SABA vs. GOBSX
SABA (Saba Capital Income & Opportunities Fund II) and GOBSX (BrandywineGLOBAL - Global Opportunities Bond Fund) are both Global Bonds funds. Over the past 10 years, SABA returned 2.71%/yr vs 0.94%/yr for GOBSX. At a 0.23 correlation, their price movements are largely independent.
Performance
SABA vs. GOBSX - 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 GOBSX's 2.10% return. Over the past 10 years, SABA has outperformed GOBSX with an annualized return of 2.71%, while GOBSX has yielded a comparatively lower 0.94% annualized 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%
GOBSX
- 1D
- 0.45%
- 1M
- 0.35%
- 6M
- 1.65%
- YTD
- 2.10%
- 1Y
- 4.26%
- 3Y*
- 2.96%
- 5Y*
- -1.64%
- 10Y*
- 0.94%
SABA vs. GOBSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 4.51% | -0.31% | 31.32% | -2.77% | -9.02% | 1.05% | -6.63% | 8.55% | -1.25% | 4.13% |
GOBSX BrandywineGLOBAL - Global Opportunities Bond Fund | 2.10% | 13.59% | -9.38% | 7.42% | -15.66% | -5.27% | 12.66% | 9.21% | -5.59% | 11.51% |
Correlation
The correlation between SABA and GOBSX is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.23 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2007 | 0.23 |
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Return for Risk
SABA vs. GOBSX — Risk / Return Rank
SABA
GOBSX
SABA vs. GOBSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund II (SABA) and BrandywineGLOBAL - Global Opportunities Bond Fund (GOBSX). 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 | GOBSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.63 | ||
| Sortino ratioReturn per unit of downside risk | -0.89 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.10 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | 0.75 | -0.84 |
| Martin ratioReturn relative to average drawdown | -0.18 | 2.02 | -2.19 |
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Drawdowns
SABA vs. GOBSX - Drawdown Comparison
The maximum SABA drawdown since its inception was -32.37%, which is greater than GOBSX's maximum drawdown of -29.04%. Use the drawdown chart below to compare losses from any high point for SABA and GOBSX.
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Drawdown Indicators
| SABA | GOBSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.37% | -29.04% | -3.33% |
Max Drawdown (1Y)Largest decline over 1 year | -10.45% | -5.10% | -5.35% |
Max Drawdown (3Y)Largest decline over 3 years | -14.96% | -13.81% | -1.15% |
Max Drawdown (5Y)Largest decline over 5 years | -19.76% | -27.47% | +7.71% |
Max Drawdown (10Y)Largest decline over 10 years | -31.39% | -29.04% | -2.35% |
Current DrawdownCurrent decline from peak | -4.52% | -10.16% | +5.64% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -6.73% | -0.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.51% | 1.89% | +3.62% |
Volatility
SABA vs. GOBSX - Volatility Comparison
Saba Capital Income & Opportunities Fund II (SABA) has a higher volatility of 2.88% compared to BrandywineGLOBAL - Global Opportunities Bond Fund (GOBSX) at 1.29%. This indicates that SABA's price experiences larger fluctuations and is considered to be riskier than GOBSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SABA | GOBSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.88% | 1.29% | +1.59% |
Volatility (6M)Calculated over the trailing 6-month period | 8.37% | 5.55% | +2.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.84% | 6.91% | +4.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.59% | 9.29% | +5.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.63% | 8.45% | +8.18% |
Dividends
SABA vs. GOBSX - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.70%, more than GOBSX's 5.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GOBSX BrandywineGLOBAL - Global Opportunities Bond Fund | 5.19% | 4.28% | 3.80% | 0.09% | 6.70% | 2.30% | 0.31% | 1.56% | 3.15% | 3.68% | 1.87% | 2.61% |
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 GOBSX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SABA has higher volatility (2.88%) compared to GOBSX (1.29%). In terms of maximum drawdown, SABA dropped -32.37% vs GOBSX's -29.04%.
GOBSX currently has the higher Sharpe Ratio (0.55 vs -0.08), 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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