SGMAX vs. ARTHX

Last updated Jun 26, 2026

SGMAX (SEI Institutional Investments Trust Global Managed Volatility Fund) and ARTHX (Artisan Global Equity Fund) are both Global Equities funds. Over the past 5 years, SGMAX returned 10.28%/yr vs 9.67%/yr for ARTHX. A 0.70 correlation means they provide meaningful diversification when combined. SGMAX charges 0.25%/yr vs 1.28%/yr for ARTHX.

Performance

SGMAX vs. ARTHX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) and Artisan Global Equity Fund (ARTHX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SGMAX achieves a 7.47% return, which is significantly lower than ARTHX's 8.53% return.

SGMAX

• 1D: -0.16%
• 1M: -1.21%
• YTD: 7.47%
• 6M: 6.77%
• 1Y: 15.95%
• 3Y*: 15.36%
• 5Y*: 10.28%
• 10Y*: —

ARTHX

• 1D: -0.37%
• 1M: -6.50%
• YTD: 8.53%
• 6M: 8.29%
• 1Y: 22.36%
• 3Y*: 26.26%
• 5Y*: 9.67%
• 10Y*: 14.22%

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

SGMAX vs. ARTHX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	7.47%	17.93%	15.18%	8.86%	-3.41%	18.94%	-2.71%	20.58%	-4.41%	17.10%
ARTHX Artisan Global Equity Fund	8.53%	45.58%	16.80%	11.89%	-20.62%	4.95%	29.46%	31.13%	-3.75%	31.35%

Correlation

The correlation between SGMAX and ARTHX is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.47
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.67
Correlation (All Time) Calculated using the full available price history since Jan 3, 2017	0.70

Over the past year, the correlation between SGMAX and ARTHX has dropped to 0.47 - well below their long-term average of 0.70, suggesting their price drivers have been diverging.

Return for Risk

SGMAX vs. ARTHX — Risk / Return Rank

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

SGMAX

SGMAX Risk / Return Rank: 65
SGMAX Sharpe Ratio Rank: 68
SGMAX Sortino Ratio Rank: 71
SGMAX Omega Ratio Rank: 63
SGMAX Calmar Ratio Rank: 62
SGMAX Martin Ratio Rank: 60

ARTHX

ARTHX Risk / Return Rank: 37
ARTHX Sharpe Ratio Rank: 34
ARTHX Sortino Ratio Rank: 34
ARTHX Omega Ratio Rank: 34
ARTHX Calmar Ratio Rank: 43
ARTHX Martin Ratio Rank: 39

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.

SGMAX vs. ARTHX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) and Artisan Global Equity Fund (ARTHX). 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.

	SGMAX	ARTHX	Difference
Sharpe ratio: Return per unit of total volatility	1.97	1.42	+0.56
Sortino ratio: Return per unit of downside risk	2.88	2.05	+0.82
Omega ratio: Gain probability vs. loss probability	1.35	1.26	+0.09
Calmar ratio: Return relative to maximum drawdown	2.56	2.18	+0.38
Martin ratio: Return relative to average drawdown	9.94	7.33	+2.61

SGMAX vs. ARTHX - Sharpe Ratio Comparison

The current SGMAX Sharpe Ratio is 1.97, which is higher than the ARTHX Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of SGMAX and ARTHX, 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

SGMAX vs. ARTHX - Drawdown Comparison

The maximum SGMAX drawdown since its inception was -31.27%, smaller than the maximum ARTHX drawdown of -37.42%. Use the drawdown chart below to compare losses from any high point for SGMAX and ARTHX.

Drawdown Indicators

	SGMAX	ARTHX	Difference
Max Drawdown Largest peak-to-trough decline	-31.27%	-37.42%	+6.15%
Max Drawdown (1Y) Largest decline over 1 year	-5.88%	-10.16%	+4.28%
Max Drawdown (3Y) Largest decline over 3 years	-11.57%	-14.06%	+2.49%
Max Drawdown (5Y) Largest decline over 5 years	-22.11%	-37.42%	+15.31%
Max Drawdown (10Y) Largest decline over 10 years	—	-37.42%	—
Current Drawdown Current decline from peak	-2.00%	-8.41%	+6.41%
Average Drawdown Average peak-to-trough decline	-4.79%	-7.14%	+2.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.51%	3.01%	-1.50%

Volatility

SGMAX vs. ARTHX - Volatility Comparison

The current volatility for SEI Institutional Investments Trust Global Managed Volatility Fund (SGMAX) is 1.88%, while Artisan Global Equity Fund (ARTHX) has a volatility of 5.47%. This indicates that SGMAX experiences smaller price fluctuations and is considered to be less risky than ARTHX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SGMAX	ARTHX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.88%	5.47%	-3.59%
Volatility (6M) Calculated over the trailing 6-month period	5.68%	13.06%	-7.38%
Volatility (1Y) Calculated over the trailing 1-year period	7.66%	15.66%	-8.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.76%	17.84%	-4.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.18%	17.65%	-3.47%

SGMAX vs. ARTHX - Expense Ratio Comparison

SGMAX has a 0.25% expense ratio, which is lower than ARTHX's 1.28% expense ratio.

Dividends

SGMAX vs. ARTHX - Dividend Comparison

SGMAX's dividend yield for the trailing twelve months is around 13.54%, less than ARTHX's 21.55% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARTHX Artisan Global Equity Fund	21.55%	23.39%	11.32%	0.89%	0.88%	18.02%	11.98%	8.76%	18.13%	0.66%	0.00%	2.17%
SGMAX SEI Institutional Investments Trust Global Managed Volatility Fund	13.54%	14.55%	12.63%	6.40%	11.12%	15.38%	2.06%	4.81%	7.86%	4.45%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SGMAX and ARTHX in my portfolio?

SGMAX and ARTHX have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SGMAX or ARTHX?

ARTHX has higher volatility (5.47%) compared to SGMAX (1.88%). In terms of maximum drawdown, SGMAX dropped -31.27% vs ARTHX's -37.42%.

Which has better risk-adjusted returns?

SGMAX currently has the higher Sharpe Ratio (1.97 vs 1.42), 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.