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PFN vs. BRW
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

PFN vs. BRW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Income Strategy Fund II (PFN) and Saba Capital Income & Opportunities Fund (BRW). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, PFN achieves a 1.58% return, which is significantly lower than BRW's 4.46% return.


PFN

1D
0.57%
1M
5.32%
6M
1.56%
YTD
1.58%
1Y
7.68%
3Y*
12.57%
5Y*
2.25%
10Y*
8.17%

BRW

1D
0.90%
1M
3.60%
6M
4.83%
YTD
4.46%
1Y
-3.21%
3Y*
10.13%
5Y*
6.88%
10Y*
*Multi-year figures are annualized to reflect compound growth (CAGR)

PFN vs. BRW - Yearly Performance Comparison


2026 (YTD)20252024202320222021
PFN
PIMCO Income Strategy Fund II
1.58%13.07%15.72%15.43%-17.65%-4.80%
BRW
Saba Capital Income & Opportunities Fund
4.46%5.89%12.16%18.49%-4.64%3.19%

Correlation

The correlation between PFN and BRW is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.24

Correlation (3Y)
Calculated over the trailing 3-year period

0.19

Correlation (5Y)
Calculated over the trailing 5-year period

0.25

Correlation (All Time)
Calculated using the full available price history since May 5, 2021

0.24

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Return for Risk

PFN vs. BRW — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PFN
PFN Risk / Return Rank: 1313
Overall Rank
PFN Sharpe Ratio Rank: 1414
Sharpe Ratio Rank
PFN Sortino Ratio Rank: 1414
Sortino Ratio Rank
PFN Omega Ratio Rank: 1515
Omega Ratio Rank
PFN Calmar Ratio Rank: 1111
Calmar Ratio Rank
PFN Martin Ratio Rank: 1414
Martin Ratio Rank

BRW
BRW Risk / Return Rank: 22
Overall Rank
BRW Sharpe Ratio Rank: 22
Sharpe Ratio Rank
BRW Sortino Ratio Rank: 22
Sortino Ratio Rank
BRW Omega Ratio Rank: 22
Omega Ratio Rank
BRW Calmar Ratio Rank: 22
Calmar Ratio Rank
BRW Martin Ratio Rank: 22
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PFN vs. BRW - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Income Strategy Fund II (PFN) 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.


PFNBRWDifference
Sharpe ratioReturn per unit of total volatility

+0.99

Sortino ratioReturn per unit of downside risk

+1.36

Omega ratioGain probability vs. loss probability

1.15

0.97

+0.18

Calmar ratioReturn relative to maximum drawdown

0.72

-0.18

+0.90

Martin ratioReturn relative to average drawdown

2.61

-0.31

+2.92

PFN vs. BRW - Sharpe Ratio Comparison

The current PFN Sharpe Ratio is 0.75, which is higher than the BRW Sharpe Ratio of -0.24. The chart below compares the historical Sharpe Ratios of PFN and BRW, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

PFN vs. BRW - Drawdown Comparison

The maximum PFN drawdown since its inception was -80.08%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for PFN and BRW.


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Drawdown Indicators


PFNBRWDifference

Max Drawdown

Largest peak-to-trough decline

-80.08%

-17.74%

-62.34%

Max Drawdown (1Y)

Largest decline over 1 year

-10.77%

-17.74%

+6.97%

Max Drawdown (3Y)

Largest decline over 3 years

-14.31%

-17.74%

+3.43%

Max Drawdown (5Y)

Largest decline over 5 years

-33.45%

-17.74%

-15.71%

Max Drawdown (10Y)

Largest decline over 10 years

-45.70%

Current Drawdown

Current decline from peak

0.00%

-7.96%

+7.96%

Average Drawdown

Average peak-to-trough decline

-11.78%

-4.06%

-7.72%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.95%

10.42%

-7.47%

Volatility

PFN vs. BRW - Volatility Comparison

The current volatility for PIMCO Income Strategy Fund II (PFN) is 2.44%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.31%. This indicates that PFN 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


PFNBRWDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.44%

3.31%

-0.87%

Volatility (6M)

Calculated over the trailing 6-month period

8.86%

8.42%

+0.44%

Volatility (1Y)

Calculated over the trailing 1-year period

10.31%

13.46%

-3.15%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.64%

12.98%

+1.66%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.18%

12.88%

+5.30%

PFN vs. BRW - Expense Ratio Comparison

PFN has a 1.74% expense ratio, which is higher than BRW's 1.71% expense ratio.


Dividends

PFN vs. BRW - Dividend Comparison

PFN's dividend yield for the trailing twelve months is around 12.14%, less than BRW's 15.20% yield.


PositionTTM20252024202320222021202020192018201720162015
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%0.00%
PFN
PIMCO Income Strategy Fund II
12.14%11.49%11.57%11.92%12.19%9.71%9.67%9.07%10.81%9.20%10.12%11.74%

Frequently Asked Questions


PFN and BRW have a correlation of 0.24, 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 PFN (2.44%). In terms of maximum drawdown, PFN dropped -80.08% vs BRW's -17.74%.

PFN currently has the higher Sharpe Ratio (0.75 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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