ARTHX vs. QMNNX

Last updated Jun 6, 2026

ARTHX (Artisan Global Equity Fund) and QMNNX (AQR Equity Market Neutral Fund N) are both mutual funds - ARTHX is a Global Equities fund managed by Artisan, while QMNNX is a Equity Market Neutral fund managed by AQR Funds. Over the past 10 years, ARTHX returned 14.02%/yr vs 6.01%/yr for QMNNX. At a correlation of -0.06, they often move in opposite directions. ARTHX charges 1.28%/yr vs 5.28%/yr for QMNNX.

Performance

ARTHX vs. QMNNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Artisan Global Equity Fund (ARTHX) and AQR Equity Market Neutral Fund N (QMNNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ARTHX achieves a 11.66% return, which is significantly higher than QMNNX's -6.48% return. Over the past 10 years, ARTHX has outperformed QMNNX with an annualized return of 14.02%, while QMNNX has yielded a comparatively lower 6.01% annualized return.

ARTHX

• 1D: -0.71%
• 1M: -5.77%
• YTD: 11.66%
• 6M: 12.79%
• 1Y: 29.90%
• 3Y*: 28.16%
• 5Y*: 10.76%
• 10Y*: 14.02%

QMNNX

• 1D: -0.52%
• 1M: 0.88%
• YTD: -6.48%
• 6M: -4.04%
• 1Y: 3.16%
• 3Y*: 19.34%
• 5Y*: 16.77%
• 10Y*: 6.01%

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

ARTHX vs. QMNNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARTHX Artisan Global Equity Fund	11.66%	45.58%	16.80%	11.89%	-20.62%	4.95%	29.46%	31.13%	-3.75%	31.35%
QMNNX AQR Equity Market Neutral Fund N	-6.48%	26.19%	25.43%	16.30%	27.07%	17.38%	-19.79%	-11.55%	-11.94%	5.56%

Correlation

The correlation between ARTHX and QMNNX is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.11
Correlation (3Y) Calculated over the trailing 3-year period	-0.06
Correlation (5Y) Calculated over the trailing 5-year period	-0.15
Correlation (10Y) Calculated over the trailing 10-year period	-0.07
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	-0.06

Return for Risk

ARTHX vs. QMNNX — Risk / Return Rank

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

ARTHX

ARTHX Risk / Return Rank: 58
ARTHX Sharpe Ratio Rank: 53
ARTHX Sortino Ratio Rank: 53
ARTHX Omega Ratio Rank: 52
ARTHX Calmar Ratio Rank: 68
ARTHX Martin Ratio Rank: 66

QMNNX

QMNNX Risk / Return Rank: 6
QMNNX Sharpe Ratio Rank: 7
QMNNX Sortino Ratio Rank: 6
QMNNX Omega Ratio Rank: 6
QMNNX Calmar Ratio Rank: 5
QMNNX Martin Ratio Rank: 5

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.

ARTHX vs. QMNNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Artisan Global Equity Fund (ARTHX) and AQR Equity Market Neutral Fund N (QMNNX). 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.

	ARTHX	QMNNX	Difference
Sharpe ratio: Return per unit of total volatility	2.08	0.49	+1.59
Sortino ratio: Return per unit of downside risk	2.95	0.71	+2.24
Omega ratio: Gain probability vs. loss probability	1.38	1.09	+0.29
Calmar ratio: Return relative to maximum drawdown	3.06	0.39	+2.67
Martin ratio: Return relative to average drawdown	12.35	0.89	+11.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ARTHX vs. QMNNX - Sharpe Ratio Comparison

The current ARTHX Sharpe Ratio is 2.08, which is higher than the QMNNX Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of ARTHX and QMNNX, 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

	ARTHX	QMNNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	0.49	+1.59
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	1.79	-1.18
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.80	0.73	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.75	0.82	-0.08

Drawdowns

ARTHX vs. QMNNX - Drawdown Comparison

The maximum ARTHX drawdown since its inception was -37.42%, roughly equal to the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for ARTHX and QMNNX.

Drawdown Indicators

	ARTHX	QMNNX	Difference
Max Drawdown Largest peak-to-trough decline	-37.42%	-39.22%	+1.80%
Max Drawdown (1Y) Largest decline over 1 year	-10.16%	-8.41%	-1.75%
Max Drawdown (3Y) Largest decline over 3 years	-14.06%	-8.41%	-5.65%
Max Drawdown (5Y) Largest decline over 5 years	-37.42%	-13.98%	-23.44%
Max Drawdown (10Y) Largest decline over 10 years	-37.42%	-39.22%	+1.80%
Current Drawdown Current decline from peak	-5.77%	-6.86%	+1.09%
Average Drawdown Average peak-to-trough decline	-7.14%	-10.61%	+3.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.51%	3.64%	-1.13%

Volatility

ARTHX vs. QMNNX - Volatility Comparison

Artisan Global Equity Fund (ARTHX) has a higher volatility of 5.90% compared to AQR Equity Market Neutral Fund N (QMNNX) at 2.85%. This indicates that ARTHX's price experiences larger fluctuations and is considered to be riskier than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARTHX	QMNNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.90%	2.85%	+3.05%
Volatility (6M) Calculated over the trailing 6-month period	12.09%	5.25%	+6.84%
Volatility (1Y) Calculated over the trailing 1-year period	14.94%	6.74%	+8.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.72%	9.40%	+8.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.65%	8.30%	+9.35%

ARTHX vs. QMNNX - Expense Ratio Comparison

ARTHX has a 1.28% expense ratio, which is lower than QMNNX's 5.28% expense ratio.

Dividends

ARTHX vs. QMNNX - Dividend Comparison

ARTHX's dividend yield for the trailing twelve months is around 20.95%, more than QMNNX's 1.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARTHX Artisan Global Equity Fund	20.95%	23.39%	11.32%	0.89%	0.88%	18.02%	11.98%	8.76%	18.13%	0.66%	0.00%	2.17%
QMNNX AQR Equity Market Neutral Fund N	1.34%	1.26%	6.06%	21.67%	5.77%	1.41%	17.64%	3.86%	0.49%	3.37%	1.19%	2.51%

Frequently Asked Questions

Can I hold both ARTHX and QMNNX in my portfolio?

ARTHX and QMNNX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ARTHX or QMNNX?

ARTHX has higher volatility (5.90%) compared to QMNNX (2.85%). In terms of maximum drawdown, ARTHX dropped -37.42% vs QMNNX's -39.22%.

Which has better risk-adjusted returns?

ARTHX currently has the higher Sharpe Ratio (2.08 vs 0.49), 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.