WIORX vs. BRW
WIORX (Wilshire Income Opportunities Fund) and BRW (Saba Capital Income & Opportunities Fund) are both Multisector Bonds funds. Over the past 5 years, WIORX returned 0.87%/yr vs 7.01%/yr for BRW. At a 0.17 correlation, their price movements are largely independent. WIORX charges 1.15%/yr vs 1.71%/yr for BRW.
Performance
WIORX vs. BRW - Performance Comparison
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Returns By Period
In the year-to-date period, WIORX achieves a 0.31% return, which is significantly lower than BRW's 3.21% return.
WIORX
- 1D
- -0.11%
- 1M
- -0.01%
- 6M
- 0.31%
- YTD
- 0.31%
- 1Y
- 3.58%
- 3Y*
- 4.83%
- 5Y*
- 0.87%
- 10Y*
- —
BRW
- 1D
- -0.90%
- 1M
- 2.36%
- 6M
- 4.03%
- YTD
- 3.21%
- 1Y
- -5.76%
- 3Y*
- 9.50%
- 5Y*
- 7.01%
- 10Y*
- —
WIORX vs. BRW - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
WIORX Wilshire Income Opportunities Fund | 0.31% | 7.18% | 3.49% | 6.35% | -11.18% | -0.00% |
BRW Saba Capital Income & Opportunities Fund | 3.21% | 5.89% | 12.16% | 18.49% | -4.64% | 3.19% |
Correlation
The correlation between WIORX and BRW is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since May 5, 2021 | 0.17 |
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Return for Risk
WIORX vs. BRW — Risk / Return Rank
WIORX
BRW
WIORX vs. BRW - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Wilshire Income Opportunities Fund (WIORX) 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.
| WIORX | BRW | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.63 | ||
| Sortino ratioReturn per unit of downside risk | +2.22 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 0.93 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 1.33 | -0.33 | +1.65 |
| Martin ratioReturn relative to average drawdown | 4.00 | -0.55 | +4.55 |
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Drawdowns
WIORX vs. BRW - Drawdown Comparison
The maximum WIORX drawdown since its inception was -15.02%, smaller than the maximum BRW drawdown of -17.74%. Use the drawdown chart below to compare losses from any high point for WIORX and BRW.
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Drawdown Indicators
| WIORX | BRW | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.02% | -17.74% | +2.72% |
Max Drawdown (1Y)Largest decline over 1 year | -2.71% | -17.74% | +15.03% |
Max Drawdown (3Y)Largest decline over 3 years | -4.66% | -17.74% | +13.08% |
Max Drawdown (5Y)Largest decline over 5 years | -15.02% | -17.74% | +2.72% |
Current DrawdownCurrent decline from peak | -1.21% | -9.06% | +7.85% |
Average DrawdownAverage peak-to-trough decline | -3.17% | -4.07% | +0.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.90% | 10.46% | -9.56% |
Volatility
WIORX vs. BRW - Volatility Comparison
The current volatility for Wilshire Income Opportunities Fund (WIORX) is 1.00%, while Saba Capital Income & Opportunities Fund (BRW) has a volatility of 3.33%. This indicates that WIORX 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
| WIORX | BRW | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.00% | 3.33% | -2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 2.53% | 8.44% | -5.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.00% | 13.48% | -10.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.23% | 12.95% | -8.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.72% | 12.87% | -9.15% |
WIORX vs. BRW - Expense Ratio Comparison
WIORX has a 1.15% expense ratio, which is lower than BRW's 1.71% expense ratio.
Dividends
WIORX vs. BRW - Dividend Comparison
WIORX's dividend yield for the trailing twelve months is around 4.37%, less than BRW's 15.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
BRW Saba Capital Income & Opportunities Fund | 15.39% | 14.46% | 12.27% | 16.02% | 13.82% | 4.53% | 0.00% | 0.00% | 0.00% | 0.00% |
WIORX Wilshire Income Opportunities Fund | 4.37% | 4.48% | 4.38% | 2.79% | 3.40% | 3.49% | 3.79% | 3.75% | 3.06% | 4.46% |
Frequently Asked Questions
WIORX and BRW have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BRW has higher volatility (3.33%) compared to WIORX (1.00%). In terms of maximum drawdown, WIORX dropped -15.02% vs BRW's -17.74%.
WIORX currently has the higher Sharpe Ratio (1.20 vs -0.43), 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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