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 3.53%/yr vs 7.20%/yr for BRW. At a 0.16 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 1.47% return, which is significantly lower than BRW's 4.15% return.
PTCRX
- 1D
- 0.12%
- 1M
- -0.10%
- 6M
- 1.07%
- YTD
- 1.47%
- 1Y
- 5.70%
- 3Y*
- 7.47%
- 5Y*
- 3.53%
- 10Y*
- —
BRW
- 1D
- -0.60%
- 1M
- 2.04%
- 6M
- 3.76%
- YTD
- 4.15%
- 1Y
- -3.85%
- 3Y*
- 9.83%
- 5Y*
- 7.20%
- 10Y*
- —
PTCRX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
PTCRX Performance Trust Credit Fund | 1.47% | 6.58% | 8.01% | 10.10% | -10.71% | 6.37% |
BRW Saba Capital Income & Opportunities Fund | 4.15% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between PTCRX 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 | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.16 |
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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.
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.
| PTCRX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.38 | ||
| Sortino ratioReturn per unit of downside risk | +3.50 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 0.96 | +0.44 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | -0.22 | +2.74 |
| Martin ratioReturn relative to average drawdown | 9.66 | -0.37 | +10.03 |
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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 | -0.54% | -8.23% | +7.69% |
Average DrawdownAverage peak-to-trough decline | -3.34% | -4.06% | +0.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.59% | 10.44% | -9.85% |
Volatility
PTCRX vs. BRW - Volatility Comparison
The current volatility for Performance Trust Credit Fund (PTCRX) is 0.69%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.37%. 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 | 0.69% | 3.37% | -2.68% |
Volatility (6M)Calculated over the trailing 6-month period | 2.16% | 8.42% | -6.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.75% | 13.46% | -10.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.97% | 12.95% | -8.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.86% | 12.87% | -9.01% |
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 5.49%, less than BRW's 15.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.25% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% |
PTCRX Performance Trust Credit Fund | 5.49% | 4.34% | 5.67% | 5.95% | 4.69% | 8.11% |
Frequently Asked Questions
PTCRX 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 (3.37%) compared to PTCRX (0.69%). In terms of maximum drawdown, PTCRX dropped -14.09% vs BRW's -17.74%.
PTCRX currently has the higher Sharpe Ratio (2.09 vs -0.29), 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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