FPNIX vs. AQMIX

Last updated Aug 1, 2026

FPNIX (FPA New Income Fund) and AQMIX (AQR Managed Futures Strategy Fund - Class I) are both mutual funds - FPNIX is a Short-Term Bond fund managed by FPA, while AQMIX is a Systematic Trend fund managed by AQR. Over the past 10 years, FPNIX returned 2.76%/yr vs 4.33%/yr for AQMIX. Their -0.13 correlation means they have often moved in opposite directions in the past. FPNIX charges 0.45%/yr vs 1.25%/yr for AQMIX.

Performance

FPNIX vs. AQMIX - Performance Comparison

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

Returns By Period

In the year-to-date period, FPNIX achieves a 0.02% return, which is significantly lower than AQMIX's 10.24% return. Over the past 10 years, FPNIX has underperformed AQMIX with an annualized return of 2.76%, while AQMIX has yielded a comparatively higher 4.33% annualized return.

FPNIX

• 1D: 0.00%
• 1M: -0.08%
• 6M: -0.20%
• YTD: 0.02%
• 1Y: 2.35%
• 3Y*: 5.16%
• 5Y*: 2.91%
• 10Y*: 2.76%
• ALL TIME*: 4.45%

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%

*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
FPNIX FPA New Income Fund	$0.00	$0.00	$0.00

FPNIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FPNIX FPA New Income Fund	0.02%	6.71%	4.58%	6.78%	-3.10%	0.84%	2.51%	3.81%	2.30%	2.67%
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%

Correlation

The correlation between FPNIX and AQMIX is -0.33, 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.	-0.33
Correlation (3Y) Balances recent behavior with more history.	-0.24
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.35
Correlation (10Y) Provides a long-term view across more market conditions.	-0.20
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	-0.13

The correlation between FPNIX and AQMIX shifts across timeframes, from -0.35 (5 years) to -0.13 (all time), reflecting how their relationship changes across market environments.

Return for Risk

FPNIX vs. AQMIX — Risk / Return Rank

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

FPNIX

FPNIX Risk / Return Rank: 43
FPNIX Sharpe Ratio Rank: 49
FPNIX Sortino Ratio Rank: 50
FPNIX Omega Ratio Rank: 53
FPNIX Calmar Ratio Rank: 37
FPNIX Martin Ratio Rank: 25

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

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.

FPNIX vs. AQMIX - Risk-Adjusted Trends Comparison

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

	FPNIX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.30	2.26	-0.96
Sortino ratio: Return per unit of downside risk	1.91	3.08	-1.17
Omega ratio: Gain probability vs. loss probability	1.25	1.39	-0.14
Calmar ratio: Return relative to maximum drawdown	1.51	4.20	-2.68
Martin ratio: Return relative to average drawdown	3.51	14.43	-10.91

FPNIX vs. AQMIX - Sharpe Ratio Comparison

The current FPNIX Sharpe Ratio is 1.30, which is lower than the AQMIX Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of FPNIX and AQMIX, 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

FPNIX vs. AQMIX - Drawdown Comparison

The maximum FPNIX drawdown since its inception was -22.95%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for FPNIX and AQMIX.

Drawdown Indicators

	FPNIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-22.95%	-26.52%	+3.57%
Max Drawdown (1Y) Largest decline over 1 year	-1.97%	-5.14%	+3.17%
Max Drawdown (3Y) Largest decline over 3 years	-1.97%	-13.57%	+11.60%
Max Drawdown (5Y) Largest decline over 5 years	-4.67%	-13.57%	+8.90%
Max Drawdown (10Y) Largest decline over 10 years	-4.67%	-22.17%	+17.50%
Current Drawdown Current decline from peak	-1.30%	-3.12%	+1.82%
Average Drawdown Average peak-to-trough decline	-1.86%	-9.93%	+8.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.85%	1.49%	-0.64%

Volatility

FPNIX vs. AQMIX - Volatility Comparison

The current volatility for FPA New Income Fund (FPNIX) is 0.48%, while AQR Managed Futures Strategy Fund - Class I (AQMIX) has a volatility of 3.39%. This indicates that FPNIX experiences smaller price fluctuations and is considered to be less risky than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FPNIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.48%	3.39%	-2.91%
Volatility (6M) Calculated over the trailing 6-month period	1.81%	7.39%	-5.58%
Volatility (1Y) Calculated over the trailing 1-year period	2.30%	9.57%	-7.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.47%	11.60%	-9.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.92%	10.26%	-8.34%

FPNIX vs. AQMIX - Expense Ratio Comparison

FPNIX has a 0.45% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

FPNIX vs. AQMIX - Dividend Comparison

FPNIX's dividend yield for the trailing twelve months is around 3.90%, more than AQMIX's 2.05% 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%
FPNIX FPA New Income Fund	3.90%	3.36%	4.39%	3.37%	2.13%	1.24%	2.17%	2.63%	3.10%	2.84%	2.31%	1.87%

Frequently Asked Questions

Can I hold both FPNIX and AQMIX in my portfolio?

FPNIX and AQMIX have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FPNIX or AQMIX?

AQMIX has higher volatility (3.39%) compared to FPNIX (0.48%). In terms of maximum drawdown, FPNIX dropped -22.95% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.26 vs 1.30), 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.