EVG vs. BRW
EVG (Eaton Vance Short Duration Diversified Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, EVG returned 5.18%/yr vs 6.48%/yr for BRW. At a 0.19 correlation, their price movements are largely independent. EVG charges 0.02%/yr vs 1.71%/yr for BRW.
Performance
EVG vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, EVG achieves a 2.11% return, which is significantly higher than BRW's 1.14% return.
EVG
- 1D
- -0.47%
- 1M
- 0.98%
- YTD
- 2.11%
- 6M
- 2.20%
- 1Y
- 7.37%
- 3Y*
- 12.75%
- 5Y*
- 5.18%
- 10Y*
- 6.03%
BRW
- 1D
- 1.39%
- 1M
- -1.43%
- YTD
- 1.14%
- 6M
- 2.01%
- 1Y
- -3.62%
- 3Y*
- 9.44%
- 5Y*
- 6.48%
- 10Y*
- —
EVG vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
EVG Eaton Vance Short Duration Diversified Income Fund | 2.11% | 8.43% | 14.80% | 11.90% | -14.12% | 6.69% |
BRW Saba Capital Income & Opportunities Fund | 1.14% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between EVG and BRW 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 | 0.21 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
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
EVG vs. BRW — Risk / Return Rank
EVG
BRW
EVG vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Short Duration Diversified Income Fund (EVG) and Saba Capital Income & Opportunities Fund (BRW). 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.
| EVG | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.13 | ||
| Sortino ratioReturn per unit of downside risk | +1.68 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 0.96 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 1.47 | -0.21 | +1.68 |
| Martin ratioReturn relative to average drawdown | 4.22 | -0.36 | +4.58 |
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Drawdowns
EVG vs. BRW - Drawdown Comparison
The maximum EVG drawdown since its inception was -40.60%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for EVG and BRW.
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Drawdown Indicators
| EVG | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.60% | -17.74% | -22.86% |
Max Drawdown (1Y)Largest decline over 1 year | -5.03% | -17.74% | +12.71% |
Max Drawdown (3Y)Largest decline over 3 years | -8.24% | -17.74% | +9.50% |
Max Drawdown (5Y)Largest decline over 5 years | -23.35% | -17.74% | -5.61% |
Max Drawdown (10Y)Largest decline over 10 years | -32.75% | — | — |
Current DrawdownCurrent decline from peak | -1.29% | -10.88% | +9.59% |
Average DrawdownAverage peak-to-trough decline | -6.22% | -4.00% | -2.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.75% | 10.19% | -8.44% |
Volatility
EVG vs. BRW - Volatility Comparison
The current volatility for Eaton Vance Short Duration Diversified Income Fund (EVG) is 2.61%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.44%. This indicates that EVG experiences smaller price fluctuations and is considered to be less risky than BRW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EVG | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 4.44% | -1.83% |
Volatility (6M)Calculated over the trailing 6-month period | 6.62% | 8.23% | -1.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.61% | 13.40% | -4.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.28% | 12.94% | -0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.00% | 12.90% | +0.10% |
EVG vs. BRW - Expense Ratio Comparison
EVG has a 0.02% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
EVG vs. BRW - Dividend Comparison
EVG's dividend yield for the trailing twelve months is around 8.36%, less than BRW's 15.49% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.49% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EVG Eaton Vance Short Duration Diversified Income Fund | 8.36% | 8.15% | 8.69% | 9.18% | 12.40% | 8.75% | 6.67% | 6.96% | 6.63% | 6.68% | 7.79% | 8.05% |
Frequently Asked Questions
EVG and BRW 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 (4.44%) compared to EVG (2.61%). In terms of maximum drawdown, EVG dropped -40.60% vs BRW's -17.74%.
EVG currently has the higher Sharpe Ratio (0.86 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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