BRW vs. WDI
BRW (Saba Capital Income & Opportunities Fund) and WDI (Western Asset Diversified Income Fund) are both Multisector Bonds funds. Over the past 5 years, BRW returned 6.41%/yr vs 3.20%/yr for WDI. At a 0.26 correlation, their price movements are largely independent. BRW charges 1.71%/yr vs 1.73%/yr for WDI.
Performance
BRW vs. WDI - Performance Comparison
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Returns By Period
In the year-to-date period, BRW achieves a 0.83% return, which is significantly lower than WDI's 2.64% return.
BRW
- 1D
- -0.30%
- 1M
- -2.31%
- YTD
- 0.83%
- 6M
- 1.70%
- 1Y
- -3.55%
- 3Y*
- 9.33%
- 5Y*
- 6.41%
- 10Y*
- —
WDI
- 1D
- 0.52%
- 1M
- 0.96%
- YTD
- 2.64%
- 6M
- 2.92%
- 1Y
- 3.54%
- 3Y*
- 12.93%
- 5Y*
- 3.20%
- 10Y*
- —
BRW vs. WDI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 0.83% | 5.89% | 12.16% | 18.49% | -4.64% | 0.84% |
WDI Western Asset Diversified Income Fund | 2.64% | 10.64% | 13.88% | 25.11% | -23.30% | -5.61% |
Correlation
The correlation between BRW and WDI is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (All Time) Calculated using the full available price history since Jun 25, 2021 | 0.26 |
The correlation between BRW and WDI shifts across timeframes, from 0.14 (1 year) to 0.26 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
BRW vs. WDI — Risk / Return Rank
BRW
WDI
BRW vs. WDI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund (BRW) and Western Asset Diversified Income Fund (WDI). 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 | WDI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.64 | ||
| Sortino ratioReturn per unit of downside risk | -0.85 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.07 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | -0.20 | 0.42 | -0.62 |
| Martin ratioReturn relative to average drawdown | -0.35 | 1.03 | -1.38 |
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Drawdowns
BRW vs. WDI - Drawdown Comparison
The maximum BRW drawdown since its inception was -17.74%, smaller than the maximum WDI drawdown of -32.45%. Use the drawdown chart below to compare losses from any high point for BRW and WDI.
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Drawdown Indicators
| BRW | WDI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.74% | -32.45% | +14.71% |
Max Drawdown (1Y)Largest decline over 1 year | -17.74% | -8.47% | -9.27% |
Max Drawdown (3Y)Largest decline over 3 years | -17.74% | -14.14% | -3.60% |
Max Drawdown (5Y)Largest decline over 5 years | -17.74% | -32.45% | +14.71% |
Current DrawdownCurrent decline from peak | -11.15% | -2.48% | -8.67% |
Average DrawdownAverage peak-to-trough decline | -4.00% | -10.32% | +6.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 10.21% | 3.45% | +6.76% |
Volatility
BRW vs. WDI - Volatility Comparison
Saba Capital Income & Opportunities Fund (BRW) has a higher volatility of 4.39% compared to Western Asset Diversified Income Fund (WDI) at 3.38%. This indicates that BRW's price experiences larger fluctuations and is considered to be riskier than WDI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BRW | WDI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.39% | 3.38% | +1.01% |
Volatility (6M)Calculated over the trailing 6-month period | 8.23% | 7.56% | +0.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.38% | 9.43% | +3.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.94% | 12.94% | 0.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.90% | 12.93% | -0.03% |
BRW vs. WDI - Expense Ratio Comparison
BRW has a 1.71% expense ratio, which is lower than WDI's 1.73% expense ratio.
Dividends
BRW vs. WDI - Dividend Comparison
BRW's dividend yield for the trailing twelve months is around 15.54%, more than WDI's 13.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.54% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% |
WDI Western Asset Diversified Income Fund | 13.28% | 13.98% | 12.32% | 11.45% | 11.40% | 3.19% |
Frequently Asked Questions
BRW and WDI have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.39%) compared to WDI (3.38%). In terms of maximum drawdown, BRW dropped -17.74% vs WDI's -32.45%.
WDI currently has the higher Sharpe Ratio (0.38 vs -0.27), 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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