JMSIX vs. QGMIX
JMSIX (JPMorgan Income Fund Class I) and QGMIX (AQR Macro Opportunities Fund) are both mutual funds - JMSIX is a Multisector Bonds fund actively managed by JPMorgan, while QGMIX is a Multistrategy fund managed by AQR. Over the past 10 years, JMSIX returned 3.79%/yr vs 3.71%/yr for QGMIX. Their -0.06 correlation means they have often moved in opposite directions in the past. JMSIX charges 0.40%/yr vs 1.20%/yr for QGMIX.
Performance
JMSIX vs. QGMIX - Performance Comparison
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Returns By Period
In the year-to-date period, JMSIX achieves a 1.12% return, which is significantly higher than QGMIX's -0.41% return. Both investments have delivered pretty close results over the past 10 years, with JMSIX having a 3.79% annualized return and QGMIX not far behind at 3.71%.
JMSIX
- 1D
- 0.00%
- 1M
- -0.47%
- 6M
- 0.74%
- YTD
- 1.12%
- 1Y
- 3.79%
- 3Y*
- 6.94%
- 5Y*
- 2.71%
- 10Y*
- 3.79%
- ALL TIME*
- 2.90%
QGMIX
- 1D
- 0.21%
- 1M
- 0.41%
- 6M
- -3.47%
- YTD
- -0.41%
- 1Y
- 0.73%
- 3Y*
- 1.94%
- 5Y*
- 4.97%
- 10Y*
- 3.71%
- ALL TIME*
- 3.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
JMSIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
QGMIX AQR Macro Opportunities Fund | -0.41% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
Correlation
The correlation between JMSIX and QGMIX is -0.22, 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. | -0.22 |
Correlation (3Y) Balances recent behavior with more history. | 0.00 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.17 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.09 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | -0.06 |
The correlation between JMSIX and QGMIX shifts across timeframes, from -0.22 (1 year) to 0.00 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
JMSIX vs. QGMIX — Risk / Return Rank
JMSIX
QGMIX
JMSIX vs. QGMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Income Fund Class I (JMSIX) and AQR Macro Opportunities Fund (QGMIX). 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.
| JMSIX | QGMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.84 | ||
| Sortino ratioReturn per unit of downside risk | +3.33 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 0.99 | +0.46 |
| Calmar ratioReturn relative to maximum drawdown | 2.64 | -0.11 | +2.75 |
| Martin ratioReturn relative to average drawdown | 10.52 | -0.23 | +10.74 |
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Drawdowns
JMSIX vs. QGMIX - Drawdown Comparison
The maximum JMSIX drawdown since its inception was -18.40%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for JMSIX and QGMIX.
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Drawdown Indicators
| JMSIX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.40% | -13.48% | -4.92% |
Max Drawdown (1Y)Largest decline over 1 year | -1.62% | -5.47% | +3.85% |
Max Drawdown (3Y)Largest decline over 3 years | -2.25% | -13.48% | +11.23% |
Max Drawdown (5Y)Largest decline over 5 years | -11.39% | -13.48% | +2.09% |
Max Drawdown (10Y)Largest decline over 10 years | -18.40% | -13.48% | -4.92% |
Current DrawdownCurrent decline from peak | -0.59% | -5.04% | +4.45% |
Average DrawdownAverage peak-to-trough decline | -2.53% | -3.95% | +1.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.41% | 2.60% | -2.19% |
Volatility
JMSIX vs. QGMIX - Volatility Comparison
The current volatility for JPMorgan Income Fund Class I (JMSIX) is 0.53%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.89%. This indicates that JMSIX experiences smaller price fluctuations and is considered to be less risky than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JMSIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.53% | 1.89% | -1.36% |
Volatility (6M)Calculated over the trailing 6-month period | 1.94% | 4.18% | -2.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.50% | 5.93% | -3.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.73% | 9.83% | -6.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.86% | 8.38% | -4.52% |
JMSIX vs. QGMIX - Expense Ratio Comparison
JMSIX has a 0.40% expense ratio, which is lower than QGMIX's 1.20% expense ratio.
Dividends
JMSIX vs. QGMIX - Dividend Comparison
JMSIX's dividend yield for the trailing twelve months is around 5.54%, more than QGMIX's 1.44% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
QGMIX AQR Macro Opportunities Fund | 1.44% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
Frequently Asked Questions
JMSIX and QGMIX have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.89%) compared to JMSIX (0.53%). In terms of maximum drawdown, JMSIX dropped -18.40% vs QGMIX's -13.48%.
JMSIX currently has the higher Sharpe Ratio (1.74 vs -0.10), 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.
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