PFN vs. BRW
PFN (PIMCO Income Strategy Fund II) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Both are actively managed. Over the past 5 years, PFN returned 1.98%/yr vs 7.16%/yr for BRW. Their 0.24 correlation means their historical movements had little consistent relationship. PFN charges 1.86%/yr vs 1.71%/yr for BRW.
Performance
PFN vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, PFN achieves a 1.44% return, which is significantly lower than BRW's 3.37% return.
PFN
- 1D
- 0.14%
- 1M
- 0.45%
- 6M
- 1.42%
- YTD
- 1.44%
- 1Y
- 5.96%
- 3Y*
- 11.94%
- 5Y*
- 1.98%
- 10Y*
- 8.03%
- ALL TIME*
- 6.03%
BRW
- 1D
- 0.30%
- 1M
- 0.97%
- 6M
- 5.88%
- YTD
- 3.37%
- 1Y
- -8.31%
- 3Y*
- 8.50%
- 5Y*
- 7.16%
- 10Y*
- —
- ALL TIME*
- 7.07%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.29M | $1.36M | $1.43M | |
| $2.67M | $4.67M | $3.40M |
PFN vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
PFN PIMCO Income Strategy Fund II | 1.44% | 13.07% | 15.72% | 15.43% | -17.65% | -4.80% |
BRW Saba Capital Income & Opportunities Fund | 3.37% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between PFN 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. | 0.25 |
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
PFN
BRW
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.
| PFN | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.19 | ||
| Sortino ratioReturn per unit of downside risk | +1.62 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 0.90 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 0.56 | -0.47 | +1.03 |
| Martin ratioReturn relative to average drawdown | 2.01 | -0.78 | +2.80 |
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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
| PFN | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -0.98% | -8.92% | +7.94% |
Average DrawdownAverage peak-to-trough decline | -11.75% | -4.11% | -7.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 10.62% | -7.66% |
Volatility
PFN vs. BRW - Volatility Comparison
The current volatility for PIMCO Income Strategy Fund II (PFN) is 1.76%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.91%. 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
| PFN | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.76% | 3.91% | -2.15% |
Volatility (6M)Calculated over the trailing 6-month period | 8.86% | 8.85% | +0.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.31% | 13.68% | -3.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.55% | 13.02% | +1.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.18% | 12.89% | +5.29% |
PFN vs. BRW - Expense Ratio Comparison
PFN has a 1.86% 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 12.15%, less than BRW's 15.36% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.36% | 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 | 12.15% | 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 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.91%) compared to PFN (1.76%). In terms of maximum drawdown, PFN dropped -80.08% vs BRW's -17.74%.
PFN currently has the higher Sharpe Ratio (0.58 vs -0.61), 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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