-3.68%	11.59%	-26.34%	12.36%	13.45%	25.49%	-24.90%	36.67%
VFSNX Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares	11.76%	29.97%	2.63%	15.18%	-21.26%	12.74%	11.92%	21.72%	-18.46%	30.30%

Correlation

The correlation between LZISX and VFSNX is 0.80, 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	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.90
Correlation (All Time) Calculated using the full available price history since Mar 23, 2009	0.90

The correlation between LZISX and VFSNX has been stable across timeframes, ranging from 0.80 to 0.90 - a consistent structural relationship.

Return for Risk

LZISX vs. VFSNX — Risk / Return Rank

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

LZISX

LZISX Risk / Return Rank: 61
LZISX Sharpe Ratio Rank: 57
LZISX Sortino Ratio Rank: 49
LZISX Omega Ratio Rank: 48
LZISX Calmar Ratio Rank: 77
LZISX Martin Ratio Rank: 71

VFSNX

VFSNX Risk / Return Rank: 47
VFSNX Sharpe Ratio Rank: 51
VFSNX Sortino Ratio Rank: 47
VFSNX Omega Ratio Rank: 50
VFSNX Calmar Ratio Rank: 42
VFSNX Martin Ratio Rank: 45

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.

LZISX vs. VFSNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard International Small Cap Equity Portfolio (LZISX) and Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares (VFSNX). 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.

	LZISX	VFSNX	Difference
Sharpe ratio Return per unit of total volatility	2.22	2.11	+0.11
Sortino ratio Return per unit of downside risk	2.97	2.89	+0.08
Omega ratio Gain probability vs. loss probability	1.38	1.39	-0.01
Calmar ratio Return relative to maximum drawdown	3.50	2.46	+1.04
Martin ratio Return relative to average drawdown	13.65	9.47	+4.18
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LZISX vs. VFSNX - Sharpe Ratio Comparison

The current LZISX Sharpe Ratio is 2.22, which is comparable to the VFSNX Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of LZISX and VFSNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	LZISX	VFSNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.22	2.11	+0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.38	0.41	-0.04
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.52	-0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.44	0.59	-0.15

Drawdowns

LZISX vs. VFSNX - Drawdown Comparison

The maximum LZISX drawdown since its inception was -65.43%, which is greater than VFSNX's maximum drawdown of -43.65%. Use the drawdown chart below to compare losses from any high point for LZISX and VFSNX.

Drawdown Indicators

	LZISX	VFSNX	Difference
Max Drawdown Largest peak-to-trough decline	-65.43%	-43.65%	-21.78%
Max Drawdown (1Y) Largest decline over 1 year	-12.10%	-11.47%	-0.63%
Max Drawdown (3Y) Largest decline over 3 years	-15.96%	-14.70%	-1.26%
Max Drawdown (5Y) Largest decline over 5 years	-42.01%	-33.75%	-8.26%
Max Drawdown (10Y) Largest decline over 10 years	-44.80%	-43.65%	-1.15%
Current Drawdown Current decline from peak	0.00%	-1.09%	+1.09%
Average Drawdown Average peak-to-trough decline	-14.78%	-9.49%	-5.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.10%	2.98%	+0.12%

Volatility

LZISX vs. VFSNX - Volatility Comparison

Lazard International Small Cap Equity Portfolio (LZISX) has a higher volatility of 6.33% compared to Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares (VFSNX) at 4.30%. This indicates that LZISX's price experiences larger fluctuations and is considered to be riskier than VFSNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LZISX	VFSNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.33%	4.30%	+2.03%
Volatility (6M) Calculated over the trailing 6-month period	15.49%	11.19%	+4.30%
Volatility (1Y) Calculated over the trailing 1-year period	19.12%	13.40%	+5.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.53%	15.03%	+2.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.06%	15.76%	+1.30%

LZISX vs. VFSNX - Expense Ratio Comparison

LZISX has a 1.14% expense ratio, which is higher than VFSNX's 0.11% expense ratio.

Dividends

LZISX vs. VFSNX - Dividend Comparison

LZISX's dividend yield for the trailing twelve months is around 1.49%, less than VFSNX's 3.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LZISX Lazard International Small Cap Equity Portfolio	1.49%	1.91%	1.89%	2.08%	5.44%	36.78%	2.07%	2.10%	4.62%	0.00%	2.96%	0.69%
VFSNX Vanguard FTSE All-World ex-US Small-Cap Index Fund Institutional Shares	3.01%	3.36%	3.41%	3.11%	2.26%	2.70%	1.90%	3.25%	2.81%	2.85%	2.93%	2.69%

Frequently Asked Questions

Can I hold both LZISX and VFSNX in my portfolio?

LZISX and VFSNX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LZISX or VFSNX?

LZISX has higher volatility (6.33%) compared to VFSNX (4.30%). In terms of maximum drawdown, LZISX dropped -65.43% vs VFSNX's -43.65%.

Which has better risk-adjusted returns?

LZISX currently has the higher Sharpe Ratio (2.22 vs 2.11), 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.