LZSIX vs. ICMPX

Last updated Jun 25, 2026

LZSIX (Lazard International Equity Select Portfolio R6) and ICMPX (Lazard International Quality Growth Portfolio) are both Foreign Large Cap Equities funds from Lazard. Over the past 5 years, LZSIX returned 5.49%/yr vs 0.73%/yr for ICMPX. Their correlation of 0.91 suggests significant overlap in exposure. LZSIX charges 0.87%/yr vs 0.85%/yr for ICMPX.

Performance

LZSIX vs. ICMPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard International Equity Select Portfolio R6 (LZSIX) and Lazard International Quality Growth Portfolio (ICMPX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LZSIX achieves a 11.23% return, which is significantly higher than ICMPX's -5.74% return.

LZSIX

• 1D: -2.66%
• 1M: 0.35%
• YTD: 11.23%
• 6M: 10.71%
• 1Y: 21.03%
• 3Y*: 13.85%
• 5Y*: 5.49%
• 10Y*: 7.28%

ICMPX

• 1D: -1.11%
• 1M: -3.07%
• YTD: -5.74%
• 6M: -6.29%
• 1Y: -4.68%
• 3Y*: 5.91%
• 5Y*: 0.73%
• 10Y*: —

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

LZSIX vs. ICMPX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
LZSIX Lazard International Equity Select Portfolio R6	11.23%	24.70%	2.11%	12.08%	-15.56%	3.27%	8.33%	20.85%
ICMPX Lazard International Quality Growth Portfolio	-5.74%	11.70%	5.62%	17.84%	-20.11%	10.02%	23.95%	32.86%

Correlation

The correlation between LZSIX and ICMPX is 0.88, 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	0.88
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jan 3, 2019	0.91

The correlation between LZSIX and ICMPX has been stable across timeframes, ranging from 0.88 to 0.91 - a consistent structural relationship.

Return for Risk

LZSIX vs. ICMPX — Risk / Return Rank

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

LZSIX

LZSIX Risk / Return Rank: 38
LZSIX Sharpe Ratio Rank: 38
LZSIX Sortino Ratio Rank: 36
LZSIX Omega Ratio Rank: 37
LZSIX Calmar Ratio Rank: 37
LZSIX Martin Ratio Rank: 40

ICMPX

ICMPX Risk / Return Rank: 2
ICMPX Sharpe Ratio Rank: 2
ICMPX Sortino Ratio Rank: 2
ICMPX Omega Ratio Rank: 2
ICMPX Calmar Ratio Rank: 2
ICMPX Martin Ratio Rank: 2

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.

LZSIX vs. ICMPX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard International Equity Select Portfolio R6 (LZSIX) 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.

	LZSIX	ICMPX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	-0.25	+1.77
Sortino ratio: Return per unit of downside risk	2.14	-0.25	+2.39
Omega ratio: Gain probability vs. loss probability	1.28	0.97	+0.31
Calmar ratio: Return relative to maximum drawdown	2.02	-0.23	+2.25
Martin ratio: Return relative to average drawdown	7.72	-0.61	+8.33

LZSIX vs. ICMPX - Sharpe Ratio Comparison

The current LZSIX Sharpe Ratio is 1.52, which is higher than the ICMPX Sharpe Ratio of -0.25. The chart below compares the historical Sharpe Ratios of LZSIX and ICMPX, 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

LZSIX vs. ICMPX - Drawdown Comparison

The maximum LZSIX drawdown since its inception was -55.86%, which is greater than ICMPX's maximum drawdown of -34.70%. Use the drawdown chart below to compare losses from any high point for LZSIX and ICMPX.

Drawdown Indicators

	LZSIX	ICMPX	Difference
Max Drawdown Largest peak-to-trough decline	-55.86%	-34.70%	-21.16%
Max Drawdown (1Y) Largest decline over 1 year	-11.29%	-15.45%	+4.16%
Max Drawdown (3Y) Largest decline over 3 years	-15.40%	-15.45%	+0.05%
Max Drawdown (5Y) Largest decline over 5 years	-27.92%	-34.70%	+6.78%
Max Drawdown (10Y) Largest decline over 10 years	-36.77%	—	—
Current Drawdown Current decline from peak	-2.79%	-9.55%	+6.76%
Average Drawdown Average peak-to-trough decline	-11.69%	-8.78%	-2.91%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.95%	5.68%	-2.73%

Volatility

LZSIX vs. ICMPX - Volatility Comparison

Lazard International Equity Select Portfolio R6 (LZSIX) has a higher volatility of 6.21% compared to Lazard International Quality Growth Portfolio (ICMPX) at 4.15%. This indicates that LZSIX'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.

Volatility by Period

	LZSIX	ICMPX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.21%	4.15%	+2.06%
Volatility (6M) Calculated over the trailing 6-month period	12.82%	11.33%	+1.49%
Volatility (1Y) Calculated over the trailing 1-year period	15.02%	14.03%	+0.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.07%	16.43%	-1.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.70%	17.63%	-1.93%

LZSIX vs. ICMPX - Expense Ratio Comparison

LZSIX has a 0.87% expense ratio, which is higher than ICMPX's 0.85% expense ratio.

Dividends

LZSIX vs. ICMPX - Dividend Comparison

LZSIX's dividend yield for the trailing twelve months is around 2.25%, less than ICMPX's 4.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ICMPX Lazard International Quality Growth Portfolio	4.62%	4.35%	2.92%	0.62%	1.07%	2.04%	0.87%	2.47%	0.00%	0.00%	0.00%	0.00%
LZSIX Lazard International Equity Select Portfolio R6	2.25%	2.50%	1.74%	1.48%	2.22%	3.39%	0.98%	2.18%	3.22%	0.66%	1.15%	1.17%

Frequently Asked Questions

Can I hold both LZSIX and ICMPX in my portfolio?

LZSIX and ICMPX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LZSIX or ICMPX?

LZSIX has higher volatility (6.21%) compared to ICMPX (4.15%). In terms of maximum drawdown, LZSIX dropped -55.86% vs ICMPX's -34.70%.

Which has better risk-adjusted returns?

LZSIX currently has the higher Sharpe Ratio (1.52 vs -0.25), 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.