NEFZX vs. BRW
NEFZX (Loomis Sayles Strategic Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, NEFZX returned 1.86%/yr vs 6.57%/yr for BRW. At a 0.23 correlation, their price movements are largely independent. NEFZX charges 0.95%/yr vs 1.71%/yr for BRW.
Performance
NEFZX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, NEFZX achieves a -0.25% return, which is significantly lower than BRW's 2.74% return.
NEFZX
- 1D
- 0.25%
- 1M
- 0.05%
- 6M
- -0.56%
- YTD
- -0.25%
- 1Y
- 3.10%
- 3Y*
- 7.38%
- 5Y*
- 1.86%
- 10Y*
- 2.98%
BRW
- 1D
- -0.60%
- 1M
- 1.90%
- 6M
- 3.48%
- YTD
- 2.74%
- 1Y
- -5.38%
- 3Y*
- 10.23%
- 5Y*
- 6.57%
- 10Y*
- —
NEFZX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
NEFZX Loomis Sayles Strategic Income Fund | -0.25% | 8.92% | 7.05% | 8.02% | -12.82% | 2.45% |
BRW Saba Capital Income & Opportunities Fund | 2.74% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between NEFZX and BRW is 0.21, 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 | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.23 |
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Return for Risk
NEFZX vs. BRW — Risk / Return Rank
NEFZX
BRW
NEFZX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Loomis Sayles Strategic Income Fund (NEFZX) 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.
| NEFZX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.22 | ||
| Sortino ratioReturn per unit of downside risk | +1.61 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 0.94 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 0.88 | -0.30 | +1.19 |
| Martin ratioReturn relative to average drawdown | 2.60 | -0.52 | +3.12 |
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Drawdowns
NEFZX vs. BRW - Drawdown Comparison
The maximum NEFZX drawdown since its inception was -32.07%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for NEFZX and BRW.
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Drawdown Indicators
| NEFZX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.07% | -17.74% | -14.33% |
Max Drawdown (1Y)Largest decline over 1 year | -4.17% | -17.74% | +13.57% |
Max Drawdown (3Y)Largest decline over 3 years | -5.88% | -17.74% | +11.86% |
Max Drawdown (5Y)Largest decline over 5 years | -17.19% | -17.74% | +0.55% |
Max Drawdown (10Y)Largest decline over 10 years | -17.21% | — | — |
Current DrawdownCurrent decline from peak | -1.98% | -9.47% | +7.49% |
Average DrawdownAverage peak-to-trough decline | -3.36% | -4.05% | +0.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.30% | 10.39% | -9.09% |
Volatility
NEFZX vs. BRW - Volatility Comparison
The current volatility for Loomis Sayles Strategic Income Fund (NEFZX) is 1.21%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.92%. This indicates that NEFZX 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
| NEFZX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.21% | 3.92% | -2.71% |
Volatility (6M)Calculated over the trailing 6-month period | 3.59% | 8.38% | -4.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.50% | 13.40% | -8.90% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.61% | 12.96% | -7.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.21% | 12.88% | -7.67% |
NEFZX vs. BRW - Expense Ratio Comparison
NEFZX has a 0.95% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
NEFZX vs. BRW - Dividend Comparison
NEFZX's dividend yield for the trailing twelve months is around 4.03%, less than BRW's 15.46% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.46% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
NEFZX Loomis Sayles Strategic Income Fund | 4.03% | 3.83% | 5.60% | 5.37% | 6.34% | 2.64% | 4.20% | 3.51% | 4.28% | 4.06% | 4.76% | 10.22% |
Frequently Asked Questions
NEFZX and BRW have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.92%) compared to NEFZX (1.21%). In terms of maximum drawdown, NEFZX dropped -32.07% vs BRW's -17.74%.
NEFZX currently has the higher Sharpe Ratio (0.82 vs -0.40), 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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