QGMIX vs. JMSIX
Compare and contrast key facts about AQR Macro Opportunities Fund (QGMIX) and JPMorgan Income Fund (JMSIX).
QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014. JMSIX is managed by JPMorgan. It was launched on Jun 1, 2014.
Performance
QGMIX vs. JMSIX - Performance Comparison
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QGMIX vs. JMSIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 2.15% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
JMSIX JPMorgan Income Fund | -0.29% | 7.68% | 7.78% | 6.14% | -8.24% | 3.59% | 3.07% | 11.82% | 1.03% | 6.00% |
Returns By Period
In the year-to-date period, QGMIX achieves a 2.15% return, which is significantly higher than JMSIX's -0.29% return. Over the past 10 years, QGMIX has underperformed JMSIX with an annualized return of 3.68%, while JMSIX has yielded a comparatively higher 3.93% annualized return.
QGMIX
- 1D
- 0.00%
- 1M
- -1.19%
- YTD
- 2.15%
- 6M
- 0.75%
- 1Y
- -0.54%
- 3Y*
- 2.54%
- 5Y*
- 4.62%
- 10Y*
- 3.68%
JMSIX
- 1D
- 0.24%
- 1M
- -1.39%
- YTD
- -0.29%
- 6M
- 1.33%
- 1Y
- 5.02%
- 3Y*
- 6.36%
- 5Y*
- 2.78%
- 10Y*
- 3.93%
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QGMIX vs. JMSIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than JMSIX's 0.40% expense ratio.
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.
| QGMIX | JMSIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.13 | 2.15 | -2.29 |
Sortino ratioReturn per unit of downside risk | -0.12 | 3.84 | -3.96 |
Omega ratioGain probability vs. loss probability | 0.98 | 1.54 | -0.55 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | 3.47 | -3.52 |
Martin ratioReturn relative to average drawdown | -0.13 | 13.30 | -13.43 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QGMIX | JMSIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.13 | 2.15 | -2.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.76 | -0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.44 | 1.02 | -0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.76 | -0.34 |
Correlation
The correlation between QGMIX and JMSIX is -0.05. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
QGMIX vs. JMSIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.41%, less than JMSIX's 5.53% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
JMSIX JPMorgan Income Fund | 5.53% | 5.95% | 5.78% | 4.43% | 4.78% | 4.00% | 4.95% | 5.10% | 5.43% | 5.42% | 0.46% | 0.00% |
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 | -8.68% | -1.64% | -7.04% |
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 | -2.61% | -1.39% | -1.22% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -2.60% | -1.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.47% | 0.43% | +3.04% |
Volatility
QGMIX vs. JMSIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 2.18% compared to JPMorgan Income Fund (JMSIX) at 0.77%. 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 | 2.18% | 0.77% | +1.41% |
Volatility (6M)Calculated over the trailing 6-month period | 4.29% | 1.67% | +2.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.83% | 2.59% | +5.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.98% | 3.70% | +6.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 3.85% | +4.52% |