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 2.78%/yr vs 6.88%/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 1.24% return, which is significantly lower than BRW's 4.46% return.
JMSIX
- 1D
- -0.24%
- 1M
- 0.02%
- 6M
- 1.36%
- YTD
- 1.24%
- 1Y
- 4.92%
- 3Y*
- 6.88%
- 5Y*
- 2.78%
- 10Y*
- 3.77%
BRW
- 1D
- 0.90%
- 1M
- 3.60%
- 6M
- 4.83%
- YTD
- 4.46%
- 1Y
- -3.21%
- 3Y*
- 10.13%
- 5Y*
- 6.88%
- 10Y*
- —
JMSIX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
JMSIX JPMorgan Income Fund | 1.24% | 7.68% | 7.78% | 6.14% | -8.24% | 0.80% |
BRW Saba Capital Income & Opportunities Fund | 4.46% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between JMSIX and BRW is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
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
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.
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.
| JMSIX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.21 | ||
| Sortino ratioReturn per unit of downside risk | +3.94 | ||
| Omega ratioGain probability vs. loss probability | 1.51 | 0.97 | +0.54 |
| Calmar ratioReturn relative to maximum drawdown | 3.04 | -0.18 | +3.22 |
| Martin ratioReturn relative to average drawdown | 12.63 | -0.31 | +12.94 |
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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 | -2.25% | -17.74% | +15.49% |
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 | -0.47% | -7.96% | +7.49% |
Average DrawdownAverage peak-to-trough decline | -2.54% | -4.06% | +1.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.39% | 10.42% | -10.03% |
Volatility
JMSIX vs. BRW - Volatility Comparison
The current volatility for JPMorgan Income Fund (JMSIX) is 0.70%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.31%. 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 | 0.70% | 3.31% | -2.61% |
Volatility (6M)Calculated over the trailing 6-month period | 1.93% | 8.42% | -6.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.51% | 13.46% | -10.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.74% | 12.98% | -9.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.86% | 12.88% | -9.02% |
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 6.04%, less than BRW's 15.20% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.20% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JMSIX JPMorgan Income Fund | 6.04% | 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 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.31%) compared to JMSIX (0.70%). In terms of maximum drawdown, JMSIX dropped -18.40% vs BRW's -17.74%.
JMSIX currently has the higher Sharpe Ratio (1.98 vs -0.24), 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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