NCZ vs. LOCFX

Last updated Jun 4, 2026

NCZ (Virtus Convertible and Income Fund II) and LOCFX (Lord Abbett Convertible Fund Class F3) are both Convertible Bonds funds. Over the past 5 years, NCZ returned 6.41%/yr vs 7.47%/yr for LOCFX. A 0.61 correlation means they provide meaningful diversification when combined. NCZ charges 0.03%/yr vs 0.82%/yr for LOCFX.

Performance

NCZ vs. LOCFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Convertible and Income Fund II (NCZ) and Lord Abbett Convertible Fund Class F3 (LOCFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NCZ achieves a 18.39% return, which is significantly lower than LOCFX's 22.45% return.

NCZ

• 1D: -1.69%
• 1M: 3.34%
• YTD: 18.39%
• 6M: 18.55%
• 1Y: 41.62%
• 3Y*: 23.93%
• 5Y*: 6.41%
• 10Y*: 8.98%

LOCFX

• 1D: 0.86%
• 1M: 5.62%
• YTD: 22.45%
• 6M: 22.88%
• 1Y: 42.20%
• 3Y*: 21.51%
• 5Y*: 7.47%
• 10Y*: —

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

NCZ vs. LOCFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NCZ Virtus Convertible and Income Fund II	18.39%	23.23%	18.40%	17.75%	-35.93%	9.24%	11.04%	27.19%	-18.66%	14.19%
LOCFX Lord Abbett Convertible Fund Class F3	22.45%	22.43%	14.00%	7.30%	-23.12%	1.40%	64.47%	25.07%	-6.42%	10.04%

Correlation

The correlation between NCZ and LOCFX is 0.70, 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	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.65
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (All Time) Calculated using the full available price history since Apr 5, 2017	0.61

The correlation between NCZ and LOCFX has been stable across timeframes, ranging from 0.61 to 0.70 - a consistent structural relationship.

Return for Risk

NCZ vs. LOCFX — Risk / Return Rank

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

NCZ

NCZ Risk / Return Rank: 74
NCZ Sharpe Ratio Rank: 79
NCZ Sortino Ratio Rank: 66
NCZ Omega Ratio Rank: 65
NCZ Calmar Ratio Rank: 77
NCZ Martin Ratio Rank: 84

LOCFX

LOCFX Risk / Return Rank: 87
LOCFX Sharpe Ratio Rank: 89
LOCFX Sortino Ratio Rank: 80
LOCFX Omega Ratio Rank: 77
LOCFX Calmar Ratio Rank: 96
LOCFX Martin Ratio Rank: 95

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.

NCZ vs. LOCFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Convertible and Income Fund II (NCZ) and Lord Abbett Convertible Fund Class F3 (LOCFX). 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.

	NCZ	LOCFX	Difference
Sharpe ratio: Return per unit of total volatility	2.58	2.94	-0.36
Sortino ratio: Return per unit of downside risk	3.41	3.82	-0.41
Omega ratio: Gain probability vs. loss probability	1.45	1.51	-0.06
Calmar ratio: Return relative to maximum drawdown	3.50	6.16	-2.66
Martin ratio: Return relative to average drawdown	15.76	23.09	-7.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NCZ vs. LOCFX - Sharpe Ratio Comparison

The current NCZ Sharpe Ratio is 2.58, which is comparable to the LOCFX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of NCZ and LOCFX, 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

	NCZ	LOCFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.58	2.94	-0.36
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	0.58	-0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.23	0.92	-0.69

Drawdowns

NCZ vs. LOCFX - Drawdown Comparison

The maximum NCZ drawdown since its inception was -79.48%, which is greater than LOCFX's maximum drawdown of -33.29%. Use the drawdown chart below to compare losses from any high point for NCZ and LOCFX.

Drawdown Indicators

	NCZ	LOCFX	Difference
Max Drawdown Largest peak-to-trough decline	-79.48%	-33.29%	-46.19%
Max Drawdown (1Y) Largest decline over 1 year	-11.94%	-7.02%	-4.92%
Max Drawdown (3Y) Largest decline over 3 years	-19.54%	-12.09%	-7.45%
Max Drawdown (5Y) Largest decline over 5 years	-43.93%	-30.60%	-13.33%
Max Drawdown (10Y) Largest decline over 10 years	-56.08%	—	—
Current Drawdown Current decline from peak	-1.69%	0.00%	-1.69%
Average Drawdown Average peak-to-trough decline	-14.35%	-11.21%	-3.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.65%	1.87%	+0.78%

Volatility

NCZ vs. LOCFX - Volatility Comparison

Virtus Convertible and Income Fund II (NCZ) and Lord Abbett Convertible Fund Class F3 (LOCFX) have volatilities of 5.45% and 5.38%, 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.

Volatility by Period

	NCZ	LOCFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.45%	5.38%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	12.69%	12.16%	+0.53%
Volatility (1Y) Calculated over the trailing 1-year period	16.21%	14.69%	+1.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.32%	12.96%	+8.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.27%	14.01%	+10.26%

NCZ vs. LOCFX - Expense Ratio Comparison

NCZ has a 0.03% expense ratio, which is lower than LOCFX's 0.82% expense ratio.

Dividends

NCZ vs. LOCFX - Dividend Comparison

NCZ's dividend yield for the trailing twelve months is around 9.20%, more than LOCFX's 1.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LOCFX Lord Abbett Convertible Fund Class F3	1.26%	1.86%	2.29%	2.06%	2.72%	18.36%	16.20%	8.75%	5.02%	2.08%	0.00%	0.00%
NCZ Virtus Convertible and Income Fund II	9.20%	10.45%	11.50%	12.84%	15.62%	8.82%	9.28%	11.28%	15.33%	13.80%	12.08%	18.02%

Frequently Asked Questions

Can I hold both NCZ and LOCFX in my portfolio?

NCZ and LOCFX have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NCZ or LOCFX?

NCZ has higher volatility (5.45%) compared to LOCFX (5.38%). In terms of maximum drawdown, NCZ dropped -79.48% vs LOCFX's -33.29%.

Which has better risk-adjusted returns?

LOCFX currently has the higher Sharpe Ratio (2.94 vs 2.58), 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.