BRW vs. LFLIX
BRW (Saba Capital Income & Opportunities Fund) and LFLIX (BrandywineGLOBAL - Flexible Bond Fund) are both Multisector Bonds funds. Over the past 5 years, BRW returned 6.18%/yr vs 2.34%/yr for LFLIX. At a 0.19 correlation, their price movements are largely independent. BRW charges 1.71%/yr vs 0.75%/yr for LFLIX.
Performance
BRW vs. LFLIX - 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 LFLIX's 3.03% return.
BRW
- 1D
- 0.15%
- 1M
- -2.78%
- YTD
- -0.25%
- 6M
- 0.62%
- 1Y
- -4.10%
- 3Y*
- 8.94%
- 5Y*
- 6.18%
- 10Y*
- —
LFLIX
- 1D
- 0.00%
- 1M
- 1.38%
- YTD
- 3.03%
- 6M
- 3.48%
- 1Y
- 8.16%
- 3Y*
- 6.53%
- 5Y*
- 2.34%
- 10Y*
- —
BRW vs. LFLIX - 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% |
LFLIX BrandywineGLOBAL - Flexible Bond Fund | 3.03% | 8.82% | 2.95% | 9.57% | -10.87% | -0.04% |
Correlation
The correlation between BRW and LFLIX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.19 |
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Return for Risk
BRW vs. LFLIX — Risk / Return Rank
BRW
LFLIX
BRW vs. LFLIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and BrandywineGLOBAL - Flexible Bond Fund (LFLIX). 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 | LFLIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.32 | ||
| Sortino ratioReturn per unit of downside risk | -3.37 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.40 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | -0.23 | 3.06 | -3.29 |
| Martin ratioReturn relative to average drawdown | -0.40 | 10.56 | -10.97 |
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Drawdowns
BRW vs. LFLIX - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, which is greater than LFLIX's maximum drawdown of -16.73%. Use the drawdown chart below to compare losses from any high point for BRW and LFLIX.
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Drawdown Indicators
| BRW | LFLIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -16.73% | -1.01% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -2.72% | -15.02% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -7.54% | -10.20% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | -16.73% | -1.01% |
Current DrawdownCurrent decline from peak | -12.10% | -0.52% | -11.58% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -2.85% | -1.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.16% | 0.79% | +9.37% |
Volatility
BRW vs. LFLIX - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 4.17% compared to BrandywineGLOBAL - Flexible Bond Fund (LFLIX) at 1.30%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than LFLIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | LFLIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.17% | 1.30% | +2.87% |
Volatility (6M)Calculated over the trailing 6-month period | 8.18% | 3.47% | +4.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.33% | 4.13% | +9.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.93% | 5.74% | +7.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.89% | 5.09% | +7.80% |
BRW vs. LFLIX - Expense Ratio Comparison
BRW has a 1.71% expense ratio, which is higher than LFLIX's 0.75% expense ratio.
Dividends
BRW vs. LFLIX - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.71%, more than LFLIX's 6.93% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
LFLIX BrandywineGLOBAL - Flexible Bond Fund | 6.93% | 6.67% | 8.94% | 5.36% | 3.28% | 2.90% | 3.62% | 6.04% | 3.67% | 3.06% |
Frequently Asked Questions
BRW and LFLIX have a correlation of 0.20, 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 LFLIX (1.30%). In terms of maximum drawdown, BRW dropped -17.74% vs LFLIX's -16.73%.
LFLIX currently has the higher Sharpe Ratio (2.02 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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