PGDIX vs. BRW
PGDIX (Principal Diversified Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, PGDIX returned 2.05%/yr vs 6.41%/yr for BRW. At a 0.22 correlation, their price movements are largely independent. PGDIX charges 0.68%/yr vs 1.71%/yr for BRW.
Performance
PGDIX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, PGDIX achieves a -0.27% return, which is significantly lower than BRW's 0.83% return.
PGDIX
- 1D
- 0.09%
- 1M
- 0.00%
- YTD
- -0.27%
- 6M
- -0.31%
- 1Y
- 2.63%
- 3Y*
- 5.77%
- 5Y*
- 2.05%
- 10Y*
- 4.02%
BRW
- 1D
- -0.30%
- 1M
- -2.31%
- YTD
- 0.83%
- 6M
- 1.70%
- 1Y
- -3.55%
- 3Y*
- 9.33%
- 5Y*
- 6.41%
- 10Y*
- —
PGDIX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
PGDIX Principal Diversified Income Fund | -0.27% | 6.50% | 5.44% | 8.53% | -11.20% | 4.05% |
BRW Saba Capital Income & Opportunities Fund | 0.83% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between PGDIX and BRW is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.22 |
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Return for Risk
PGDIX vs. BRW — Risk / Return Rank
PGDIX
BRW
PGDIX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Principal Diversified Income Fund (PGDIX) 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.
| PGDIX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.20 | ||
| Sortino ratioReturn per unit of downside risk | +1.54 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 0.96 | +0.22 |
| Calmar ratioReturn relative to maximum drawdown | 0.81 | -0.20 | +1.01 |
| Martin ratioReturn relative to average drawdown | 2.49 | -0.35 | +2.84 |
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Drawdowns
PGDIX vs. BRW - Drawdown Comparison
The maximum PGDIX drawdown since its inception was -23.76%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for PGDIX and BRW.
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Drawdown Indicators
| PGDIX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.76% | -17.74% | -6.02% |
Max Drawdown (1Y)Largest decline over 1 year | -3.38% | -17.74% | +14.36% |
Max Drawdown (3Y)Largest decline over 3 years | -3.56% | -17.74% | +14.18% |
Max Drawdown (5Y)Largest decline over 5 years | -14.60% | -17.74% | +3.14% |
Max Drawdown (10Y)Largest decline over 10 years | -23.76% | — | — |
Current DrawdownCurrent decline from peak | -1.22% | -11.15% | +9.93% |
Average DrawdownAverage peak-to-trough decline | -2.75% | -4.00% | +1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.09% | 10.21% | -9.12% |
Volatility
PGDIX vs. BRW - Volatility Comparison
The current volatility for Principal Diversified Income Fund (PGDIX) is 0.75%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.39%. This indicates that PGDIX 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
| PGDIX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.75% | 4.39% | -3.64% |
Volatility (6M)Calculated over the trailing 6-month period | 2.29% | 8.23% | -5.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.93% | 13.38% | -10.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.06% | 12.94% | -8.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.22% | 12.90% | -7.68% |
PGDIX vs. BRW - Expense Ratio Comparison
PGDIX has a 0.68% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
PGDIX vs. BRW - Dividend Comparison
PGDIX's dividend yield for the trailing twelve months is around 5.31%, less than BRW's 15.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.54% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PGDIX Principal Diversified Income Fund | 5.31% | 6.17% | 6.28% | 6.47% | 5.34% | 4.59% | 4.63% | 5.12% | 5.10% | 4.67% | 5.76% | 5.27% |
Frequently Asked Questions
PGDIX and BRW have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.39%) compared to PGDIX (0.75%). In terms of maximum drawdown, PGDIX dropped -23.76% vs BRW's -17.74%.
PGDIX currently has the higher Sharpe Ratio (0.93 vs -0.27), 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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