SABA vs. BRW
SABA (Saba Capital Income & Opportunities Fund II) and BRW (Saba Capital Income & Opportunities Fund) are both mutual funds - SABA is a Global Bonds fund managed by Saba Capital, while BRW is a Multisector Bonds fund actively managed by Saba Capital. Over the past 5 years, SABA returned 3.12%/yr vs 7.19%/yr for BRW. Their 0.31 correlation means their historical movements had little consistent relationship.
Performance
SABA vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, SABA achieves a 4.89% return, which is significantly higher than BRW's 3.06% return.
SABA
- 1D
- -1.20%
- 1M
- -0.02%
- 6M
- 5.57%
- YTD
- 4.89%
- 1Y
- -1.36%
- 3Y*
- 8.95%
- 5Y*
- 3.12%
- 10Y*
- 2.87%
- ALL TIME*
- 7.45%
BRW
- 1D
- -1.64%
- 1M
- 0.67%
- 6M
- 5.41%
- YTD
- 3.06%
- 1Y
- -8.59%
- 3Y*
- 8.57%
- 5Y*
- 7.19%
- 10Y*
- —
- ALL TIME*
- 7.02%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.26M | $1.37M | $1.47M | |
| $264.60K | $425.07K | $423.68K |
SABA vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 4.89% | -0.31% | 31.32% | -2.77% | -9.02% | 0.43% |
BRW Saba Capital Income & Opportunities Fund | 3.06% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between SABA and BRW is 0.41, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.41 |
Correlation (3Y) Balances recent behavior with more history. | 0.39 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.32 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.31 |
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Return for Risk
SABA vs. BRW — Risk / Return Rank
SABA
BRW
SABA vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund II (SABA) 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.
| SABA | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.37 | ||
| Sortino ratioReturn per unit of downside risk | +0.42 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 0.90 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | -0.48 | +0.20 |
| Martin ratioReturn relative to average drawdown | -0.53 | -0.80 | +0.27 |
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Drawdowns
SABA vs. BRW - Drawdown Comparison
The maximum SABA drawdown since its inception was -32.37%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for SABA and BRW.
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Drawdown Indicators
| SABA | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.37% | -17.74% | -14.63% |
Max Drawdown (1Y)Largest decline over 1 year | -10.45% | -17.74% | +7.29% |
Max Drawdown (3Y)Largest decline over 3 years | -14.96% | -17.74% | +2.78% |
Max Drawdown (5Y)Largest decline over 5 years | -19.76% | -17.74% | -2.02% |
Max Drawdown (10Y)Largest decline over 10 years | -31.39% | — | — |
Current DrawdownCurrent decline from peak | -4.17% | -9.19% | +5.02% |
Average DrawdownAverage peak-to-trough decline | -7.55% | -4.10% | -3.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.57% | 10.60% | -5.03% |
Volatility
SABA vs. BRW - Volatility Comparison
The current volatility for Saba Capital Income & Opportunities Fund II (SABA) is 3.33%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.03%. This indicates that SABA 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
| SABA | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.33% | 4.03% | -0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 8.63% | 8.85% | -0.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.65% | 13.66% | -2.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.61% | 13.01% | +1.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.64% | 12.90% | +3.74% |
Dividends
SABA vs. BRW - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.66%, less than BRW's 15.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.41% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SABA Saba Capital Income & Opportunities Fund II | 9.66% | 9.65% | 8.32% | 11.43% | 9.14% | 7.19% | 4.00% | 6.68% | 5.81% | 4.44% | 4.63% | 4.72% |
Frequently Asked Questions
SABA and BRW have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.03%) compared to SABA (3.33%). In terms of maximum drawdown, SABA dropped -32.37% vs BRW's -17.74%.
SABA currently has the higher Sharpe Ratio (-0.25 vs -0.62), 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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