DFGBX vs. SABA
DFGBX (DFA Five Year Global Fixed Income Portfolio) and SABA (Saba Capital Income & Opportunities Fund II) are both Global Bonds funds. Over the past 10 years, DFGBX returned 1.24%/yr vs 2.95%/yr for SABA. Their 0.05 correlation means their historical movements had little consistent relationship.
Performance
DFGBX vs. SABA - Performance Comparison
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Returns By Period
In the year-to-date period, DFGBX achieves a 1.50% return, which is significantly lower than SABA's 6.04% return. Over the past 10 years, DFGBX has underperformed SABA with an annualized return of 1.24%, while SABA has yielded a comparatively higher 2.95% annualized return.
DFGBX
- 1D
- 0.10%
- 1M
- -0.30%
- 6M
- 1.00%
- YTD
- 1.50%
- 1Y
- 3.14%
- 3Y*
- 4.07%
- 5Y*
- 1.15%
- 10Y*
- 1.24%
- ALL TIME*
- 15.58%
SABA
- 1D
- 0.73%
- 1M
- 1.07%
- 6M
- 7.51%
- YTD
- 6.04%
- 1Y
- -2.93%
- 3Y*
- 9.95%
- 5Y*
- 3.53%
- 10Y*
- 2.95%
- ALL TIME*
- 7.48%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $257.87K | $401.38K | $414.25K |
DFGBX vs. SABA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFGBX DFA Five Year Global Fixed Income Portfolio | 1.50% | 3.13% | 5.37% | 5.00% | -6.63% | -1.03% | 1.52% | 4.04% | 1.68% | 0.88% |
SABA Saba Capital Income & Opportunities Fund II | 6.04% | -0.31% | 31.32% | -2.77% | -9.02% | 1.05% | -6.63% | 8.55% | -1.25% | 4.13% |
Correlation
The correlation between DFGBX and SABA is 0.27, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.27 |
Correlation (3Y) Balances recent behavior with more history. | 0.09 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.10 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.07 |
Correlation (All Time) Calculated using the full available price history since Nov 6, 1990 | 0.05 |
Over the past year, DFGBX and SABA have become more correlated (0.27) than their long-term average of 0.05, meaning their price movements have been converging.
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Return for Risk
DFGBX vs. SABA — Risk / Return Rank
DFGBX
SABA
DFGBX vs. SABA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Five Year Global Fixed Income Portfolio (DFGBX) and Saba Capital Income & Opportunities Fund II (SABA). 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.
| DFGBX | SABA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.30 | ||
| Sortino ratioReturn per unit of downside risk | +3.43 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 0.97 | +0.54 |
| Calmar ratioReturn relative to maximum drawdown | 2.30 | -0.28 | +2.58 |
| Martin ratioReturn relative to average drawdown | 7.87 | -0.53 | +8.40 |
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Drawdowns
DFGBX vs. SABA - Drawdown Comparison
The maximum DFGBX drawdown since its inception was -9.63%, smaller than the maximum SABA drawdown of -32.37%. Use the drawdown chart below to compare losses from any high point for DFGBX and SABA.
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Drawdown Indicators
| DFGBX | SABA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.63% | -32.37% | +22.74% |
Max Drawdown (1Y)Largest decline over 1 year | -1.38% | -10.45% | +9.07% |
Max Drawdown (3Y)Largest decline over 3 years | -1.67% | -14.96% | +13.29% |
Max Drawdown (5Y)Largest decline over 5 years | -9.21% | -19.76% | +10.55% |
Max Drawdown (10Y)Largest decline over 10 years | -9.63% | -31.39% | +21.76% |
Current DrawdownCurrent decline from peak | -0.30% | -3.12% | +2.82% |
Average DrawdownAverage peak-to-trough decline | -0.93% | -7.55% | +6.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.40% | 5.58% | -5.18% |
Volatility
DFGBX vs. SABA - Volatility Comparison
The current volatility for DFA Five Year Global Fixed Income Portfolio (DFGBX) is 0.53%, while Saba Capital Income & Opportunities Fund II (SABA) has a volatility of 3.19%. This indicates that DFGBX experiences smaller price fluctuations and is considered to be less risky than SABA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFGBX | SABA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.53% | 3.19% | -2.66% |
Volatility (6M)Calculated over the trailing 6-month period | 1.41% | 8.63% | -7.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.56% | 11.56% | -10.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.18% | 14.60% | -12.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.92% | 16.64% | -14.72% |
Dividends
DFGBX vs. SABA - Dividend Comparison
DFGBX's dividend yield for the trailing twelve months is around 4.61%, less than SABA's 9.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFGBX DFA Five Year Global Fixed Income Portfolio | 4.61% | 2.91% | 4.69% | 3.61% | 1.63% | 0.73% | 0.03% | 2.30% | 4.74% | 0.89% | 1.16% | 1.72% |
SABA Saba Capital Income & Opportunities Fund II | 9.56% | 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
DFGBX and SABA have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SABA has higher volatility (3.19%) compared to DFGBX (0.53%). In terms of maximum drawdown, DFGBX dropped -9.63% vs SABA's -32.37%.
DFGBX currently has the higher Sharpe Ratio (2.04 vs -0.26), 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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