SABA vs. PYGSX
SABA (Saba Capital Income & Opportunities Fund II) and PYGSX (Payden Global Low Duration Fund) are both Global Bonds funds. Over the past 10 years, SABA returned 2.71%/yr vs 2.45%/yr for PYGSX. At a 0.10 correlation, their price movements are largely independent.
Performance
SABA vs. PYGSX - 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 PYGSX's 0.88% return. Over the past 10 years, SABA has outperformed PYGSX with an annualized return of 2.71%, while PYGSX has yielded a comparatively lower 2.45% 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%
PYGSX
- 1D
- 0.00%
- 1M
- 0.13%
- 6M
- 0.88%
- YTD
- 0.88%
- 1Y
- 3.58%
- 3Y*
- 5.20%
- 5Y*
- 2.66%
- 10Y*
- 2.45%
SABA vs. PYGSX - 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% |
PYGSX Payden Global Low Duration Fund | 0.88% | 5.72% | 5.19% | 5.61% | -3.38% | 0.17% | 3.14% | 4.77% | 0.58% | 1.90% |
Correlation
The correlation between SABA and PYGSX is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.11 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1997 | 0.10 |
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Return for Risk
SABA vs. PYGSX — Risk / Return Rank
SABA
PYGSX
SABA vs. PYGSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund II (SABA) and Payden Global Low Duration Fund (PYGSX). 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 | PYGSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.41 | ||
| Sortino ratioReturn per unit of downside risk | -3.70 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.53 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | 2.93 | -3.02 |
| Martin ratioReturn relative to average drawdown | -0.18 | 11.19 | -11.36 |
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Drawdowns
SABA vs. PYGSX - Drawdown Comparison
The maximum SABA drawdown since its inception was -32.37%, which is greater than PYGSX's maximum drawdown of -7.29%. Use the drawdown chart below to compare losses from any high point for SABA and PYGSX.
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Drawdown Indicators
| SABA | PYGSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.37% | -7.29% | -25.08% |
Max Drawdown (1Y)Largest decline over 1 year | -10.45% | -1.23% | -9.22% |
Max Drawdown (3Y)Largest decline over 3 years | -14.96% | -1.23% | -13.73% |
Max Drawdown (5Y)Largest decline over 5 years | -19.76% | -5.38% | -14.38% |
Max Drawdown (10Y)Largest decline over 10 years | -31.39% | -7.29% | -24.10% |
Current DrawdownCurrent decline from peak | -4.52% | -0.12% | -4.40% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -0.49% | -7.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.51% | 0.32% | +5.19% |
Volatility
SABA vs. PYGSX - Volatility Comparison
Saba Capital Income & Opportunities Fund II (SABA) has a higher volatility of 2.88% compared to Payden Global Low Duration Fund (PYGSX) at 0.55%. This indicates that SABA's price experiences larger fluctuations and is considered to be riskier than PYGSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SABA | PYGSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.88% | 0.55% | +2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 8.37% | 1.19% | +7.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.84% | 1.55% | +10.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.59% | 1.90% | +12.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.63% | 1.75% | +14.88% |
Dividends
SABA vs. PYGSX - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.70%, more than PYGSX's 4.71% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PYGSX Payden Global Low Duration Fund | 4.71% | 4.63% | 4.64% | 3.84% | 2.14% | 1.68% | 1.78% | 2.74% | 2.51% | 1.68% | 1.19% | 1.20% |
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 PYGSX have a correlation of 0.14, 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 PYGSX (0.55%). In terms of maximum drawdown, SABA dropped -32.37% vs PYGSX's -7.29%.
PYGSX currently has the higher Sharpe Ratio (2.33 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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