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 2.97%/yr vs 6.18%/yr for BRW. At a 0.31 correlation, their price movements are largely independent.
Performance
SABA vs. BRW - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, SABA achieves a 2.89% return, which is significantly higher than BRW's -0.25% return.
SABA
- 1D
- -0.37%
- 1M
- -2.54%
- YTD
- 2.89%
- 6M
- 1.91%
- 1Y
- -1.67%
- 3Y*
- 9.11%
- 5Y*
- 2.97%
- 10Y*
- 2.80%
BRW
- 1D
- 0.15%
- 1M
- -2.78%
- YTD
- -0.25%
- 6M
- 0.62%
- 1Y
- -4.10%
- 3Y*
- 8.94%
- 5Y*
- 6.18%
- 10Y*
- —
SABA vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 2.89% | -0.31% | 31.32% | -2.77% | -9.02% | 0.43% |
BRW Saba Capital Income & Opportunities Fund | -0.25% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between SABA and BRW is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
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 |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 | +0.17 | ||
| Sortino ratioReturn per unit of downside risk | +0.18 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 0.96 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.16 | -0.23 | +0.07 |
| Martin ratioReturn relative to average drawdown | -0.31 | -0.40 | +0.10 |
Loading charts...
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.
Loading charts...
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 | -6.00% | -12.10% | +6.10% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -3.99% | -3.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.42% | 10.16% | -4.74% |
Volatility
SABA vs. BRW - Volatility Comparison
The current volatility for Saba Capital Income & Opportunities Fund II (SABA) is 2.98%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 4.17%. 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.
Loading charts...
Volatility by Period
| SABA | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.98% | 4.17% | -1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 8.25% | 8.18% | +0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.69% | 13.33% | -1.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.58% | 12.93% | +1.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.65% | 12.89% | +3.76% |
Dividends
SABA vs. BRW - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.78%, less than BRW's 15.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.71% | 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 | 9.78% | 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 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (4.17%) compared to SABA (2.98%). In terms of maximum drawdown, SABA dropped -32.37% vs BRW's -17.74%.
SABA currently has the higher Sharpe Ratio (-0.14 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.
Find the right allocation for SABA and BRW
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer