BRW vs. VMSAX
BRW (Saba Capital Income & Opportunities Fund) and VMSAX (Vanguard Multi-Sector Income Bond Fund Admiral Shares) are both Multisector Bonds funds. Both are actively managed. Over the past 3 years, BRW returned 8.94%/yr vs 7.88%/yr for VMSAX. At a 0.24 correlation, their price movements are largely independent. BRW charges 1.71%/yr vs 0.30%/yr for VMSAX.
Performance
BRW vs. VMSAX - 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 VMSAX's 1.24% return.
BRW
- 1D
- 0.15%
- 1M
- -2.78%
- YTD
- -0.25%
- 6M
- 0.62%
- 1Y
- -4.10%
- 3Y*
- 8.94%
- 5Y*
- 6.18%
- 10Y*
- —
VMSAX
- 1D
- -0.05%
- 1M
- 0.63%
- YTD
- 1.24%
- 6M
- 1.46%
- 1Y
- 6.25%
- 3Y*
- 7.88%
- 5Y*
- —
- 10Y*
- —
BRW vs. VMSAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | -0.25% | 5.89% | 12.16% | 18.49% | -5.84% |
VMSAX Vanguard Multi-Sector Income Bond Fund Admiral Shares | 1.24% | 9.08% | 6.86% | 10.53% | -8.42% |
Correlation
The correlation between BRW and VMSAX is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 1, 2022 | 0.24 |
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Return for Risk
BRW vs. VMSAX — Risk / Return Rank
BRW
VMSAX
BRW vs. VMSAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and Vanguard Multi-Sector Income Bond Fund Admiral Shares (VMSAX). 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 | VMSAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.36 | ||
| Sortino ratioReturn per unit of downside risk | -1.64 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 2.10 | -1.14 |
| Calmar ratioReturn relative to maximum drawdown | -0.23 | 0.12 | -0.35 |
| Martin ratioReturn relative to average drawdown | -0.40 | 1.85 | -2.25 |
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Drawdowns
BRW vs. VMSAX - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, smaller than the maximum VMSAX drawdown of -54.84%. Use the drawdown chart below to compare losses from any high point for BRW and VMSAX.
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Drawdown Indicators
| BRW | VMSAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -54.84% | +37.10% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -54.84% | +37.10% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -54.84% | +37.10% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | — | — |
Current DrawdownCurrent decline from peak | -12.10% | -0.22% | -11.88% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -3.06% | -0.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.16% | 3.49% | +6.67% |
Volatility
BRW vs. VMSAX - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 4.17% compared to Vanguard Multi-Sector Income Bond Fund Admiral Shares (VMSAX) at 0.76%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than VMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | VMSAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.17% | 0.76% | +3.41% |
Volatility (6M)Calculated over the trailing 6-month period | 8.18% | 2.05% | +6.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.33% | 133.59% | -120.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.93% | 63.90% | -50.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.89% | 63.90% | -51.01% |
BRW vs. VMSAX - Expense Ratio Comparison
BRW has a 1.71% expense ratio, which is higher than VMSAX's 0.30% expense ratio.
Dividends
BRW vs. VMSAX - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.71%, more than VMSAX's 5.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.71% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% |
VMSAX Vanguard Multi-Sector Income Bond Fund Admiral Shares | 5.54% | 5.66% | 6.48% | 5.52% | 3.76% | 0.00% |
Frequently Asked Questions
BRW and VMSAX have a correlation of 0.22, 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 VMSAX (0.76%). In terms of maximum drawdown, BRW dropped -17.74% vs VMSAX's -54.84%.
VMSAX currently has the higher Sharpe Ratio (0.05 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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