QGMIX vs. JMSIX

Last updated Jun 24, 2026

QGMIX (AQR Macro Opportunities Fund) and JMSIX (JPMorgan Income Fund) are both mutual funds - QGMIX is a Macro Trading fund managed by AQR Funds, while JMSIX is a Multisector Bonds fund managed by JPMorgan. Over the past 10 years, QGMIX returned 4.00%/yr vs 3.96%/yr for JMSIX. At a correlation of -0.05, they often move in opposite directions. QGMIX charges 1.20%/yr vs 0.40%/yr for JMSIX.

Performance

QGMIX vs. JMSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Macro Opportunities Fund (QGMIX) and JPMorgan Income Fund (JMSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QGMIX achieves a 0.92% return, which is significantly lower than JMSIX's 0.99% return. Both investments have delivered pretty close results over the past 10 years, with QGMIX having a 4.00% annualized return and JMSIX not far behind at 3.96%.

QGMIX

• 1D: 0.20%
• 1M: -0.70%
• YTD: 0.92%
• 6M: 2.13%
• 1Y: 1.66%
• 3Y*: 2.59%
• 5Y*: 4.43%
• 10Y*: 4.00%

JMSIX

• 1D: -0.12%
• 1M: 0.50%
• YTD: 0.99%
• 6M: 1.61%
• 1Y: 5.18%
• 3Y*: 7.17%
• 5Y*: 2.78%
• 10Y*: 3.96%

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

QGMIX vs. JMSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QGMIX AQR Macro Opportunities Fund	0.92%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.60%	4.90%	7.80%	-3.38%
JMSIX JPMorgan Income Fund	0.99%	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 -0.21, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.21
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	-0.16
Correlation (10Y) Calculated over the trailing 10-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	-0.05

The correlation between QGMIX and JMSIX shifts across timeframes, from -0.21 (1 year) to 0.03 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

QGMIX vs. JMSIX — Risk / Return Rank

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

QGMIX

QGMIX Risk / Return Rank: 5
QGMIX Sharpe Ratio Rank: 5
QGMIX Sortino Ratio Rank: 4
QGMIX Omega Ratio Rank: 4
QGMIX Calmar Ratio Rank: 5
QGMIX Martin Ratio Rank: 5

JMSIX

JMSIX Risk / Return Rank: 78
JMSIX Sharpe Ratio Rank: 59
JMSIX Sortino Ratio Rank: 90
JMSIX Omega Ratio Rank: 85
JMSIX Calmar Ratio Rank: 77
JMSIX Martin Ratio Rank: 77

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.

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 (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 ratio: Return per unit of total volatility	0.27	2.09	-1.83
Sortino ratio: Return per unit of downside risk	0.41	4.06	-3.65
Omega ratio: Gain probability vs. loss probability	1.05	1.54	-0.49
Calmar ratio: Return relative to maximum drawdown	0.38	3.28	-2.90
Martin ratio: Return relative to average drawdown	0.74	13.51	-12.77

QGMIX vs. JMSIX - Sharpe Ratio Comparison

The current QGMIX Sharpe Ratio is 0.27, which is lower than the JMSIX Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of QGMIX 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

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.

Drawdown Indicators

	QGMIX	JMSIX	Difference
Max Drawdown Largest peak-to-trough decline	-13.48%	-18.40%	+4.92%
Max Drawdown (1Y) Largest decline over 1 year	-4.11%	-1.62%	-2.49%
Max Drawdown (3Y) Largest decline over 3 years	-13.48%	-2.31%	-11.17%
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 Drawdown Current decline from peak	-3.78%	-0.47%	-3.31%
Average Drawdown Average peak-to-trough decline	-3.94%	-2.56%	-1.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.09%	0.39%	+1.70%

Volatility

QGMIX vs. JMSIX - Volatility Comparison

AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 1.50% compared to JPMorgan Income Fund (JMSIX) at 0.76%. 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.

Volatility by Period

	QGMIX	JMSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.50%	0.76%	+0.74%
Volatility (6M) Calculated over the trailing 6-month period	4.18%	1.93%	+2.25%
Volatility (1Y) Calculated over the trailing 1-year period	5.90%	2.55%	+3.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.91%	3.73%	+6.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.38%	3.87%	+4.51%

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 1.42%, less than JMSIX's 6.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JMSIX JPMorgan Income Fund	6.04%	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	1.42%	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

Can I hold both QGMIX and JMSIX in my portfolio?

QGMIX and JMSIX have a correlation of -0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QGMIX or JMSIX?

QGMIX has higher volatility (1.50%) compared to JMSIX (0.76%). In terms of maximum drawdown, QGMIX dropped -13.48% vs JMSIX's -18.40%.

Which has better risk-adjusted returns?

JMSIX currently has the higher Sharpe Ratio (2.09 vs 0.27), 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.