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 1.59%/yr vs 7.19%/yr for BRW. Their 0.23 correlation means their historical movements had little consistent relationship. 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 -1.28% return, which is significantly lower than BRW's 3.06% return.
NEFZX
- 1D
- 0.25%
- 1M
- -0.75%
- 6M
- -1.80%
- YTD
- -1.28%
- 1Y
- 2.61%
- 3Y*
- 6.35%
- 5Y*
- 1.59%
- 10Y*
- 2.78%
- ALL TIME*
- 6.36%
BRW
- 1D
- -1.64%
- 1M
- 0.67%
- 6M
- 5.41%
- YTD
- 3.06%
- 1Y
- -8.59%
- 3Y*
- 8.57%
- 5Y*
- 7.19%
- 10Y*
- —
- ALL TIME*
- 7.02%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.26M | $1.37M | $1.47M | |
| $0.00 | $0.00 | $0.00 |
NEFZX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
NEFZX Loomis Sayles Strategic Income Fund | -1.28% | 8.92% | 7.05% | 8.02% | -12.82% | 2.45% |
BRW Saba Capital Income & Opportunities Fund | 3.06% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between NEFZX and BRW is 0.22, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.22 |
Correlation (3Y) Balances recent behavior with more history. | 0.19 |
Correlation (5Y) Shows whether the relationship held over a longer 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 | +1.29 | ||
| Sortino ratioReturn per unit of downside risk | +1.68 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 0.90 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 0.71 | -0.48 | +1.19 |
| Martin ratioReturn relative to average drawdown | 1.81 | -0.80 | +2.62 |
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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 | -5.38% | -17.74% | +12.36% |
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 | -2.99% | -9.19% | +6.20% |
Average DrawdownAverage peak-to-trough decline | -3.36% | -4.10% | +0.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.51% | 10.60% | -9.09% |
Volatility
NEFZX vs. BRW - Volatility Comparison
The current volatility for Loomis Sayles Strategic Income Fund (NEFZX) is 1.10%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.03%. 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 | 1.10% | 4.03% | -2.93% |
Volatility (6M)Calculated over the trailing 6-month period | 3.62% | 8.85% | -5.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.47% | 13.66% | -9.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.62% | 13.01% | -7.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.21% | 12.90% | -7.69% |
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 4.01%, less than BRW's 15.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.41% | 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 | 4.01% | 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 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.03%) compared to NEFZX (1.10%). In terms of maximum drawdown, NEFZX dropped -32.07% vs BRW's -17.74%.
NEFZX currently has the higher Sharpe Ratio (0.66 vs -0.62), 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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