BRW vs. ICMUX
BRW (Saba Capital Income & Opportunities Fund) and ICMUX (Intrepid Income Fund) are both Multisector Bonds funds. Over the past 5 years, BRW returned 6.64%/yr vs 6.24%/yr for ICMUX. At a 0.22 correlation, their price movements are largely independent. BRW charges 1.71%/yr vs 0.91%/yr for ICMUX.
Performance
BRW vs. ICMUX - Performance Comparison
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Returns By Period
In the year-to-date period, BRW achieves a 3.52% return, which is significantly higher than ICMUX's 2.85% return.
BRW
- 1D
- 0.76%
- 1M
- 2.67%
- 6M
- 3.59%
- YTD
- 3.52%
- 1Y
- -4.66%
- 3Y*
- 9.80%
- 5Y*
- 6.64%
- 10Y*
- —
ICMUX
- 1D
- 0.11%
- 1M
- 0.63%
- 6M
- 2.39%
- YTD
- 2.85%
- 1Y
- 7.28%
- 3Y*
- 9.32%
- 5Y*
- 6.24%
- 10Y*
- 5.73%
BRW vs. ICMUX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 3.52% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
ICMUX Intrepid Income Fund | 2.85% | 8.16% | 10.43% | 10.90% | -3.17% | 4.43% |
Correlation
The correlation between BRW and ICMUX is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.22 |
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Return for Risk
BRW vs. ICMUX — Risk / Return Rank
BRW
ICMUX
BRW vs. ICMUX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and Intrepid Income Fund (ICMUX). 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 | ICMUX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -4.07 | ||
| Sortino ratioReturn per unit of downside risk | -6.51 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.92 | -0.97 |
| Calmar ratioReturn relative to maximum drawdown | -0.26 | 5.36 | -5.62 |
| Martin ratioReturn relative to average drawdown | -0.45 | 18.65 | -19.10 |
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Drawdowns
BRW vs. ICMUX - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, which is greater than ICMUX's maximum drawdown of -8.77%. Use the drawdown chart below to compare losses from any high point for BRW and ICMUX.
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Drawdown Indicators
| BRW | ICMUX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -8.77% | -8.97% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -1.34% | -16.40% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -3.11% | -14.63% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | -5.64% | -12.10% |
Max Drawdown (10Y)Largest decline over 10 years | — | -8.77% | — |
Current DrawdownCurrent decline from peak | -8.78% | 0.00% | -8.78% |
Average DrawdownAverage peak-to-trough decline | -4.05% | -0.73% | -3.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.41% | 0.38% | +10.03% |
Volatility
BRW vs. ICMUX - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 3.36% compared to Intrepid Income Fund (ICMUX) at 0.40%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than ICMUX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | ICMUX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.36% | 0.40% | +2.96% |
Volatility (6M)Calculated over the trailing 6-month period | 8.38% | 1.45% | +6.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.45% | 1.93% | +11.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.97% | 2.66% | +10.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.87% | 2.57% | +10.30% |
BRW vs. ICMUX - Expense Ratio Comparison
BRW has a 1.71% expense ratio, which is higher than ICMUX's 0.91% expense ratio.
Dividends
BRW vs. ICMUX - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.34%, more than ICMUX's 7.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.34% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ICMUX Intrepid Income Fund | 7.53% | 7.96% | 7.85% | 9.10% | 8.17% | 5.99% | 5.56% | 3.35% | 3.07% | 2.86% | 3.01% | 3.53% |
Frequently Asked Questions
BRW and ICMUX have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.36%) compared to ICMUX (0.40%). In terms of maximum drawdown, BRW dropped -17.74% vs ICMUX's -8.77%.
ICMUX currently has the higher Sharpe Ratio (3.73 vs -0.35), 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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