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TSIIX vs. JMSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TSIIX vs. JMSIX - Performance Comparison

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

-1.00%0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.73%
4.45%
TSIIX
JMSIX

Returns By Period

In the year-to-date period, TSIIX achieves a 4.54% return, which is significantly lower than JMSIX's 7.17% return. Both investments have delivered pretty close results over the past 10 years, with TSIIX having a 3.57% annualized return and JMSIX not far ahead at 3.74%.


TSIIX

YTD

4.54%

1M

-0.24%

6M

3.73%

1Y

8.03%

5Y (annualized)

3.47%

10Y (annualized)

3.57%

JMSIX

YTD

7.17%

1M

0.03%

6M

4.45%

1Y

10.84%

5Y (annualized)

2.51%

10Y (annualized)

3.74%

Key characteristics


TSIIXJMSIX
Sharpe Ratio2.253.73
Sortino Ratio3.466.57
Omega Ratio1.431.99
Calmar Ratio2.951.84
Martin Ratio10.1924.83
Ulcer Index0.79%0.44%
Daily Std Dev3.58%2.90%
Max Drawdown-24.71%-18.41%
Current Drawdown-1.78%-0.67%

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TSIIX vs. JMSIX - Expense Ratio Comparison

TSIIX has a 0.60% expense ratio, which is higher than JMSIX's 0.40% expense ratio.


TSIIX
Thornburg Strategic Income Fund
Expense ratio chart for TSIIX: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for JMSIX: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%

Correlation

-0.50.00.51.00.8

The correlation between TSIIX and JMSIX is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

TSIIX vs. JMSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Thornburg Strategic Income Fund (TSIIX) 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.


Sharpe ratio
The chart of Sharpe ratio for TSIIX, currently valued at 2.25, compared to the broader market-1.000.001.002.003.004.005.002.253.73
The chart of Sortino ratio for TSIIX, currently valued at 3.46, compared to the broader market0.005.0010.003.466.57
The chart of Omega ratio for TSIIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.431.99
The chart of Calmar ratio for TSIIX, currently valued at 2.95, compared to the broader market0.005.0010.0015.0020.0025.002.951.84
The chart of Martin ratio for TSIIX, currently valued at 10.19, compared to the broader market0.0020.0040.0060.0080.00100.0010.1924.83
TSIIX
JMSIX

The current TSIIX Sharpe Ratio is 2.25, which is lower than the JMSIX Sharpe Ratio of 3.73. The chart below compares the historical Sharpe Ratios of TSIIX and JMSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
2.25
3.73
TSIIX
JMSIX

Dividends

TSIIX vs. JMSIX - Dividend Comparison

TSIIX's dividend yield for the trailing twelve months is around 4.94%, less than JMSIX's 5.65% yield.


TTM20232022202120202019201820172016201520142013
TSIIX
Thornburg Strategic Income Fund
4.94%4.50%3.81%3.94%3.71%3.83%3.42%3.60%3.42%4.26%4.52%5.68%
JMSIX
JPMorgan Income Fund
5.65%5.31%4.80%4.04%4.84%5.07%5.42%5.42%5.47%5.72%0.92%0.00%

Drawdowns

TSIIX vs. JMSIX - Drawdown Comparison

The maximum TSIIX drawdown since its inception was -24.71%, which is greater than JMSIX's maximum drawdown of -18.41%. Use the drawdown chart below to compare losses from any high point for TSIIX and JMSIX. For additional features, visit the drawdowns tool.


-2.00%-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.78%
-0.67%
TSIIX
JMSIX

Volatility

TSIIX vs. JMSIX - Volatility Comparison

Thornburg Strategic Income Fund (TSIIX) has a higher volatility of 0.92% compared to JPMorgan Income Fund (JMSIX) at 0.56%. This indicates that TSIIX'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.


0.40%0.60%0.80%1.00%1.20%1.40%JuneJulyAugustSeptemberOctoberNovember
0.92%
0.56%
TSIIX
JMSIX