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 3.19%/yr vs 6.64%/yr for BRW. At a 0.31 correlation, their price movements are largely independent.
Performance
SABA vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, SABA achieves a 4.51% return, which is significantly higher than BRW's 3.52% return.
SABA
- 1D
- 0.37%
- 1M
- -0.14%
- 6M
- 2.54%
- YTD
- 4.51%
- 1Y
- -0.96%
- 3Y*
- 8.48%
- 5Y*
- 3.19%
- 10Y*
- 2.71%
BRW
- 1D
- 0.76%
- 1M
- 2.67%
- 6M
- 3.59%
- YTD
- 3.52%
- 1Y
- -4.66%
- 3Y*
- 9.80%
- 5Y*
- 6.64%
- 10Y*
- —
SABA vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 4.51% | -0.31% | 31.32% | -2.77% | -9.02% | 0.43% |
BRW Saba Capital Income & Opportunities Fund | 3.52% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between SABA and BRW is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.38 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.31 |
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 | +0.27 | ||
| Sortino ratioReturn per unit of downside risk | +0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 0.95 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | -0.26 | +0.17 |
| Martin ratioReturn relative to average drawdown | -0.18 | -0.45 | +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 | -4.52% | -8.78% | +4.26% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -4.05% | -3.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.51% | 10.41% | -4.90% |
Volatility
SABA vs. BRW - Volatility Comparison
The current volatility for Saba Capital Income & Opportunities Fund II (SABA) is 2.88%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.36%. 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 | 2.88% | 3.36% | -0.48% |
Volatility (6M)Calculated over the trailing 6-month period | 8.37% | 8.38% | -0.01% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.84% | 13.45% | -1.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.59% | 12.97% | +1.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.63% | 12.87% | +3.76% |
Dividends
SABA vs. BRW - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.70%, less than BRW's 15.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.34% | 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 | 9.70% | 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 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.36%) compared to SABA (2.88%). In terms of maximum drawdown, SABA dropped -32.37% vs BRW's -17.74%.
SABA currently has the higher Sharpe Ratio (-0.08 vs -0.35), 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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