QGMIX vs. JMSIX
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 3.65%/yr vs 3.78%/yr for JMSIX. At a correlation of -0.06, they often move in opposite directions. 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 1.48% return. Both investments have delivered pretty close results over the past 10 years, with QGMIX having a 3.65% annualized return and JMSIX not far ahead at 3.78%.
QGMIX
- 1D
- 0.31%
- 1M
- -1.72%
- 6M
- -2.11%
- YTD
- -0.61%
- 1Y
- -0.69%
- 3Y*
- 1.74%
- 5Y*
- 4.62%
- 10Y*
- 3.65%
JMSIX
- 1D
- 0.00%
- 1M
- 0.25%
- 6M
- 1.60%
- YTD
- 1.48%
- 1Y
- 5.17%
- 3Y*
- 7.36%
- 5Y*
- 2.81%
- 10Y*
- 3.78%
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 | 1.48% | 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 -0.22, 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 | -0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
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 | -0.06 |
The correlation between QGMIX and JMSIX shifts across timeframes, from -0.22 (1 year) to 0.02 (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 (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 | -2.15 | ||
| Sortino ratioReturn per unit of downside risk | -3.99 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.52 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.13 | 3.12 | -3.25 |
| Martin ratioReturn relative to average drawdown | -0.30 | 12.99 | -13.28 |
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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 | -5.28% | -1.62% | -3.66% |
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% | -0.24% | -5.00% |
Average DrawdownAverage peak-to-trough decline | -3.94% | -2.55% | -1.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.35% | 0.39% | +1.96% |
Volatility
QGMIX vs. JMSIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 1.47% compared to JPMorgan Income Fund (JMSIX) at 0.65%. 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 | 1.47% | 0.65% | +0.82% |
Volatility (6M)Calculated over the trailing 6-month period | 4.12% | 1.92% | +2.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.80% | 2.49% | +3.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.86% | 3.73% | +6.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 3.86% | +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 1.45%, less than JMSIX's 6.03% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JMSIX JPMorgan Income Fund | 6.03% | 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 -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.47%) compared to JMSIX (0.65%). In terms of maximum drawdown, QGMIX dropped -13.48% vs JMSIX's -18.40%.
JMSIX currently has the higher Sharpe Ratio (2.03 vs -0.12), 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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