GSCMX vs. BRW
GSCMX (Goldman Sachs Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, GSCMX returned 2.91%/yr vs 6.18%/yr for BRW. At a 0.23 correlation, their price movements are largely independent. GSCMX charges 0.72%/yr vs 1.71%/yr for BRW.
Performance
GSCMX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, GSCMX achieves a 0.57% return, which is significantly higher than BRW's -0.25% return.
GSCMX
- 1D
- -0.11%
- 1M
- 0.71%
- YTD
- 0.57%
- 6M
- 1.17%
- 1Y
- 5.30%
- 3Y*
- 7.65%
- 5Y*
- 2.91%
- 10Y*
- —
BRW
- 1D
- 0.15%
- 1M
- -2.78%
- YTD
- -0.25%
- 6M
- 0.62%
- 1Y
- -4.10%
- 3Y*
- 8.94%
- 5Y*
- 6.18%
- 10Y*
- —
GSCMX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
GSCMX Goldman Sachs Income Fund | 0.57% | 8.70% | 6.13% | 10.60% | -10.75% | 1.69% |
BRW Saba Capital Income & Opportunities Fund | -0.25% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between GSCMX and BRW is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.24 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.23 |
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Return for Risk
GSCMX vs. BRW — Risk / Return Rank
GSCMX
BRW
GSCMX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Income Fund (GSCMX) 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.
| GSCMX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.02 | ||
| Sortino ratioReturn per unit of downside risk | +2.98 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 0.96 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 1.87 | -0.23 | +2.10 |
| Martin ratioReturn relative to average drawdown | 8.61 | -0.40 | +9.02 |
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Drawdowns
GSCMX vs. BRW - Drawdown Comparison
The maximum GSCMX drawdown since its inception was -20.12%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for GSCMX and BRW.
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Drawdown Indicators
| GSCMX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.12% | -17.74% | -2.38% |
Max Drawdown (1Y)Largest decline over 1 year | -2.93% | -17.74% | +14.81% |
Max Drawdown (3Y)Largest decline over 3 years | -3.24% | -17.74% | +14.50% |
Max Drawdown (5Y)Largest decline over 5 years | -18.20% | -17.74% | -0.46% |
Current DrawdownCurrent decline from peak | -0.33% | -12.10% | +11.77% |
Average DrawdownAverage peak-to-trough decline | -3.79% | -3.99% | +0.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.63% | 10.16% | -9.53% |
Volatility
GSCMX vs. BRW - Volatility Comparison
The current volatility for Goldman Sachs Income Fund (GSCMX) is 0.89%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.17%. This indicates that GSCMX 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
| GSCMX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.89% | 4.17% | -3.28% |
Volatility (6M)Calculated over the trailing 6-month period | 2.61% | 8.18% | -5.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.19% | 13.33% | -10.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.38% | 12.93% | -8.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.77% | 12.89% | -7.12% |
GSCMX vs. BRW - Expense Ratio Comparison
GSCMX has a 0.72% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
GSCMX vs. BRW - Dividend Comparison
GSCMX's dividend yield for the trailing twelve months is around 5.09%, less than BRW's 15.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.71% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% |
GSCMX Goldman Sachs Income Fund | 5.09% | 5.09% | 5.39% | 4.71% | 8.43% | 3.51% | 3.95% | 0.27% |
Frequently Asked Questions
GSCMX and BRW have a correlation of 0.17, 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 GSCMX (0.89%). In terms of maximum drawdown, GSCMX dropped -20.12% vs BRW's -17.74%.
GSCMX currently has the higher Sharpe Ratio (1.71 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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