JMSIX vs. BRW
JMSIX (JPMorgan Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, JMSIX returned 2.81%/yr vs 7.11%/yr for BRW. At a 0.19 correlation, their price movements are largely independent. JMSIX charges 0.40%/yr vs 1.71%/yr for BRW.
Performance
JMSIX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, JMSIX achieves a 1.35% return, which is significantly lower than BRW's 3.83% return.
JMSIX
- 1D
- 0.12%
- 1M
- 0.39%
- YTD
- 1.35%
- 6M
- 1.85%
- 1Y
- 5.92%
- 3Y*
- 7.12%
- 5Y*
- 2.81%
- 10Y*
- 3.98%
BRW
- 1D
- -1.16%
- 1M
- 0.52%
- YTD
- 3.83%
- 6M
- 1.86%
- 1Y
- 4.10%
- 3Y*
- 10.09%
- 5Y*
- 7.11%
- 10Y*
- —
JMSIX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
JMSIX JPMorgan Income Fund | 1.35% | 7.68% | 7.78% | 6.14% | -8.24% | 0.80% |
BRW Saba Capital Income & Opportunities Fund | 3.83% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between JMSIX and BRW is 0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since May 6, 2021 | 0.19 |
The correlation between JMSIX and BRW shifts across timeframes, from 0.05 (1 year) to 0.19 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
JMSIX vs. BRW — Risk / Return Rank
JMSIX
BRW
JMSIX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Income Fund (JMSIX) 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.
| JMSIX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.99 | ||
| Sortino ratioReturn per unit of downside risk | +4.06 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.07 | +0.53 |
| Calmar ratioReturn relative to maximum drawdown | 3.59 | 0.23 | +3.35 |
| Martin ratioReturn relative to average drawdown | 14.87 | 0.42 | +14.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JMSIX | BRW | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.30 | 0.31 | +1.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.56 | +0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.03 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.79 | 0.59 | +0.20 |
Drawdowns
JMSIX vs. BRW - Drawdown Comparison
The maximum JMSIX drawdown since its inception was -18.40%, roughly equal to the maximum BRW drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for JMSIX and BRW.
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Drawdown Indicators
| JMSIX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.40% | -17.74% | -0.66% |
Max Drawdown (1Y)Largest decline over 1 year | -1.62% | -17.74% | +16.12% |
Max Drawdown (3Y)Largest decline over 3 years | -2.31% | -17.74% | +15.43% |
Max Drawdown (5Y)Largest decline over 5 years | -11.39% | -17.74% | +6.35% |
Max Drawdown (10Y)Largest decline over 10 years | -18.40% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -8.51% | +8.51% |
Average DrawdownAverage peak-to-trough decline | -2.57% | -3.93% | +1.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.39% | 9.86% | -9.47% |
Volatility
JMSIX vs. BRW - Volatility Comparison
The current volatility for JPMorgan Income Fund (JMSIX) is 0.82%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 2.28%. This indicates that JMSIX 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
| JMSIX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.82% | 2.28% | -1.46% |
Volatility (6M)Calculated over the trailing 6-month period | 1.88% | 7.54% | -5.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.53% | 13.20% | -10.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.73% | 12.86% | -9.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.87% | 12.86% | -8.99% |
JMSIX vs. BRW - Expense Ratio Comparison
JMSIX has a 0.40% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
JMSIX vs. BRW - Dividend Comparison
JMSIX's dividend yield for the trailing twelve months is around 6.02%, less than BRW's 14.89% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 14.89% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JMSIX JPMorgan Income Fund | 6.02% | 5.95% | 5.78% | 4.43% | 4.78% | 4.00% | 4.95% | 5.10% | 5.43% | 5.42% | 0.46% |
Frequently Asked Questions
JMSIX and BRW have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (2.28%) compared to JMSIX (0.82%). In terms of maximum drawdown, JMSIX dropped -18.40% vs BRW's -17.74%.
JMSIX currently has the higher Sharpe Ratio (2.30 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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