BRW vs. SABA
BRW (Saba Capital Income & Opportunities Fund) and SABA (Saba Capital Income & Opportunities Fund II) are both mutual funds - BRW is a Multisector Bonds fund actively managed by Saba Capital, while SABA is a Global Bonds fund managed by Saba Capital. Over the past 5 years, BRW returned 6.15%/yr vs 3.08%/yr for SABA. At a 0.31 correlation, their price movements are largely independent.
Performance
BRW vs. SABA - Performance Comparison
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Returns By Period
In the year-to-date period, BRW achieves a -0.40% return, which is significantly lower than SABA's 3.27% return.
BRW
- 1D
- -0.46%
- 1M
- -2.93%
- YTD
- -0.40%
- 6M
- -0.11%
- 1Y
- -4.49%
- 3Y*
- 8.88%
- 5Y*
- 6.15%
- 10Y*
- —
SABA
- 1D
- -0.37%
- 1M
- -2.18%
- YTD
- 3.27%
- 6M
- 1.80%
- 1Y
- -0.76%
- 3Y*
- 9.25%
- 5Y*
- 3.08%
- 10Y*
- 2.83%
BRW vs. SABA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | -0.40% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
SABA Saba Capital Income & Opportunities Fund II | 3.27% | -0.31% | 31.32% | -2.77% | -9.02% | 0.43% |
Correlation
The correlation between BRW and SABA is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.31 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.31 |
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Return for Risk
BRW vs. SABA — Risk / Return Rank
BRW
SABA
BRW vs. SABA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and Saba Capital Income & Opportunities Fund II (SABA). 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 | SABA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.27 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.00 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | -0.07 | -0.18 |
| Martin ratioReturn relative to average drawdown | -0.44 | -0.14 | -0.30 |
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Drawdowns
BRW vs. SABA - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, smaller than the maximum SABA drawdown of -32.37%. Use the drawdown chart below to compare losses from any high point for BRW and SABA.
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Drawdown Indicators
| BRW | SABA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -32.37% | +14.63% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -10.45% | -7.29% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -14.96% | -2.78% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | -19.76% | +2.02% |
Max Drawdown (10Y)Largest decline over 10 years | — | -31.39% | — |
Current DrawdownCurrent decline from peak | -12.24% | -5.65% | -6.59% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -7.56% | +3.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.14% | 5.41% | +4.73% |
Volatility
BRW vs. SABA - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 4.17% compared to Saba Capital Income & Opportunities Fund II (SABA) at 3.25%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than SABA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | SABA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.17% | 3.25% | +0.92% |
Volatility (6M)Calculated over the trailing 6-month period | 8.18% | 8.25% | -0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.36% | 11.71% | +1.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.93% | 14.58% | -1.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.90% | 16.66% | -3.76% |
Dividends
BRW vs. SABA - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.73%, more than SABA's 9.74% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.73% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SABA Saba Capital Income & Opportunities Fund II | 9.74% | 9.65% | 8.32% | 11.43% | 9.14% | 7.19% | 4.00% | 6.68% | 5.81% | 4.44% | 4.63% | 4.72% |
Frequently Asked Questions
BRW and SABA have a correlation of 0.39, 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 SABA (3.25%). In terms of maximum drawdown, BRW dropped -17.74% vs SABA's -32.37%.
SABA currently has the higher Sharpe Ratio (-0.07 vs -0.34), 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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