FTF vs. BRW
FTF (Franklin Limited Duration Income Trust) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Both are actively managed. Over the past 5 years, FTF returned 2.40%/yr vs 7.20%/yr for BRW. At a 0.25 correlation, their price movements are largely independent. FTF charges 3.92%/yr vs 1.71%/yr for BRW.
Performance
FTF vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, FTF achieves a 1.27% return, which is significantly lower than BRW's 4.15% return.
FTF
- 1D
- 0.09%
- 1M
- 1.50%
- 6M
- 0.13%
- YTD
- 1.27%
- 1Y
- 1.93%
- 3Y*
- 9.63%
- 5Y*
- 2.40%
- 10Y*
- 3.92%
BRW
- 1D
- -0.60%
- 1M
- 2.04%
- 6M
- 3.76%
- YTD
- 4.15%
- 1Y
- -3.85%
- 3Y*
- 9.83%
- 5Y*
- 7.20%
- 10Y*
- —
FTF vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
FTF Franklin Limited Duration Income Trust | 1.27% | 4.16% | 19.50% | 12.22% | -23.49% | 4.87% |
BRW Saba Capital Income & Opportunities Fund | 4.15% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between FTF and BRW is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.20 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.25 |
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Return for Risk
FTF vs. BRW — Risk / Return Rank
FTF
BRW
FTF vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin Limited Duration Income Trust (FTF) 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.
| FTF | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.56 | ||
| Sortino ratioReturn per unit of downside risk | +0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 0.96 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 0.30 | -0.22 | +0.51 |
| Martin ratioReturn relative to average drawdown | 0.78 | -0.37 | +1.15 |
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Drawdowns
FTF vs. BRW - Drawdown Comparison
The maximum FTF drawdown since its inception was -51.15%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for FTF and BRW.
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Drawdown Indicators
| FTF | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.15% | -17.74% | -33.41% |
Max Drawdown (1Y)Largest decline over 1 year | -6.54% | -17.74% | +11.20% |
Max Drawdown (3Y)Largest decline over 3 years | -11.58% | -17.74% | +6.16% |
Max Drawdown (5Y)Largest decline over 5 years | -28.55% | -17.74% | -10.81% |
Max Drawdown (10Y)Largest decline over 10 years | -36.64% | — | — |
Current DrawdownCurrent decline from peak | -0.93% | -8.23% | +7.30% |
Average DrawdownAverage peak-to-trough decline | -8.01% | -4.06% | -3.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 10.44% | -7.95% |
Volatility
FTF vs. BRW - Volatility Comparison
The current volatility for Franklin Limited Duration Income Trust (FTF) is 1.63%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.37%. This indicates that FTF 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
| FTF | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.63% | 3.37% | -1.74% |
Volatility (6M)Calculated over the trailing 6-month period | 5.49% | 8.42% | -2.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.21% | 13.46% | -6.25% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.07% | 12.95% | -1.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.86% | 12.87% | +0.99% |
FTF vs. BRW - Expense Ratio Comparison
FTF has a 3.92% expense ratio, which is higher than BRW's 1.71% expense ratio.
Dividends
FTF vs. BRW - Dividend Comparison
FTF's dividend yield for the trailing twelve months is around 12.60%, less than BRW's 15.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.25% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FTF Franklin Limited Duration Income Trust | 12.60% | 12.00% | 11.13% | 11.41% | 12.62% | 10.26% | 9.50% | 10.73% | 12.37% | 10.86% | 6.56% | 6.94% |
Frequently Asked Questions
FTF and BRW have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.37%) compared to FTF (1.63%). In terms of maximum drawdown, FTF dropped -51.15% vs BRW's -17.74%.
FTF currently has the higher Sharpe Ratio (0.27 vs -0.29), 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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