SABA vs. SEBFX
SABA (Saba Capital Income & Opportunities Fund II) and SEBFX (Saturna Sustainable Bond Fund) are both Global Bonds funds. Over the past 10 years, SABA returned 2.80%/yr vs 2.24%/yr for SEBFX. At a 0.24 correlation, their price movements are largely independent.
Performance
SABA vs. SEBFX - Performance Comparison
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Returns By Period
In the year-to-date period, SABA achieves a 2.89% return, which is significantly higher than SEBFX's 1.38% return. Over the past 10 years, SABA has outperformed SEBFX with an annualized return of 2.80%, while SEBFX has yielded a comparatively lower 2.24% annualized return.
SABA
- 1D
- -0.37%
- 1M
- -2.54%
- YTD
- 2.89%
- 6M
- 1.91%
- 1Y
- -1.67%
- 3Y*
- 9.11%
- 5Y*
- 2.97%
- 10Y*
- 2.80%
SEBFX
- 1D
- -0.21%
- 1M
- 0.21%
- YTD
- 1.38%
- 6M
- 1.27%
- 1Y
- 5.56%
- 3Y*
- 4.51%
- 5Y*
- 1.23%
- 10Y*
- 2.24%
SABA vs. SEBFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 2.89% | -0.31% | 31.32% | -2.77% | -9.02% | 1.05% | -6.63% | 8.55% | -1.25% | 4.13% |
SEBFX Saturna Sustainable Bond Fund | 1.38% | 10.10% | -0.75% | 6.95% | -8.54% | -1.77% | 6.86% | 7.18% | -2.95% | 5.90% |
Correlation
The correlation between SABA and SEBFX is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.29 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.23 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.24 |
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Return for Risk
SABA vs. SEBFX — Risk / Return Rank
SABA
SEBFX
SABA vs. SEBFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Saba Capital Income & Opportunities Fund II (SABA) and Saturna Sustainable Bond Fund (SEBFX). 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 | SEBFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.80 | ||
| Sortino ratioReturn per unit of downside risk | -2.49 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.33 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | -0.16 | 1.93 | -2.09 |
| Martin ratioReturn relative to average drawdown | -0.31 | 6.58 | -6.89 |
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Drawdowns
SABA vs. SEBFX - Drawdown Comparison
The maximum SABA drawdown since its inception was -32.37%, which is greater than SEBFX's maximum drawdown of -13.51%. Use the drawdown chart below to compare losses from any high point for SABA and SEBFX.
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Drawdown Indicators
| SABA | SEBFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.37% | -13.51% | -18.86% |
Max Drawdown (1Y)Largest decline over 1 year | -10.45% | -3.01% | -7.44% |
Max Drawdown (3Y)Largest decline over 3 years | -14.96% | -5.51% | -9.45% |
Max Drawdown (5Y)Largest decline over 5 years | -19.76% | -13.26% | -6.50% |
Max Drawdown (10Y)Largest decline over 10 years | -31.39% | -13.51% | -17.88% |
Current DrawdownCurrent decline from peak | -6.00% | -1.04% | -4.96% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -2.92% | -4.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.42% | 0.88% | +4.54% |
Volatility
SABA vs. SEBFX - Volatility Comparison
Saba Capital Income & Opportunities Fund II (SABA) has a higher volatility of 2.98% compared to Saturna Sustainable Bond Fund (SEBFX) at 0.99%. This indicates that SABA's price experiences larger fluctuations and is considered to be riskier than SEBFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SABA | SEBFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.98% | 0.99% | +1.99% |
Volatility (6M)Calculated over the trailing 6-month period | 8.25% | 2.92% | +5.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.69% | 3.52% | +8.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.58% | 3.93% | +10.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.65% | 3.63% | +13.02% |
Dividends
SABA vs. SEBFX - Dividend Comparison
SABA's dividend yield for the trailing twelve months is around 9.78%, more than SEBFX's 3.84% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SABA Saba Capital Income & Opportunities Fund II | 9.78% | 9.65% | 8.32% | 11.43% | 9.14% | 7.19% | 4.00% | 6.68% | 5.81% | 4.44% | 4.63% | 4.72% |
SEBFX Saturna Sustainable Bond Fund | 3.84% | 3.89% | 3.28% | 3.68% | 0.65% | 2.61% | 0.89% | 2.60% | 3.05% | 2.75% | 2.61% | 0.00% |
Frequently Asked Questions
SABA and SEBFX have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SABA has higher volatility (2.98%) compared to SEBFX (0.99%). In terms of maximum drawdown, SABA dropped -32.37% vs SEBFX's -13.51%.
SEBFX currently has the higher Sharpe Ratio (1.65 vs -0.14), 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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