BRW vs. ESIIX
BRW (Saba Capital Income & Opportunities Fund) and ESIIX (Eaton Vance Strategic Income Fund Class I) are both Multisector Bonds funds. Both are actively managed. Over the past 5 years, BRW returned 6.18%/yr vs 5.43%/yr for ESIIX. At a 0.16 correlation, their price movements are largely independent. BRW charges 1.71%/yr vs 1.21%/yr for ESIIX.
Performance
BRW vs. ESIIX - Performance Comparison
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Returns By Period
In the year-to-date period, BRW achieves a -0.25% return, which is significantly lower than ESIIX's 2.33% return.
BRW
- 1D
- 0.15%
- 1M
- -2.78%
- YTD
- -0.25%
- 6M
- 0.62%
- 1Y
- -4.10%
- 3Y*
- 8.94%
- 5Y*
- 6.18%
- 10Y*
- —
ESIIX
- 1D
- -0.15%
- 1M
- 0.74%
- YTD
- 2.33%
- 6M
- 2.69%
- 1Y
- 9.39%
- 3Y*
- 8.76%
- 5Y*
- 5.43%
- 10Y*
- 5.26%
BRW vs. ESIIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | -0.25% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
ESIIX Eaton Vance Strategic Income Fund Class I | 2.33% | 12.46% | 6.66% | 8.52% | -2.32% | 0.51% |
Correlation
The correlation between BRW and ESIIX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.16 |
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Return for Risk
BRW vs. ESIIX — Risk / Return Rank
BRW
ESIIX
BRW vs. ESIIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and Eaton Vance Strategic Income Fund Class I (ESIIX). 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.
| BRW | ESIIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.66 | ||
| Sortino ratioReturn per unit of downside risk | -5.21 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.76 | -0.81 |
| Calmar ratioReturn relative to maximum drawdown | -0.23 | 3.94 | -4.17 |
| Martin ratioReturn relative to average drawdown | -0.40 | 14.84 | -15.24 |
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Drawdowns
BRW vs. ESIIX - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, smaller than the maximum ESIIX drawdown of -26.87%. Use the drawdown chart below to compare losses from any high point for BRW and ESIIX.
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Drawdown Indicators
| BRW | ESIIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -26.87% | +9.13% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -2.44% | -15.30% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -2.46% | -15.28% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | -6.18% | -11.56% |
Max Drawdown (10Y)Largest decline over 10 years | — | -12.25% | — |
Current DrawdownCurrent decline from peak | -12.10% | -0.44% | -11.66% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -4.71% | +0.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.16% | 0.65% | +9.51% |
Volatility
BRW vs. ESIIX - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 4.17% compared to Eaton Vance Strategic Income Fund Class I (ESIIX) at 0.90%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than ESIIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | ESIIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.17% | 0.90% | +3.27% |
Volatility (6M)Calculated over the trailing 6-month period | 8.18% | 2.30% | +5.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.33% | 2.87% | +10.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.93% | 3.21% | +9.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.89% | 3.17% | +9.72% |
BRW vs. ESIIX - Expense Ratio Comparison
BRW has a 1.71% expense ratio, which is higher than ESIIX's 1.21% expense ratio.
Dividends
BRW vs. ESIIX - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.71%, more than ESIIX's 7.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.71% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ESIIX Eaton Vance Strategic Income Fund Class I | 7.38% | 7.01% | 7.23% | 7.19% | 5.82% | 4.57% | 4.44% | 5.29% | 4.25% | 3.95% | 4.18% | 4.59% |
Frequently Asked Questions
BRW and ESIIX have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.17%) compared to ESIIX (0.90%). In terms of maximum drawdown, BRW dropped -17.74% vs ESIIX's -26.87%.
ESIIX currently has the higher Sharpe Ratio (3.35 vs -0.31), 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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