PTCRX vs. BRW
PTCRX (Performance Trust Credit Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, PTCRX returned 3.95%/yr vs 7.11%/yr for BRW. At a 0.15 correlation, their price movements are largely independent. PTCRX charges 0.99%/yr vs 1.71%/yr for BRW.
Performance
PTCRX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, PTCRX achieves a 1.27% return, which is significantly lower than BRW's 3.83% return.
PTCRX
- 1D
- 0.11%
- 1M
- 0.76%
- YTD
- 1.27%
- 6M
- 1.32%
- 1Y
- 6.55%
- 3Y*
- 7.96%
- 5Y*
- 3.95%
- 10Y*
- —
BRW
- 1D
- -1.16%
- 1M
- 0.52%
- YTD
- 3.83%
- 6M
- 1.86%
- 1Y
- 4.10%
- 3Y*
- 10.09%
- 5Y*
- 7.11%
- 10Y*
- —
PTCRX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
PTCRX Performance Trust Credit Fund | 1.27% | 6.58% | 8.01% | 10.10% | -10.71% | 6.27% |
BRW Saba Capital Income & Opportunities Fund | 3.83% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between PTCRX and BRW is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (All Time) Calculated using the full available price history since May 6, 2021 | 0.15 |
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Return for Risk
PTCRX vs. BRW — Risk / Return Rank
PTCRX
BRW
PTCRX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Performance Trust Credit Fund (PTCRX) 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.
| PTCRX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.02 | ||
| Sortino ratioReturn per unit of downside risk | +3.11 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.07 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 2.88 | 0.23 | +2.65 |
| Martin ratioReturn relative to average drawdown | 11.07 | 0.42 | +10.66 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| PTCRX | BRW | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.34 | 0.31 | +2.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.00 | 0.56 | +0.44 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.05 | 0.59 | +0.46 |
Drawdowns
PTCRX vs. BRW - Drawdown Comparison
The maximum PTCRX drawdown since its inception was -14.09%, smaller than the maximum BRW drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for PTCRX and BRW.
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Drawdown Indicators
| PTCRX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.09% | -17.74% | +3.65% |
Max Drawdown (1Y)Largest decline over 1 year | -2.28% | -17.74% | +15.46% |
Max Drawdown (3Y)Largest decline over 3 years | -2.98% | -17.74% | +14.76% |
Max Drawdown (5Y)Largest decline over 5 years | -14.09% | -17.74% | +3.65% |
Current DrawdownCurrent decline from peak | -0.08% | -8.51% | +8.43% |
Average DrawdownAverage peak-to-trough decline | -3.41% | -3.93% | +0.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.59% | 9.86% | -9.27% |
Volatility
PTCRX vs. BRW - Volatility Comparison
The current volatility for Performance Trust Credit Fund (PTCRX) is 0.98%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 2.28%. This indicates that PTCRX 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
| PTCRX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.98% | 2.28% | -1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 2.12% | 7.54% | -5.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.82% | 13.20% | -10.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.96% | 12.86% | -8.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.89% | 12.86% | -8.97% |
PTCRX vs. BRW - Expense Ratio Comparison
PTCRX has a 0.99% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
PTCRX vs. BRW - Dividend Comparison
PTCRX's dividend yield for the trailing twelve months is around 5.36%, less than BRW's 14.89% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 14.89% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% |
PTCRX Performance Trust Credit Fund | 5.36% | 4.34% | 5.67% | 5.95% | 4.69% | 8.11% |
Frequently Asked Questions
PTCRX and BRW have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (2.28%) compared to PTCRX (0.98%). In terms of maximum drawdown, PTCRX dropped -14.09% vs BRW's -17.74%.
PTCRX currently has the higher Sharpe Ratio (2.34 vs 0.31), 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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