TSIIX vs. BRW
TSIIX (Thornburg Strategic Income Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, TSIIX returned 2.91%/yr vs 7.20%/yr for BRW. At a 0.16 correlation, their price movements are largely independent. TSIIX charges 0.60%/yr vs 1.71%/yr for BRW.
Performance
TSIIX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, TSIIX achieves a 0.88% return, which is significantly lower than BRW's 4.15% return.
TSIIX
- 1D
- 0.18%
- 1M
- -0.10%
- 6M
- 0.80%
- YTD
- 0.88%
- 1Y
- 4.79%
- 3Y*
- 5.73%
- 5Y*
- 2.91%
- 10Y*
- 4.15%
BRW
- 1D
- -0.60%
- 1M
- 2.04%
- 6M
- 3.76%
- YTD
- 4.15%
- 1Y
- -3.85%
- 3Y*
- 9.83%
- 5Y*
- 7.20%
- 10Y*
- —
TSIIX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
TSIIX Thornburg Strategic Income Fund | 0.88% | 7.58% | 4.85% | 7.63% | -6.44% | 1.75% |
BRW Saba Capital Income & Opportunities Fund | 4.15% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between TSIIX and BRW is 0.12, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
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
TSIIX vs. BRW — Risk / Return Rank
TSIIX
BRW
TSIIX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Thornburg Strategic Income Fund (TSIIX) 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.
| TSIIX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.13 | ||
| Sortino ratioReturn per unit of downside risk | +3.23 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 0.96 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 2.33 | -0.22 | +2.55 |
| Martin ratioReturn relative to average drawdown | 8.02 | -0.37 | +8.39 |
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Drawdowns
TSIIX vs. BRW - Drawdown Comparison
The maximum TSIIX drawdown since its inception was -21.98%, which is greater than BRW's maximum drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for TSIIX and BRW.
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Drawdown Indicators
| TSIIX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.98% | -17.74% | -4.24% |
Max Drawdown (1Y)Largest decline over 1 year | -2.14% | -17.74% | +15.60% |
Max Drawdown (3Y)Largest decline over 3 years | -2.62% | -17.74% | +15.12% |
Max Drawdown (5Y)Largest decline over 5 years | -9.40% | -17.74% | +8.34% |
Max Drawdown (10Y)Largest decline over 10 years | -9.58% | — | — |
Current DrawdownCurrent decline from peak | -0.47% | -8.23% | +7.76% |
Average DrawdownAverage peak-to-trough decline | -1.64% | -4.06% | +2.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.62% | 10.44% | -9.82% |
Volatility
TSIIX vs. BRW - Volatility Comparison
The current volatility for Thornburg Strategic Income Fund (TSIIX) is 0.67%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.37%. This indicates that TSIIX 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
| TSIIX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.67% | 3.37% | -2.70% |
Volatility (6M)Calculated over the trailing 6-month period | 2.10% | 8.42% | -6.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.72% | 13.46% | -10.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.39% | 12.95% | -9.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.96% | 12.87% | -9.91% |
TSIIX vs. BRW - Expense Ratio Comparison
TSIIX has a 0.60% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
TSIIX vs. BRW - Dividend Comparison
TSIIX's dividend yield for the trailing twelve months is around 4.90%, less than BRW's 15.25% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.25% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TSIIX Thornburg Strategic Income Fund | 4.90% | 4.99% | 5.10% | 4.50% | 3.49% | 4.17% | 3.70% | 3.82% | 3.40% | 3.59% | 3.43% | 4.51% |
Frequently Asked Questions
TSIIX and BRW have a correlation of 0.12, 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 TSIIX (0.67%). In terms of maximum drawdown, TSIIX dropped -21.98% vs BRW's -17.74%.
TSIIX currently has the higher Sharpe Ratio (1.85 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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