AQMIX vs. JMSIX

Last updated Aug 1, 2026

AQMIX (AQR Managed Futures Strategy Fund - Class I) and JMSIX (JPMorgan Income Fund Class I) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR, while JMSIX is a Multisector Bonds fund actively managed by JPMorgan. Over the past 10 years, AQMIX returned 4.33%/yr vs 3.76%/yr for JMSIX. Their -0.15 correlation means they have often moved in opposite directions in the past. AQMIX charges 1.25%/yr vs 0.40%/yr for JMSIX.

Performance

AQMIX vs. JMSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund - Class I (AQMIX) and JPMorgan Income Fund Class I (JMSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMIX achieves a 10.24% return, which is significantly higher than JMSIX's 1.12% return. Over the past 10 years, AQMIX has outperformed JMSIX with an annualized return of 4.33%, while JMSIX has yielded a comparatively lower 3.76% annualized return.

AQMIX

• 1D: -0.09%
• 1M: 2.13%
• 6M: 5.39%
• YTD: 10.24%
• 1Y: 23.61%
• 3Y*: 11.95%
• 5Y*: 13.71%
• 10Y*: 4.33%
• ALL TIME*: 3.97%

JMSIX

• 1D: 0.00%
• 1M: -0.47%
• 6M: 0.74%
• YTD: 1.12%
• 1Y: 3.79%
• 3Y*: 6.81%
• 5Y*: 2.71%
• 10Y*: 3.76%
• ALL TIME*: 2.90%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
AQMIX AQR Managed Futures Strategy Fund - Class I	$0.00	$0.00	$0.00
JMSIX JPMorgan Income Fund Class I	$0.00	$0.00	$0.00

AQMIX vs. JMSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQMIX AQR Managed Futures Strategy Fund - Class I	10.24%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%
JMSIX JPMorgan Income Fund Class I	1.12%	7.68%	7.78%	6.14%	-8.24%	3.59%	3.07%	11.82%	1.03%	6.00%

Correlation

The correlation between AQMIX and JMSIX is -0.28, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.28
Correlation (3Y) Balances recent behavior with more history.	-0.23
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.37
Correlation (10Y) Provides a long-term view across more market conditions.	-0.17
Correlation (All Time) Calculated using the full available price history since Nov 7, 2014	-0.15

The correlation between AQMIX and JMSIX shifts across timeframes, from -0.37 (5 years) to -0.15 (all time), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. JMSIX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 86
AQMIX Omega Ratio Rank: 83
AQMIX Calmar Ratio Rank: 95
AQMIX Martin Ratio Rank: 94

JMSIX

JMSIX Risk / Return Rank: 87
JMSIX Sharpe Ratio Rank: 80
JMSIX Sortino Ratio Rank: 92
JMSIX Omega Ratio Rank: 90
JMSIX Calmar Ratio Rank: 85
JMSIX Martin Ratio Rank: 89

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

AQMIX vs. JMSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund - Class I (AQMIX) and JPMorgan Income Fund Class I (JMSIX). 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.

	AQMIX	JMSIX	Difference
Sharpe ratio: Return per unit of total volatility	2.26	1.88	+0.38
Sortino ratio: Return per unit of downside risk	3.08	3.52	-0.44
Omega ratio: Gain probability vs. loss probability	1.39	1.49	-0.09
Calmar ratio: Return relative to maximum drawdown	4.20	2.89	+1.31
Martin ratio: Return relative to average drawdown	14.43	11.55	+2.88

AQMIX vs. JMSIX - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.26, which is comparable to the JMSIX Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of AQMIX and JMSIX, 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

AQMIX vs. JMSIX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than JMSIX's maximum drawdown of -18.40%. Use the drawdown chart below to compare losses from any high point for AQMIX and JMSIX.

Drawdown Indicators

	AQMIX	JMSIX	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-18.40%	-8.12%
Max Drawdown (1Y) Largest decline over 1 year	-5.14%	-1.62%	-3.52%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-2.25%	-11.32%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-11.39%	-2.18%
Max Drawdown (10Y) Largest decline over 10 years	-22.17%	-18.40%	-3.77%
Current Drawdown Current decline from peak	-3.12%	-0.59%	-2.53%
Average Drawdown Average peak-to-trough decline	-9.93%	-2.54%	-7.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	0.41%	+1.08%

Volatility

AQMIX vs. JMSIX - Volatility Comparison

AQR Managed Futures Strategy Fund - Class I (AQMIX) has a higher volatility of 3.39% compared to JPMorgan Income Fund Class I (JMSIX) at 0.53%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than JMSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	JMSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	0.53%	+2.86%
Volatility (6M) Calculated over the trailing 6-month period	7.39%	1.94%	+5.45%
Volatility (1Y) Calculated over the trailing 1-year period	9.57%	2.50%	+7.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.60%	3.73%	+7.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.26%	3.86%	+6.40%

AQMIX vs. JMSIX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than JMSIX's 0.40% expense ratio.

Dividends

AQMIX vs. JMSIX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.05%, less than JMSIX's 5.54% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund - Class I	2.05%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
JMSIX JPMorgan Income Fund Class I	5.54%	5.95%	5.78%	4.43%	4.78%	4.00%	4.95%	5.10%	5.43%	5.42%	0.46%	0.00%

Frequently Asked Questions

Can I hold both AQMIX and JMSIX in my portfolio?

AQMIX and JMSIX have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQMIX or JMSIX?

AQMIX has higher volatility (3.39%) compared to JMSIX (0.53%). In terms of maximum drawdown, AQMIX dropped -26.52% vs JMSIX's -18.40%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.26 vs 1.88), 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.