QGMIX vs. JMSIX
QGMIX (AQR Macro Opportunities Fund) and JMSIX (JPMorgan Income Fund Class I) are both mutual funds - QGMIX is a Multistrategy fund managed by AQR, while JMSIX is a Multisector Bonds fund actively managed by JPMorgan. Over the past 10 years, QGMIX returned 3.62%/yr vs 3.76%/yr for JMSIX. Their -0.06 correlation means they have often moved in opposite directions in the past. QGMIX charges 1.20%/yr vs 0.40%/yr for JMSIX.
Performance
QGMIX vs. JMSIX - Performance Comparison
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Returns By Period
In the year-to-date period, QGMIX achieves a -0.61% return, which is significantly lower than JMSIX's 1.12% return. Both investments have delivered pretty close results over the past 10 years, with QGMIX having a 3.62% annualized return and JMSIX not far ahead at 3.76%.
QGMIX
- 1D
- -0.21%
- 1M
- 0.21%
- 6M
- -4.05%
- YTD
- -0.61%
- 1Y
- 0.52%
- 3Y*
- 1.87%
- 5Y*
- 4.93%
- 10Y*
- 3.62%
- ALL TIME*
- 3.08%
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%
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 |
QGMIX vs. JMSIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | -0.61% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
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 QGMIX and JMSIX is -0.23, 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. | -0.23 |
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 QGMIX and JMSIX shifts across timeframes, from -0.23 (1 year) to 0.00 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
QGMIX vs. JMSIX — Risk / Return Rank
QGMIX
JMSIX
QGMIX vs. JMSIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) 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.
| QGMIX | JMSIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.11 | ||
| Sortino ratioReturn per unit of downside risk | -3.81 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.49 | -0.52 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 2.89 | -3.14 |
| Martin ratioReturn relative to average drawdown | -0.54 | 11.55 | -12.09 |
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Drawdowns
QGMIX vs. JMSIX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum JMSIX drawdown of -18.40%. Use the drawdown chart below to compare losses from any high point for QGMIX and JMSIX.
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Drawdown Indicators
| QGMIX | JMSIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -18.40% | +4.92% |
Max Drawdown (1Y)Largest decline over 1 year | -5.47% | -1.62% | -3.85% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | -2.25% | -11.23% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -11.39% | -2.09% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -18.40% | +4.92% |
Current DrawdownCurrent decline from peak | -5.24% | -0.59% | -4.65% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -2.54% | -1.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 0.41% | +2.19% |
Volatility
QGMIX vs. JMSIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 1.90% compared to JPMorgan Income Fund Class I (JMSIX) at 0.53%. This indicates that QGMIX'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.
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Volatility by Period
| QGMIX | JMSIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.90% | 0.53% | +1.37% |
Volatility (6M)Calculated over the trailing 6-month period | 4.17% | 1.94% | +2.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.94% | 2.50% | +3.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.83% | 3.73% | +6.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.38% | 3.86% | +4.52% |
QGMIX vs. JMSIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than JMSIX's 0.40% expense ratio.
Dividends
QGMIX vs. JMSIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, less than JMSIX's 5.54% 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 | 1.45% | 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
QGMIX and JMSIX have a correlation of -0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.90%) compared to JMSIX (0.53%). In terms of maximum drawdown, QGMIX dropped -13.48% vs JMSIX's -18.40%.
JMSIX currently has the higher Sharpe Ratio (1.88 vs -0.24), 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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